liaozhaorun
f943cc98d0
- 新增 cs_mean 截面均值函数，支持 GTJA Alpha127 等因子转换 - max_/min_ 支持单参数调用，默认使用 252 天（约 1 年）滚动窗口
850 lines
33 KiB
Python
850 lines
33 KiB
Python
"""GTJA 公式转换器。
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将 GTJA 原始公式转换为框架可识别的 DSL 字符串表达式。
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转换过程中会验证公式是否能被正确解析为 DSL 节点。
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"""
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import re
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from pathlib import Path
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from typing import Any
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from src.factors.dsl import Node, FunctionNode
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from src.factors.api import (
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close,
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open,
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high,
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low,
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vol,
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amount,
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pre_close,
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change,
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pct_chg,
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ts_mean,
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ts_std,
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ts_max,
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ts_min,
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ts_sum,
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ts_delay,
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ts_delta,
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ts_corr,
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ts_cov,
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ts_var,
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ts_skew,
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ts_kurt,
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ts_pct_change,
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ts_ema,
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ts_atr,
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ts_rsi,
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ts_obv,
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ts_rank,
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ts_sma,
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ts_wma,
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ts_decay_linear,
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ts_argmax,
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ts_argmin,
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ts_count,
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ts_prod,
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ts_sumac,
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cs_rank,
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cs_zscore,
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cs_neutralize,
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cs_winsorize,
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cs_demean,
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log,
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exp,
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sqrt,
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sign,
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cos,
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sin,
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abs,
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max_,
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min_,
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clip,
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atan,
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log1p,
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if_,
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where,
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)
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# 动态补充缺失的 cs_mean
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try:
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from src.factors.api import cs_mean
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except ImportError:
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def cs_mean(x):
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return FunctionNode("cs_mean", x)
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try:
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from .preprocessor import clean_gtja_formula, filter_unsupported_formulas
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except ImportError:
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from preprocessor import clean_gtja_formula, filter_unsupported_formulas
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class GtjaConverter:
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# 安全的函数命名空间，用于验证公式语法的合理性
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SAFE_NAMESPACE: dict[str, Any] = {
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"close": close,
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"open": open,
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"high": high,
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"low": low,
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"vol": vol,
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"volume": vol,
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"amount": amount,
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"pre_close": pre_close,
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"change": change,
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"pct_chg": pct_chg,
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"ts_mean": ts_mean,
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"ts_std": ts_std,
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"ts_max": ts_max,
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"ts_min": ts_min,
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"ts_sum": ts_sum,
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"ts_delay": ts_delay,
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"ts_delta": ts_delta,
