alpha101.py 文件源码

def compute(self, today, assets, out, volume, open):
        v0 = np.full(out.shape[0], -1.0)
        v10 = np.empty((10, out.shape[0]))
        for i0 in range(1, 11):
            v100 = open[-i0]
            v10[-i0] = stats.rankdata(v100)
        v11 = np.empty((10, out.shape[0]))
        for i0 in range(1, 11):
            v110 = volume[-i0]
            v11[-i0] = stats.rankdata(v110)
        v1 = pd.DataFrame(v10).rolling(window=10).corr(pd.DataFrame(v11)).tail(1).as_matrix()[-1]
        out[:] = v0 * v1

# (-1 * Ts_Rank(rank(low), 9))