alpha101.py 文件源码

def compute(self, today, assets, out, volume, close, open):
        v0 = np.full(out.shape[0], -1.0)
        v10 = np.empty((6, out.shape[0]))
        for i0 in range(1, 7):
            v1000 = np.empty((3, out.shape[0]))
            for i1 in range(1, 4):
                v10000 = volume[- i0 -i1]
                v1000[-i1] = np.log(v10000)
            v100 = v1000[-1] - v1000[-3]
            v10[-i0] = stats.rankdata(v100)
        v11 = np.empty((6, out.shape[0]))
        for i0 in range(1, 7):
            v11000 = close[-i0]
            v11001 = open[-i0]
            v1100 = v11000 - v11001
            v1101 = open[-i0]
            v110 = v1100 / v1101
            v11[-i0] = stats.rankdata(v110)
        v1 = pd.DataFrame(v10).rolling(window=6).corr(pd.DataFrame(v11)).tail(1).as_matrix()[-1]
        out[:] = v0 * v1

# (-1 * correlation(rank(open), rank(volume), 10))