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"ts_corr": ts_corr,
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"ts_cov": ts_cov,
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"ts_var": ts_var,
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"ts_skew": ts_skew,
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"ts_kurt": ts_kurt,
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"ts_pct_change": ts_pct_change,
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"ts_ema": ts_ema,
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"ts_atr": ts_atr,
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"ts_rsi": ts_rsi,
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"ts_obv": ts_obv,
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"ts_rank": ts_rank,
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"ts_sma": ts_sma,
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"ts_wma": ts_wma,
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"ts_decay_linear": ts_decay_linear,
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"ts_argmax": ts_argmax,
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"ts_argmin": ts_argmin,
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"ts_count": ts_count,
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"ts_prod": ts_prod,
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"ts_sumac": ts_sumac,
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"cs_rank": cs_rank,
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"cs_zscore": cs_zscore,
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"cs_neutralize": cs_neutralize,
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"cs_winsorize": cs_winsorize,
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"cs_demean": cs_demean,
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"cs_mean": cs_mean,
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"log": log,
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"exp": exp,
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"sqrt": sqrt,
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"sign": sign,
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"cos": cos,
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"sin": sin,
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"abs": abs,
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"max_": max_,
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"min_": min_,
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"clip": clip,
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"atan": atan,
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"log1p": log1p,
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"if_": if_,
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"where": where,
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}
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def __init__(self):
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self.errors: list[str] = []
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self.warnings: list[str] = []
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self._registration_results: list[dict[str, Any]] = []
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def convert(self, formula: str) -> str | None:
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if not filter_unsupported_formulas(formula):
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self.warnings.append(
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f"包含暂不支持的算子/循环依赖，已跳过: {formula[:50]}..."
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)
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return None
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clean_formula = clean_gtja_formula(formula)
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try:
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# 使用 AST api 执行，验证所有函数的输入/参数类型是否有效
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self._validate_formula(clean_formula)
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return clean_formula
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except Exception as e:
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self.errors.append(
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f"语法节点构建失败: {formula[:50]}... \n\t-> 解析所得: {clean_formula}\n\t-> 错误: {e}"
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)
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return None
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def _validate_formula(self, formula: str) -> Node:
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# __builtins__: {} 禁止任何外部危险执行，彻底保证安全
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return eval(formula, {"__builtins__": {}}, self.SAFE_NAMESPACE)
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def convert_batch(
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self,
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formulas: dict[str, str],
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auto_register: bool = False,
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output_path: Path | None = None,
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) -> dict[str, str | None]:
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"""批量转换公式。
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Args:
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formulas: 公式字典，key 为因子名（如 "Alpha1"），value 为公式字符串
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auto_register: 是否自动注册成功的因子到因子库
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output_path: 因子库文件路径，默认使用 data/factors.jsonl
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Returns:
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转换结果字典，key 为因子名，value 为 DSL 表达式或 None
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"""
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results = {}
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self._registration_results = []
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for name, formula in formulas.items():
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result = self.convert(formula)
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results[name] = result
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# 自动注册成功的因子
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if auto_register and result is not None:
