alpha101.py 文件源码

def compute(self, today, assets, out, adv180, vwap):
        v000 = vwap[-1]
        v0010 = np.empty((16, out.shape[0]))
        for i0 in range(1, 17):
            v0010[-i0] = vwap[-i0]
        v001 = np.min(v0010, axis=0)
        v00 = v000 - v001
        v0 = stats.rankdata(v00)
        v100 = np.empty((18, out.shape[0]))
        for i0 in range(1, 19):
            v100[-i0] = vwap[-i0]
        v101 = np.empty((18, out.shape[0]))
        for i0 in range(1, 19):
            v101[-i0] = adv180[-i0]
        v10 = pd.DataFrame(v100).rolling(window=18).corr(pd.DataFrame(v101)).tail(1).as_matrix()[-1]
        v1 = stats.rankdata(v10)
        out[:] = v0 < v1

# ((rank(correlation(vwap, sum(adv20, 22.4101), 9.91009)) < rank(((rank(open) + rank(open)) < (rank(((high + low) / 2)) + rank(high))))) * -1)