alpha101.py 文件源码

def compute(self, today, assets, out, volume, adv50, low, vwap):
        v000 = np.empty((4, out.shape[0]))
        for i0 in range(1, 5):
            v000[-i0] = vwap[-i0]
        v001 = np.empty((4, out.shape[0]))
        for i0 in range(1, 5):
            v001[-i0] = volume[-i0]
        v00 = pd.DataFrame(v000).rolling(window=4).corr(pd.DataFrame(v001)).tail(1).as_matrix()[-1]
        v0 = stats.rankdata(v00)
        v100 = np.empty((12, out.shape[0]))
        for i0 in range(1, 13):
            v1000 = low[-i0]
            v100[-i0] = stats.rankdata(v1000)
        v101 = np.empty((12, out.shape[0]))
        for i0 in range(1, 13):
            v1010 = adv50[-i0]
            v101[-i0] = stats.rankdata(v1010)
        v10 = pd.DataFrame(v100).rolling(window=12).corr(pd.DataFrame(v101)).tail(1).as_matrix()[-1]
        v1 = stats.rankdata(v10)
        out[:] = v0 < v1