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reg_result = register_gtja_factor(name, result, output_path)
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self._registration_results.append({"alpha_name": name, **reg_result})
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return results
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def get_registration_report(self) -> dict[str, Any]:
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"""获取注册报告。
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Returns:
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包含注册统计信息的字典
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"""
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if not hasattr(self, "_registration_results"):
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return {
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"total": 0,
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"success": 0,
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"skipped": 0,
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"failed": 0,
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"details": [],
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}
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success = sum(1 for r in self._registration_results if r["status"] == "success")
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skipped = sum(1 for r in self._registration_results if r["status"] == "skipped")
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failed = sum(1 for r in self._registration_results if r["status"] == "failed")
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return {
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"total": len(self._registration_results),
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"success": success,
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"skipped": skipped,
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"failed": failed,
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"details": self._registration_results,
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}
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def get_stats(self) -> dict[str, Any]:
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return {
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"errors": len(self.errors),
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"warnings": len(self.warnings),
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"error_details": self.errors,
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"warning_details": self.warnings,
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}
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def convert_to_dsl(formula_str: str) -> str | None:
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converter = GtjaConverter()
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return converter.convert(formula_str)
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def parse_multiline_formulas(text: str) -> dict[str, str]:
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formulas = {}
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for line in text.strip().split("\n"):
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line = line.strip()
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if not line:
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continue
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if ":" in line:
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name, expr = line.split(":", 1)
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if name.strip() and expr.strip():
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formulas[name.strip()] = expr.strip()
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return formulas
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def get_next_factor_id(filepath: Path) -> str:
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"""生成下一个 factor_id。
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从现有文件中提取最大序号，生成新的 F_XXX 格式 ID。
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Args:
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filepath: JSONL 文件路径
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Returns:
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新的 factor_id，如 "F_001"
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"""
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import builtins
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import json
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if not filepath.exists():
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return "F_001"
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try:
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with builtins.open(filepath, "r", encoding="utf-8") as f:
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lines = f.readlines()
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except Exception:
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return "F_001"
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max_num = 0
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pattern = re.compile(r"^F_(\d+)$")
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for line in lines:
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line = line.strip()
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if not line:
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continue
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try:
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data = json.loads(line)
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factor_id = data.get("factor_id", "")
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match = pattern.match(factor_id)
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if match:
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num = int(match.group(1))
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max_num = max(max_num, num)
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except (json.JSONDecodeError, ValueError):
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continue
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return f"F_{max_num + 1:03d}"
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def extract_alpha_number(alpha_name: str) -> int | None:
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"""从 Alpha 名称中提取数字。
