alpha101.py 文件源码

def compute(self, today, assets, out, volume, close, vwap):
        v0000 = np.empty((3, out.shape[0]))
        for i0 in range(1, 4):
            v00000 = vwap[-i0]
            v00001 = close[-i0]
            v0000[-i0] = v00000 - v00001
        v000 = np.max(v0000, axis=0)
        v00 = stats.rankdata(v000)
        v0100 = np.empty((3, out.shape[0]))
        for i0 in range(1, 4):
            v01000 = vwap[-i0]
            v01001 = close[-i0]
            v0100[-i0] = v01000 - v01001
        v010 = np.min(v0100, axis=0)
        v01 = stats.rankdata(v010)
        v0 = v00 + v01
        v100 = np.empty((4, out.shape[0]))
        for i0 in range(1, 5):
            v100[-i0] = volume[-i0]
        v10 = v100[-1] - v100[-4]
        v1 = stats.rankdata(v10)
        out[:] = v0 * v1

# (sign(delta(volume, 1)) * (-1 * delta(close, 1)))