alpha101.py 文件源码

def compute(self, today, assets, out, low):
        v0 = np.full(out.shape[0], -1.0)
        v10 = np.empty((9, out.shape[0]))
        for i0 in range(1, 10):
            v100 = low[-i0]
            v10[-i0] = stats.rankdata(v100)
        v1 = pd.DataFrame(v10).rank().tail(1).as_matrix()[-1]
        out[:] = v0 * v1

# (rank((open - (sum(vwap, 10) / 10))) * (-1 * abs(rank((close - vwap)))))