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Args:
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alpha_name: 如 "Alpha1", "Alpha123"
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Returns:
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数字部分，如 1, 123；如果无法解析返回 None
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"""
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match = re.match(r"[Aa]lpha(\d+)", alpha_name)
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if match:
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return int(match.group(1))
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return None
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def register_gtja_factor(
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alpha_name: str,
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dsl_expr: str,
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output_path: Path | None = None,
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) -> dict[str, Any]:
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"""注册单个 GTJA 因子到因子库。
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Args:
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alpha_name: 原始 Alpha 名称，如 "Alpha1"
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dsl_expr: DSL 表达式字符串
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output_path: 因子库文件路径，默认使用 data/factors.jsonl
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Returns:
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注册结果字典，包含 status 和 message
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"""
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from src.factors.metadata import FactorManager
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from src.factors.metadata.exceptions import DuplicateFactorError, ValidationError
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from src.config.settings import settings
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# 提取数字并构建标准化名称
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alpha_num = extract_alpha_number(alpha_name)
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if alpha_num is None:
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return {
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"status": "failed",
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"message": f"无法从 '{alpha_name}' 提取数字编号",
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}
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# 标准化名称: GTJA_alpha001, GTJA_alpha123
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factor_name = f"GTJA_alpha{alpha_num:03d}"
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# 确定输出路径
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if output_path is None:
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output_path = settings.data_path_resolved / "factors.jsonl"
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# 初始化 FactorManager
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manager = FactorManager(str(output_path))
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try:
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# 检查是否已存在（处理空文件的情况）
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try:
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existing = manager.get_factors_by_name(factor_name)
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if len(existing) > 0:
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return {
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"status": "skipped",
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"message": f"因子 '{factor_name}' 已存在",
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}
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except Exception:
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# 如果查询失败（如文件为空），继续尝试注册
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pass
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# 生成 factor_id
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factor_id = get_next_factor_id(output_path)
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# 构建因子记录
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factor_record = {
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"factor_id": factor_id,
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"name": factor_name,
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"desc": f"GTJA {alpha_name} 因子",
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"dsl": dsl_expr,
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"category": "gtja_alpha",
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"source": "GTJA191",
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}
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# 注册因子
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manager.add_factor(factor_record)
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return {
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"status": "success",
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"message": f"{factor_id}: {factor_name}",
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"factor_id": factor_id,
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"factor_name": factor_name,
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}
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except DuplicateFactorError as e:
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return {
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"status": "failed",
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"message": f"因子 ID 重复: {e}",
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}
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except ValidationError as e:
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return {
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"status": "failed",
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"message": f"验证失败: {e}",
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}
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except Exception as e:
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return {
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"status": "failed",
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"message": f"注册失败: {e}",
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}
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if __name__ == "__main__":
