alpha101.py 文件源码

def compute(self, today, assets, out, close, open, vwap):
        v000 = open[-1]
        v00100 = np.empty((10, out.shape[0]))
        for i0 in range(1, 11):
            v00100[-i0] = vwap[-i0]
        v0010 = v00100.sum(axis=0)
        v0011 = np.full(out.shape[0], 10.0)
        v001 = v0010 / v0011
        v00 = v000 - v001
        v0 = stats.rankdata(v00)
        v10 = np.full(out.shape[0], -1.0)
        v11000 = close[-1]
        v11001 = vwap[-1]
        v1100 = v11000 - v11001
        v110 = stats.rankdata(v1100)
        v11 = np.abs(v110)
        v1 = v10 * v11
        out[:] = v0 * v1

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