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# 使用示例：多行字符串输入
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converter = GtjaConverter()
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# 多行字符串，格式为 "因子名: 表达式"，支持空行
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test_input = """
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Alpha1: (-1 * CORR(RANK(DELTA(LOG(VOLUME), 1)), RANK(((CLOSE -OPEN) / OPEN)), 6))
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Alpha2: (-1 * DELTA((((CLOSE -LOW) -(HIGH -CLOSE)) / (HIGH -LOW)), 1))
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Alpha3: SUM((CLOSE=DELAY(CLOSE,1)?0:CLOSE-(CLOSE>DELAY(CLOSE,1)?MIN(LOW,DELAY(CLOSE,1)):MAX(HIGH,DELAY(CLOSE,1)))),6)
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Alpha4: ((((SUM(CLOSE, 8) / 8) + STD(CLOSE, 8)) < (SUM(CLOSE, 2) / 2)) ? (-1 * 1) : (((SUM(CLOSE, 2) / 2) <((SUM(CLOSE, 8) / 8) -STD(CLOSE, 8))) ? 1 : (((1 < (VOLUME / MEAN(VOLUME,20))) || ((VOLUME /MEAN(VOLUME,20)) == 1)) ? 1 : (-1 * 1))))
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Alpha5: (-1 * TSMAX(CORR(TSRANK(VOLUME, 5), TSRANK(HIGH, 5), 5), 3))
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Alpha6: (RANK(SIGN(DELTA((((OPEN * 0.85) + (HIGH * 0.15))), 4)))* -1)
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Alpha7: ((RANK(MAX((VWAP -CLOSE), 3)) + RANK(MIN((VWAP -CLOSE), 3))) * RANK(DELTA(VOLUME, 3)))
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Alpha8: RANK(DELTA(((((HIGH + LOW) / 2) * 0.2) + (VWAP * 0.8)), 4) * -1)
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Alpha9: SMA(((HIGH+LOW)/2-(DELAY(HIGH,1)+DELAY(LOW,1))/2)*(HIGH-LOW)/VOLUME,7,2)
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Alpha10: (RANK(MAX(((RET < 0) ? STD(RET, 20) : CLOSE)^2),5))
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Alpha11: SUM(((CLOSE-LOW)-(HIGH-CLOSE))./(HIGH-LOW).*VOLUME,6)
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Alpha12: (RANK((OPEN -(SUM(VWAP, 10) / 10)))) * (-1 * (RANK(ABS((CLOSE -VWAP)))))
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Alpha13: (((HIGH * LOW)^0.5) -VWAP)
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Alpha14: CLOSE-DELAY(CLOSE,5)
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Alpha15: OPEN/DELAY(CLOSE,1)-1
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Alpha16: (-1 * TSMAX(RANK(CORR(RANK(VOLUME), RANK(VWAP), 5)), 5))
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Alpha17: RANK((VWAP -MAX(VWAP, 15)))^DELTA(CLOSE, 5)
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Alpha18: CLOSE/DELAY(CLOSE,5)
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Alpha19: (CLOSE<DELAY(CLOSE,5)?(CLOSE-DELAY(CLOSE,5))/DELAY(CLOSE,5):(CLOSE=DELAY(CLOSE,5)?0:(CLOSE-DELAY(CLOSE,5))/CLOSE))
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Alpha20: (CLOSE-DELAY(CLOSE,6))/DELAY(CLOSE,6)*100
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Alpha21: REGBETA(MEAN(CLOSE,6),SEQUENCE(6))
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Alpha22: SMEAN(((CLOSE-MEAN(CLOSE,6))/MEAN(CLOSE,6)-DELAY((CLOSE-MEAN(CLOSE,6))/MEAN(CLOSE,6),3)),12,1)
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Alpha23: SMA((CLOSE>DELAY(CLOSE,1)?STD(CLOSE:20),0),20,1)/(SMA((CLOSE>DELAY(CLOSE,1)?STD(CLOSE,20):0),20,1)+SMA((CLOSE<=DELAY(CLOSE,1)?STD(CLOSE,20):0),20,1))*100
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Alpha24: SMA(CLOSE-DELAY(CLOSE,5),5,1)
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Alpha25: ((-1 * RANK((DELTA(CLOSE, 7) * (1 -RANK(DECAYLINEAR((VOLUME/MEAN(VOLUME,20)), 9)))))) * (1 +RANK(SUM(RET, 250))))
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Alpha26: ((((SUM(CLOSE, 7) / 7) -CLOSE)) + ((CORR(VWAP, DELAY(CLOSE, 5), 230))))
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Alpha27: WMA((CLOSE-DELAY(CLOSE,3))/DELAY(CLOSE,3)*100+(CLOSE-DELAY(CLOSE,6))/DELAY(CLOSE,6)*100,12)
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Alpha28: 3*SMA((CLOSE-TSMIN(LOW,9))/(TSMAX(HIGH,9)-TSMIN(LOW,9))*100,3,1)-2*SMA(SMA((CLOSE-TSMIN(LOW,9))/(MAX(HIGH,9)-TSMAX(LOW,9))*100,3,1),3,1)
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Alpha29: (CLOSE-DELAY(CLOSE,6))/DELAY(CLOSE,6)*VOLUME
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Alpha30: WMA((REGRESI(CLOSE/DELAY(CLOSE)-1,MKT,SMB,HML，60))^2,20)
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Alpha31: (CLOSE-MEAN(CLOSE,12))/MEAN(CLOSE,12)*100
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Alpha32: (-1 * SUM(RANK(CORR(RANK(HIGH), RANK(VOLUME), 3)), 3))
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Alpha33: ((((-1 * TSMIN(LOW, 5)) + DELAY(TSMIN(LOW, 5), 5)) * RANK(((SUM(RET, 240) -SUM(RET, 20)) / 220))) *TSRANK(VOLUME, 5))
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Alpha34: MEAN(CLOSE,12)/CLOSE
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Alpha35: (MIN(RANK(DECAYLINEAR(DELTA(OPEN, 1), 15)), RANK(DECAYLINEAR(CORR((VOLUME), ((OPEN * 0.65) +(OPEN *0.35)), 17),7))) * -1)
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Alpha36: RANK(SUM(CORR(RANK(VOLUME), RANK(VWAP)), 6), 2)
|
||
|
||
Alpha37: (-1 * RANK(((SUM(OPEN, 5) * SUM(RET, 5)) -DELAY((SUM(OPEN,5) * SUM(RET, 5)), 10))))
|
||
|
||
Alpha38: (((SUM(HIGH, 20) / 20) < HIGH) ? (-1 * DELTA(HIGH, 2)) : 0)
|
||
|
||
Alpha39: ((RANK(DECAYLINEAR(DELTA((CLOSE), 2),8)) -RANK(DECAYLINEAR(CORR(((VWAP * 0.3) + (OPEN * 0.7)),SUM(MEAN(VOLUME,180), 37), 14), 12))) * -1)
|
||
|
||
Alpha40: SUM((CLOSE>DELAY(CLOSE,1)?VOLUME:0),26)/SUM((CLOSE<=DELAY(CLOSE,1)?VOLUME:0),26)*100
|
||
|
||
Alpha41: (RANK(MAX(DELTA((VWAP), 3), 5))* -1)
|
||
|
||
Alpha42: ((-1 * RANK(STD(HIGH, 10))) * CORR(HIGH, VOLUME, 10))
|
||
|
||
Alpha43: SUM((CLOSE>DELAY(CLOSE,1)?VOLUME:(CLOSE<DELAY(CLOSE,1)?-VOLUME:0)),6)
|
||
|
||
Alpha44: (TSRANK(DECAYLINEAR(CORR(((LOW )), MEAN(VOLUME,10), 7), 6),4) + TSRANK(DECAYLINEAR(DELTA((VWAP),3), 10), 15))
|
||
|
||
Alpha45: (RANK(DELTA((((CLOSE * 0.6) + (OPEN *0.4))), 1)) * RANK(CORR(VWAP, MEAN(VOLUME,150), 15)))
|
||
|
||
Alpha46: (MEAN(CLOSE,3)+MEAN(CLOSE,6)+MEAN(CLOSE,12)+MEAN(CLOSE,24))/(4*CLOSE)
|
||
|
||
Alpha47: SMA((TSMAX(HIGH,6)-CLOSE)/(TSMAX(HIGH,6)-TSMIN(LOW,6))*100,9,1)
|
||
|
||
Alpha48: (-1*((RANK(((SIGN((CLOSE -DELAY(CLOSE, 1))) + SIGN((DELAY(CLOSE, 1) -DELAY(CLOSE, 2)))) +SIGN((DELAY(CLOSE, 2) -DELAY(CLOSE, 3)))))) * SUM(VOLUME, 5)) / SUM(VOLUME, 20))
|
||
|
||
Alpha49: SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)/(SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)+SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12))
|
||
|
||
Alpha50: SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)/(SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)+SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12))-SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)/(SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)+SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12))
|
||
|
||
Alpha51: SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)/(SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)+SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12))
|
||
|
||
Alpha52: SUM(MAX(0,HIGH-DELAY((HIGH+LOW+CLOSE)/3,1)),26)/SUM(MAX(0,DELAY((HIGH+LOW+CLOSE)/3,1)-L),26)*100
|
||
|
||
Alpha53: COUNT(CLOSE>DELAY(CLOSE,1),12)/12*100
|
||
|
||
Alpha54: (-1 * RANK((STD(ABS(CLOSE -OPEN)) + (CLOSE -OPEN)) + CORR(CLOSE, OPEN,10)))
|
||
|
||
Alpha55: SUM(16*(CLOSE-DELAY(CLOSE,1)+(CLOSE-OPEN)/2+DELAY(CLOSE,1)-DELAY(OPEN,1))/((ABS(HIGH-DELAY(CLOSE,1))>ABS(LOW-DELAY(CLOSE,1))&ABS(HIGH-DELAY(CLOSE,1))>ABS(HIGH-DELAY(LOW,1))?ABS(HIGH-DELAY(CLOSE,1))+ABS(LOW-DELAY(CLOSE,1))/2+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4:(ABS(LOW-DELAY(CLOSE,1))>ABS(HIGH-DELAY(LOW,1))&ABS(LOW-DELAY(CLOSE,1))>ABS(HIGH-DELAY(CLOSE,1))?ABS(LOW-DELAY(CLOSE,1))+ABS(HIGH-DELAY(CLOSE,1))/2+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4:ABS(HIGH-DELAY(LOW,1))+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4)))*MAX(ABS(HIGH-DELAY(CLOSE,1)),ABS(LOW-DELAY(CLOSE,1))),20)
|
||
|
||
Alpha56: (RANK((OPEN -TSMIN(OPEN, 12))) < RANK((RANK(CORR(SUM(((HIGH + LOW) / 2), 19), SUM(MEAN(VOLUME,40), 19), 13))^5)))
|
||
|
||
Alpha57: SMA((CLOSE-TSMIN(LOW,9))/(TSMAX(HIGH,9)-TSMIN(LOW,9))*100,3,1)
|
||
|
||
Alpha58: COUNT(CLOSE>DELAY(CLOSE,1),20)/20*100
|
||
|
||
Alpha59: SUM((CLOSE=DELAY(CLOSE,1)?0:CLOSE-(CLOSE>DELAY(CLOSE,1)?MIN(LOW,DELAY(CLOSE,1)):MAX(HIGH,DELAY(CLOSE,1)))),20)
|
||
|
||
Alpha60: SUM(((CLOSE-LOW)-(HIGH-CLOSE))./(HIGH-LOW).*VOLUME,20)
|
||
|
||
Alpha61: (MAX(RANK(DECAYLINEAR(DELTA(VWAP, 1), 12)),RANK(DECAYLINEAR(RANK(CORR((LOW),MEAN(VOLUME,80), 8)), 17))) * -1)
|
||
|
||
Alpha62: (-1 * CORR(HIGH, RANK(VOLUME), 5))
|
||
|
||
Alpha63: SMA(MAX(CLOSE-DELAY(CLOSE,1),0),6,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),6,1)*100
|
||
|
||
Alpha64: (MAX(RANK(DECAYLINEAR(CORR(RANK(VWAP), RANK(VOLUME), 4), 4)),RANK(DECAYLINEAR(MAX(CORR(RANK(CLOSE), RANK(MEAN(VOLUME,60)), 4), 13), 14))) * -1)
|
||
|
||
Alpha65: MEAN(CLOSE,6)/CLOSE
|
||
|
||
Alpha66: (CLOSE-MEAN(CLOSE,6))/MEAN(CLOSE,6)*100
|
||
|
||
Alpha67: SMA(MAX(CLOSE-DELAY(CLOSE,1),0),24,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),24,1)*100
|
||
|
||
Alpha68: SMA(((HIGH+LOW)/2-(DELAY(HIGH,1)+DELAY(LOW,1))/2)*(HIGH-LOW)/VOLUME,15,2)
|
||
|
||
Alpha69: (SUM(DTM,20)>SUM(DBM,20)?(SUM(DTM,20)-SUM(DBM,20))/SUM(DTM,20): (SUM(DTM,20)=SUM(DBM,20)? 0: (SUM(DTM,20)-SUM(DBM,20))/SUM(DBM,20)))
|
||
|
||
Alpha70: STD(AMOUNT,6)
|
||
|
||
Alpha71: (CLOSE-MEAN(CLOSE,24))/MEAN(CLOSE,24)*100
|
||
|
||
Alpha72: SMA((TSMAX(HIGH,6)-CLOSE)/(TSMAX(HIGH,6)-TSMIN(LOW,6))*100,15,1)
|
||
|
||
Alpha73: ((TSRANK(DECAYLINEAR(DECAYLINEAR(CORR((CLOSE), VOLUME, 10), 16), 4), 5) - RANK(DECAYLINEAR(CORR(VWAP, MEAN(VOLUME,30), 4),3))) * -1)
|
||
|
||
Alpha74: (RANK(CORR(SUM(((LOW * 0.35) + (VWAP * 0.65)), 20), SUM(MEAN(VOLUME,40), 20), 7)) + RANK(CORR(RANK(VWAP), RANK(VOLUME), 6)))
|
||
|
||
Alpha75: COUNT(CLOSE>OPEN &BANCHMARKINDEXCLOSE<BANCHMARKINDEXOPEN,50)/COUNT(BANCHMARKINDEXCLOSE<BANCHMARKINDEXOPEN,50)
|
||
|
||
Alpha76: STD(ABS((CLOSE/DELAY(CLOSE,1)-1))/VOLUME,20)/MEAN(ABS((CLOSE/DELAY(CLOSE,1)-1))/VOLUME,20)
|
||
|
||
Alpha77: MIN(RANK(DECAYLINEAR(((((HIGH + LOW) / 2) + HIGH) -(VWAP + HIGH)), 20)),RANK(DECAYLINEAR(CORR(((HIGH + LOW) / 2), MEAN(VOLUME,40), 3), 6)))
|
||
|
||
Alpha78: ((HIGH+LOW+CLOSE)/3-MA((HIGH+LOW+CLOSE)/3,12))/(0.015*MEAN(ABS(CLOSE-MEAN((HIGH+LOW+CLOSE)/3,12)),12))
|
||
|
||
Alpha79: SMA(MAX(CLOSE-DELAY(CLOSE,1),0),12,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),12,1)*100
|
||
|
||
Alpha80: (VOLUME-DELAY(VOLUME,5))/DELAY(VOLUME,5)*100
|
||
|
||
Alpha81: SMA(VOLUME,21,2)
|
||
|
||
Alpha82: SMA((TSMAX(HIGH,6)-CLOSE)/(TSMAX(HIGH,6)-TSMIN(LOW,6))*100,20,1)
|
||
|
||
Alpha83: (-1 * RANK(COVIANCE(RANK(HIGH), RANK(VOLUME), 5)))
|
||
|
||
Alpha84: SUM((CLOSE>DELAY(CLOSE,1)?VOLUME:(CLOSE<DELAY(CLOSE,1)?-VOLUME:0)),20)
|
||
|
||
Alpha85: (TSRANK((VOLUME / MEAN(VOLUME,20)), 20) * TSRANK((-1 * DELTA(CLOSE, 7)), 8))
|
||
|
||
Alpha86: ((0.25 < (((DELAY(CLOSE, 20) -DELAY(CLOSE, 10)) / 10) -((DELAY(CLOSE, 10) -CLOSE) / 10))) ? (-1 * 1):(((((DELAY(CLOSE, 20) -DELAY(CLOSE, 10)) / 10) -((DELAY(CLOSE, 10) -CLOSE) / 10)) < 0) ? 1 : ((-1 * 1) *(CLOSE -DELAY(CLOSE, 1)))))
|
||
|
||
Alpha87: ((RANK(DECAYLINEAR(DELTA(VWAP, 4), 7)) + TSRANK(DECAYLINEAR(((((LOW * 0.9) + (LOW * 0.1)) -VWAP) /(OPEN -((HIGH + LOW) / 2))), 11), 7)) * -1)
|
||
|
||
Alpha88: (CLOSE-DELAY(CLOSE,20))/DELAY(CLOSE,20)*100
|
||
|
||
Alpha89: 2*(SMA(CLOSE,13,2)-SMA(CLOSE,27,2)-SMA(SMA(CLOSE,13,2)-SMA(CLOSE,27,2),10,2))
|
||
|
||
Alpha90: ( RANK(CORR(RANK(VWAP), RANK(VOLUME), 5)) * -1)
|
||
|
||
Alpha91: ((RANK((CLOSE -MAX(CLOSE, 5)))*RANK(CORR((MEAN(VOLUME,40)), LOW, 5))) * -1)
|
||
|
||
Alpha92: (MAX(RANK(DECAYLINEAR(DELTA(((CLOSE * 0.35) + (VWAP *0.65)), 2), 3)),TSRANK(DECAYLINEAR(ABS(CORR((MEAN(VOLUME,180)), CLOSE, 13)), 5), 15)) * -1)
|
||
|
||
Alpha93: SUM((OPEN>=DELAY(OPEN,1)?0:MAX((OPEN-LOW),(OPEN-DELAY(OPEN,1)))),20)
|
||
|
||
Alpha94: SUM((CLOSE>DELAY(CLOSE,1)?VOLUME:(CLOSE<DELAY(CLOSE,1)?-VOLUME:0)),30)
|
||
|
||
Alpha95: STD(AMOUNT,20)
|
||
|
||
Alpha96: SMA(SMA((CLOSE-TSMIN(LOW,9))/(TSMAX(HIGH,9)-TSMIN(LOW,9))*100,3,1),3,1)
|
||
|
||
Alpha97: STD(VOLUME,10)
|
||
|
||
Alpha98: ((((DELTA((SUM(CLOSE, 100) / 100), 100) / DELAY(CLOSE, 100)) < 0.05) || ((DELTA((SUM(CLOSE, 100) / 100), 100) /DELAY(CLOSE, 100)) == 0.05)) ? (-1 * (CLOSE -TSMIN(CLOSE, 100))) : (-1 * DELTA(CLOSE, 3)))
|
||
|
||
Alpha99: (-1 * RANK(COVIANCE(RANK(CLOSE), RANK(VOLUME), 5)))
|
||
|
||
Alpha100: STD(VOLUME,20)
|
||
|
||
Alpha101: ((RANK(CORR(CLOSE, SUM(MEAN(VOLUME,30), 37), 15)) < RANK(CORR(RANK(((HIGH * 0.1) + (VWAP * 0.9))),RANK(VOLUME), 11))) * -1)
|
||
|
||
Alpha102: SMA(MAX(VOLUME-DELAY(VOLUME,1),0),6,1)/SMA(ABS(VOLUME-DELAY(VOLUME,1)),6,1)*100
|
||
|
||
Alpha103: ((20-LOWDAY(LOW,20))/20)*100
|
||
|
||
Alpha104: (-1 * (DELTA(CORR(HIGH, VOLUME, 5), 5) * RANK(STD(CLOSE, 20))))
|
||
|
||
Alpha105: (-1 * CORR(RANK(OPEN), RANK(VOLUME), 10))
|
||
|
||
Alpha106: CLOSE-DELAY(CLOSE,20)
|
||
|
||
Alpha107: (((-1 * RANK((OPEN -DELAY(HIGH, 1)))) * RANK((OPEN -DELAY(CLOSE, 1)))) *RANK((OPEN -DELAY(LOW, 1))))
|
||
|
||
Alpha108: ((RANK((HIGH -MIN(HIGH, 2)))^RANK(CORR((VWAP), (MEAN(VOLUME,120)), 6))) * -1)
|
||
|
||
Alpha109: SMA(HIGH-LOW,10,2)/SMA(SMA(HIGH-LOW,10,2),10,2)
|
||
|
||
Alpha110: SUM(MAX(0,HIGH-DELAY(CLOSE,1)),20)/SUM(MAX(0,DELAY(CLOSE,1)-LOW),20)*100
|
||
|
||
Alpha111: SMA(VOL*((CLOSE-LOW)-(HIGH-CLOSE))/(HIGH-LOW),11,2)-SMA(VOL*((CLOSE-LOW)-(HIGH-CLOSE))/(HIGH-LOW),4,2)
|
||
|
||
Alpha112: (SUM((CLOSE-DELAY(CLOSE,1)>0?CLOSE-DELAY(CLOSE,1):0),12)-SUM((CLOSE-DELAY(CLOSE,1)<0?ABS(CLOSE-DELAY(CLOSE,1)):0),12))/(SUM((CLOSE-DELAY(CLOSE,1)>0?CLOSE-DELAY(CLOSE,1):0),12)+SUM((CLOSE-DELAY(CLOSE,1)<0?ABS(CLOSE-DELAY(CLOSE,1)):0),12))*100
|
||
|
||
Alpha113: (-1 * ((RANK((SUM(DELAY(CLOSE, 5), 20) / 20)) * CORR(CLOSE, VOLUME, 2)) *RANK(CORR(SUM(CLOSE, 5),SUM(CLOSE, 20), 2))))
|
||
|
||
Alpha114: ((RANK(DELAY(((HIGH -LOW) / (SUM(CLOSE, 5) / 5)), 2)) * RANK(RANK(VOLUME))) / (((HIGH -LOW) /(SUM(CLOSE, 5) / 5)) / (VWAP -CLOSE)))
|
||
|
||
Alpha115: (RANK(CORR(((HIGH * 0.9) + (CLOSE * 0.1)), MEAN(VOLUME,30), 10))^RANK(CORR(TSRANK(((HIGH + LOW) /2), 4), TSRANK(VOLUME, 10), 7)))
|
||
|
||
Alpha116: REGBETA(CLOSE,SEQUENCE,20)
|
||
|
||
Alpha117: ((TSRANK(VOLUME, 32) * (1 -TSRANK(((CLOSE + HIGH) -LOW), 16))) * (1 -TSRANK(RET, 32)))
|
||
|
||
Alpha118: SUM(HIGH-OPEN,20)/SUM(OPEN-LOW,20)*100
|
||
|
||
Alpha119: (RANK(DECAYLINEAR(CORR(VWAP, SUM(MEAN(VOLUME,5), 26), 5), 7)) -RANK(DECAYLINEAR(TSRANK(MIN(CORR(RANK(OPEN), RANK(MEAN(VOLUME,15)), 21), 9), 7), 8)))
|
||
|
||
Alpha120: (RANK((VWAP -CLOSE)) / RANK((VWAP + CLOSE)))
|
||
|
||
Alpha121: ((RANK((VWAP -MIN(VWAP, 12)))^TSRANK(CORR(TSRANK(VWAP, 20), TSRANK(MEAN(VOLUME,60), 2), 18), 3)) * -1)
|
||
|
||
Alpha122: (SMA(SMA(SMA(LOG(CLOSE),13,2),13,2),13,2)-DELAY(SMA(SMA(SMA(LOG(CLOSE),13,2),13,2),13,2),1))/DELAY(SMA(SMA(SMA(LOG(CLOSE),13,2),13,2),13,2),1)
|
||
|
||
Alpha123: ((RANK(CORR(SUM(((HIGH + LOW) / 2), 20), SUM(MEAN(VOLUME,60), 20), 9))<RANK(CORR(LOW, VOLUME,6))) * -1)
|
||
|
||
Alpha124: (CLOSE -VWAP) / DECAYLINEAR(RANK(TSMAX(CLOSE, 30)),2)
|
||
|
||
Alpha125: (RANK(DECAYLINEAR(CORR((VWAP), MEAN(VOLUME,80),17), 20)) / RANK(DECAYLINEAR(DELTA(((CLOSE * 0.5)+ (VWAP * 0.5)), 3), 16)))
|
||
|
||
Alpha126: (CLOSE+HIGH+LOW)/3
|
||
|
||
Alpha127: (MEAN((100*(CLOSE-MAX(CLOSE,12))/(MAX(CLOSE,12)))^2))^(1/2)
|
||
|
||
Alpha128: 100-(100/(1+SUM(((HIGH+LOW+CLOSE)/3>DELAY((HIGH+LOW+CLOSE)/3,1)?(HIGH+LOW+CLOSE)/3*VOLUME:0),14)/SUM(((HIGH+LOW+CLOSE)/3<DELAY((HIGH+LOW+CLOSE)/3,1)?(HIGH+LOW+CLOSE)/3*VOLUME:0),14)))
|
||
|
||
Alpha129: SUM((CLOSE-DELAY(CLOSE,1)<0?ABS(CLOSE-DELAY(CLOSE,1)):0),12)
|
||
|
||
Alpha130: (RANK(DECAYLINEAR(CORR(((HIGH + LOW) / 2), MEAN(VOLUME,40), 9), 10)) /RANK(DECAYLINEAR(CORR(RANK(VWAP), RANK(VOLUME), 7),3)))
|
||
|
||
Alpha131: (RANK(DELAT(VWAP, 1))^TSRANK(CORR(CLOSE,MEAN(VOLUME,50), 18), 18))
|
||
|
||
Alpha132: MEAN(AMOUNT,20)
|
||
|
||
Alpha133: ((20-HIGHDAY(HIGH,20))/20)*100-((20-LOWDAY(LOW,20))/20)*100
|
||
|
||
Alpha134: (CLOSE-DELAY(CLOSE,12))/DELAY(CLOSE,12)*VOLUME
|
||
|
||
Alpha135: SMA(DELAY(CLOSE/DELAY(CLOSE,20),1),20,1)
|
||
|
||
Alpha136: ((-1 * RANK(DELTA(RET, 3))) * CORR(OPEN, VOLUME, 10))
|
||
|
||
Alpha137: 16*(CLOSE-DELAY(CLOSE,1)+(CLOSE-OPEN)/2+DELAY(CLOSE,1)-DELAY(OPEN,1))/((ABS(HIGH-DELAY(CLOSE,1))>ABS(LOW-DELAY(CLOSE,1)) &ABS(HIGH-DELAY(CLOSE,1))>ABS(HIGH-DELAY(LOW,1))?ABS(HIGH-DELAY(CLOSE,1))+ABS(LOW-DELAY(CLOSE,1))/2+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4:(ABS(LOW-DELAY(CLOSE,1))>ABS(HIGH-DELAY(LOW,1)) &ABS(LOW-DELAY(CLOSE,1))>ABS(HIGH-DELAY(CLOSE,1))?ABS(LOW-DELAY(CLOSE,1))+ABS(HIGH-DELAY(CLOSE,1))/2+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4:ABS(HIGH-DELAY(LOW,1))+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4)))*MAX(ABS(HIGH-DELAY(CLOSE,1)),ABS(LOW-DELAY(CLOSE,1)))
|
||
|
||
Alpha138: ((RANK(DECAYLINEAR(DELTA((((LOW * 0.7) + (VWAP *0.3))), 3), 20)) -TSRANK(DECAYLINEAR(TSRANK(CORR(TSRANK(LOW, 8), TSRANK(MEAN(VOLUME,60), 17), 5), 19), 16), 7)) * -1)
|
||
|
||
Alpha139: (-1 * CORR(OPEN, VOLUME, 10))
|
||
|
||
Alpha140: MIN(RANK(DECAYLINEAR(((RANK(OPEN) + RANK(LOW)) -(RANK(HIGH) + RANK(CLOSE))), 8)),TSRANK(DECAYLINEAR(CORR(TSRANK(CLOSE, 8), TSRANK(MEAN(VOLUME,60), 20), 8), 7), 3))
|
||
|
||
Alpha141: (RANK(CORR(RANK(HIGH), RANK(MEAN(VOLUME,15)), 9))* -1)
|
||
|
||
Alpha142: (((-1 * RANK(TSRANK(CLOSE, 10))) * RANK(DELTA(DELTA(CLOSE, 1), 1))) *RANK(TSRANK((VOLUME/MEAN(VOLUME,20)), 5)))
|
||
|
||
Alpha143: CLOSE>DELAY(CLOSE,1)?(CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)*SELF:SELF
|
||
|
||
Alpha144: SUMIF(ABS(CLOSE/DELAY(CLOSE,1)-1)/AMOUNT,20,CLOSE<DELAY(CLOSE,1))/COUNT(CLOSE<DELAY(CLOSE,1),20)
|
||
|
||
Alpha145: (MEAN(VOLUME,9)-MEAN(VOLUME,26))/MEAN(VOLUME,12)*100
|
||
|
||
Alpha146: MEAN((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)-SMA((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1),61,2),20)*((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)-SMA((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1),61,2))/SMA(((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)-((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)-SMA((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1),61,2)))^2,60)
|
||
|
||
Alpha147: REGBETA(MEAN(CLOSE,12),SEQUENCE(12))
|
||
|
||
Alpha148: ((RANK(CORR((OPEN), SUM(MEAN(VOLUME,60), 9), 6)) < RANK((OPEN -TSMIN(OPEN, 14)))) * -1)
|
||
|
||
Alpha149: REGBETA(FILTER(CLOSE/DELAY(CLOSE,1)-1,BANCHMARKINDEXCLOSE<DELAY(BANCHMARKINDEXCLOSE,1)),FILTER(BANCHMARKINDEXCLOSE/DELAY(BANCHMARKINDEXCLOSE,1)-1,BANCHMARKINDEXCLOSE<DELAY(BANCHMARKINDEXCLOSE,1)),252)
|
||
|
||
Alpha150: (CLOSE+HIGH+LOW)/3*VOLUME
|
||
|
||
Alpha151: SMA(CLOSE-DELAY(CLOSE,20),20,1)
|
||
|
||
Alpha152: SMA(MEAN(DELAY(SMA(DELAY(CLOSE/DELAY(CLOSE,9),1),9,1),1),12)-MEAN(DELAY(SMA(DELAY(CLOSE/DELAY(CLOSE,9),1),9,1),1),26),9,1)
|
||
|
||
Alpha153: (MEAN(CLOSE,3)+MEAN(CLOSE,6)+MEAN(CLOSE,12)+MEAN(CLOSE,24))/4
|
||
|
||
Alpha154: (((VWAP -MIN(VWAP, 16))) < (CORR(VWAP, MEAN(VOLUME,180), 18)))
|
||
|
||
Alpha155: SMA(VOLUME,13,2)-SMA(VOLUME,27,2)-SMA(SMA(VOLUME,13,2)-SMA(VOLUME,27,2),10,2)
|
||
|
||
Alpha156: (MAX(RANK(DECAYLINEAR(DELTA(VWAP, 5), 3)), RANK(DECAYLINEAR(((DELTA(((OPEN * 0.15) + (LOW *0.85)),2) / ((OPEN * 0.15) + (LOW * 0.85))) * -1), 3))) * -1)
|
||
|
||
Alpha157: (MIN(PROD(RANK(RANK(LOG(SUM(TSMIN(RANK(RANK((-1 * RANK(DELTA((CLOSE -1), 5))))), 2), 1)))), 1), 5) +TSRANK(DELAY((-1 * RET), 6), 5))
|
||
|
||
Alpha158: ((HIGH-SMA(CLOSE,15,2))-(LOW-SMA(CLOSE,15,2)))/CLOSE
|
||
|
||
Alpha159: ((CLOSE-SUM(MIN(LOW,DELAY(CLOSE,1)),6))/SUM(MAX(HGIH,DELAY(CLOSE,1))-MIN(LOW,DELAY(CLOSE,1)),6)*12*24+(CLOSE-SUM(MIN(LOW,DELAY(CLOSE,1)),12))/SUM(MAX(HGIH,DELAY(CLOSE,1))-MIN(LOW,DELAY(CLOSE,1)),12)*6*24+(CLOSE-SUM(MIN(LOW,DELAY(CLOSE,1)),24))/SUM(MAX(HGIH,DELAY(CLOSE,1))-MIN(LOW,DELAY(CLOSE,1)),24)*6*24)*100/(6*12+6*24+12*24)
|
||
|
||
Alpha160: SMA((CLOSE<=DELAY(CLOSE,1)?STD(CLOSE,20):0),20,1)
|
||
|
||
Alpha161: MEAN(MAX(MAX((HIGH-LOW),ABS(DELAY(CLOSE,1)-HIGH)),ABS(DELAY(CLOSE,1)-LOW)),12)
|
||
|
||
Alpha162: (SMA(MAX(CLOSE-DELAY(CLOSE,1),0),12,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),12,1)*100-MIN(SMA(MAX(CLOSE-DELAY(CLOSE,1),0),12,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),12,1)*100,12))/(MAX(SMA(MAX(CLOSE-DELAY(CLOSE,1),0),12,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),12,1)*100,12)-MIN(SMA(MAX(CLOSE-DELAY(CLOSE,1),0),12,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),12,1)*100,12))
|
||
|
||
Alpha163: RANK(((((-1 * RET) * MEAN(VOLUME,20)) * VWAP) * (HIGH -CLOSE)))
|
||
|
||
Alpha164: SMA((((CLOSE>DELAY(CLOSE,1))?1/(CLOSE-DELAY(CLOSE,1)):1)-MIN(((CLOSE>DELAY(CLOSE,1))?1/(CLOSE-DELAY(CLOSE,1)):1),12))/(HIGH-LOW)*100,13,2)
|
||
|
||
Alpha165: MAX(SUMAC(CLOSE-MEAN(CLOSE,48)))-MIN(SUMAC(CLOSE-MEAN(CLOSE,48)))/STD(CLOSE,48)
|
||
|
||
Alpha166: -20*（20-1 ）^1.5*SUM(CLOSE/DELAY(CLOSE,1)-1-MEAN(CLOSE/DELAY(CLOSE,1)-1,20),20)/((20-1)*(20-2)(SUM((CLOSE/DELAY(CLOSE,1),20)^2,20))^1.5)
|
||
|
||
Alpha167: SUM((CLOSE-DELAY(CLOSE,1)>0?CLOSE-DELAY(CLOSE,1):0),12)
|
||
|
||
Alpha168: (-1*VOLUME/MEAN(VOLUME,20))
|
||
|
||
Alpha169: SMA(MEAN(DELAY(SMA(CLOSE-DELAY(CLOSE,1),9,1),1),12)-MEAN(DELAY(SMA(CLOSE-DELAY(CLOSE,1),9,1),1),26),10,1)
|
||
|
||
Alpha170: ((((RANK((1 / CLOSE)) * VOLUME) / MEAN(VOLUME,20)) * ((HIGH * RANK((HIGH -CLOSE))) / (SUM(HIGH, 5) /5))) -RANK((VWAP -DELAY(VWAP, 5))))
|
||
|
||
Alpha171: ((-1 * ((LOW -CLOSE) * (OPEN^5))) / ((CLOSE -HIGH) * (CLOSE^5)))
|
||
|
||
Alpha172: MEAN(ABS(SUM((LD>0 & LD>HD)?LD:0,14)*100/SUM(TR,14)-SUM((HD>0 &HD>LD)?HD:0,14)*100/SUM(TR,14))/(SUM((LD>0 & LD>HD)?LD:0,14)*100/SUM(TR,14)+SUM((HD>0 &HD>LD)?HD:0,14)*100/SUM(TR,14))*100,6)
|
||
|
||
Alpha173: 3*SMA(CLOSE,13,2)-2*SMA(SMA(CLOSE,13,2),13,2)+SMA(SMA(SMA(LOG(CLOSE),13,2),13,2),13,2)
|
||
|
||
Alpha174: SMA((CLOSE>DELAY(CLOSE,1)?STD(CLOSE,20):0),20,1)
|
||
|
||
Alpha175: MEAN(MAX(MAX((HIGH-LOW),ABS(DELAY(CLOSE,1)-HIGH)),ABS(DELAY(CLOSE,1)-LOW)),6)
|
||
|
||
Alpha176: CORR(RANK(((CLOSE -TSMIN(LOW, 12)) / (TSMAX(HIGH, 12) -TSMIN(LOW,12)))),RANK(VOLUME), 6)
|
||
|
||
Alpha177: ((20-HIGHDAY(HIGH,20))/20)*100
|
||
|
||
Alpha178: (CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)*VOLUME
|
||
|
||
Alpha179: (RANK(CORR(VWAP, VOLUME, 4)) *RANK(CORR(RANK(LOW),RANK(MEAN(VOLUME,50)), 12)))
|
||
|
||
Alpha180: ((MEAN(VOLUME,20)<VOLUME)?((-1*TSRANK(ABS(DELTA(CLOSE,7)),60))*SIGN(DELTA(CLOSE,7)):(-1*VOLUME)))
|
||
|
||
Alpha181: SUM(((CLOSE/DELAY(CLOSE,1)-1)-MEAN((CLOSE/DELAY(CLOSE,1)-1),20))-(BANCHMARKINDEXCLOSE-MEAN(BANCHMARKINDEXCLOSE,20))^2,20)/SUM((BANCHMARKINDEXCLOSE-MEAN(BANCHMARKINDEXCLOSE,20))^3)
|
||
|
||
Alpha182: COUNT((CLOSE>OPEN & BANCHMARKINDEXCLOSE>BANCHMARKINDEXOPEN)OR(CLOSE<OPEN &BANCHMARKINDEXCLOSE<BANCHMARKINDEXOPEN),20)/20
|
||
|
||
Alpha183: MAX(SUMAC(CLOSE-MEAN(CLOSE,24)))-MIN(SUMAC(CLOSE-MEAN(CLOSE,24)))/STD(CLOSE,24)
|
||
|
||
Alpha184: (RANK(CORR(DELAY((OPEN -CLOSE), 1), CLOSE, 200)) + RANK((OPEN -CLOSE)))
|
||
|
||
Alpha185: RANK((-1 * ((1 -(OPEN / CLOSE))^2)))
|
||
|
||
Alpha186: (MEAN(ABS(SUM((LD>0 & LD>HD)?LD:0,14)*100/SUM(TR,14)-SUM((HD>0 &HD>LD)?HD:0,14)*100/SUM(TR,14))/(SUM((LD>0 &LD>HD)?LD:0,14)*100/SUM(TR,14)+SUM((HD>0 &HD>LD)?HD:0,14)*100/SUM(TR,14))*100,6)+DELAY(MEAN(ABS(SUM((LD>0 &LD>HD)?LD:0,14)*100/SUM(TR,14)-SUM((HD>0 & HD>LD)?HD:0,14)*100/SUM(TR,14))/(SUM((LD>0&LD>HD)?LD:0,14)*100/SUM(TR,14)+SUM((HD>0 & HD>LD)?HD:0,14)*100/SUM(TR,14))*100,6),6))/2
|
||
|
||
Alpha187: SUM((OPEN<=DELAY(OPEN,1)?0:MAX((HIGH-OPEN),(OPEN-DELAY(OPEN,1)))),20)
|
||
|
||
Alpha188: ((HIGH-LOW–SMA(HIGH-LOW,11,2))/SMA(HIGH-LOW,11,2))*100
|
||
|
||
Alpha189: MEAN(ABS(CLOSE-MEAN(CLOSE,6)),6)
|
||
|
||
Alpha190: LOG((COUNT(CLOSE/DELAY(CLOSE)-1>((CLOSE/DELAY(CLOSE,19))^(1/20)-1),20)-1)*(SUMIF(((CLOSE/DELAY(CLOSE)-1-(CLOSE/DELAY(CLOSE,19))^(1/20)-1))^2,20,CLOSE/DELAY(CLOSE)-1<(CLOSE/DELAY(CLOSE,19))^(1/20)-1))/((COUNT((CLOSE/DELAY(CLOSE)-1<(CLOSE/DELAY(CLOSE,19))^(1/20)-1),20))*(SUMIF((CLOSE/DELAY(CLOSE)-1-((CLOSE/DELAY(CLOSE,19))^(1/20)-1))^2,20,CLOSE/DELAY(CLOSE)-1>(CLOSE/DELAY(CLOSE,19))^(1/20)-1))))
|
||
|
||
Alpha191: ((CORR(MEAN(VOLUME,20), LOW, 5) + ((HIGH + LOW) / 2)) -CLOSE)
|
||
"""
|
||
|
||
print("=" * 60)
|
||
print("GTJA Alpha191 因子转换测试（带自动注册）")
|
||
print("=" * 60)
|
||
|
||
# 解析多行字符串
|
||
formulas = parse_multiline_formulas(test_input)
|
||
print(f"\n共解析到 {len(formulas)} 个因子\n")
|
||
|
||
# 使用批量转换并自动注册
|
||
# auto_register=True 会自动将转换成功的因子注册到因子库
|
||
results = converter.convert_batch(
|
||
formulas,
|
||
auto_register=True, # 启用自动注册
|
||
)
|
||
|
||
# 显示每个因子的转换和注册结果
|
||
for name, dsl_str in results.items():
|
||
print(f"因子名称: {name}")
|
||
if dsl_str:
|
||
print(f"DSL 表达式: {dsl_str}")
|
||
else:
|
||
print("转换失败或包含不支持的算子")
|
||
print()
|
||
|
||
# 打印转换统计
|
||
stats = converter.get_stats()
|
||
print("\n" + "=" * 60)
|
||
print("转换统计:")
|
||
print(f" 错误: {stats['errors']}")
|
||
print(f" 警告: {stats['warnings']}（暂不支持的因子）")
|
||
|
||
if stats["errors"] > 0:
|
||
print("\n错误详情:")
|
||
for error in stats["error_details"]:
|
||
print(f" - {error}")
|
||
|
||
if stats["warnings"] > 0:
|
||
print("\n警告详情（这些因子不会被注册）:")
|
||
for warning in stats["warning_details"]:
|
||
print(f" - {warning}")
|
||
|
||
# 打印注册报告
|
||
reg_report = converter.get_registration_report()
|
||
if reg_report["total"] > 0:
|
||
print("\n" + "=" * 60)
|
||
print("因子注册报告:")
|
||
print(f" 总计尝试: {reg_report['total']}")
|
||
print(f" 成功注册: {reg_report['success']}")
|
||
print(f" 已存在跳过: {reg_report['skipped']}")
|
||
print(f" 注册失败: {reg_report['failed']}")
|
||
|
||
# 打印成功的因子
|
||
success_items = [d for d in reg_report["details"] if d["status"] == "success"]
|
||
if success_items:
|
||
print("\n成功注册的因子:")
|
||
for item in success_items:
|
||
print(f" - {item['message']}")
|