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Add basic alpha158
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@Menooker
Menooker committed Feb 5, 2024
1 parent 6c99019 commit 38aa57c
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3 changes: 2 additions & 1 deletion .gitignore
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.vscode/*
*.pyc
build/*
tests/cpp/generated/*
tests/cpp/generated/*
projects/*
2 changes: 1 addition & 1 deletion KunQuant/predefined/Alpha101.py
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Expand Up @@ -10,7 +10,7 @@ def __init__(self, open: OpBase, close: OpBase = None, high: OpBase = None, low:
self.volume = volume
self.amount = amount
if vwap is None:
self.vwap = Div(self.amount, AddConst(self.volume, 1))
self.vwap = Div(self.amount, AddConst(self.volume, 0.0000001))
else:
self.vwap = vwap
self.returns = returns(close)
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243 changes: 243 additions & 0 deletions KunQuant/predefined/Alpha158.py
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from KunQuant.Op import *
from KunQuant.ops import *

class AllData:
def __init__(self, open: OpBase, close: OpBase = None, high: OpBase = None, low: OpBase = None, volume: OpBase = None, amount: OpBase = None, vwap: OpBase = None) -> None:
self.open = open
self.close = close
self.high = high
self.low = low
self.volume = volume
self.amount = amount
if vwap is None:
self.vwap = Div(self.amount, AddConst(self.volume, 0.000001))

def build(self, config: dict):
"""create factors from config
config = {
'kbar': {}, # whether to use some hard-code kbar features
'price': { # whether to use raw price features
'windows': [0, 1, 2, 3, 4], # use price at n days ago
'feature': ['OPEN', 'HIGH', 'LOW'] # which price field to use
},
'volume': { # whether to use raw volume features
'windows': [0, 1, 2, 3, 4], # use volume at n days ago
},
'rolling': { # whether to use rolling operator based features
'windows': [5, 10, 20, 30, 60], # rolling windows size
'include': ['ROC', 'MA', 'STD'], # rolling operator to use
#if include is None we will use default operators
'exclude': ['RANK'], # rolling operator not to use
}
}
"""
fields = []
names = []
if "kbar" in config:
fields += [
(self.close - self.open)/self.open,
(self.high-self.low)/self.open,
(self.close-self.open)/(self.high-self.low+1e-12),
(self.high-Max(self.open, self.close))/self.open,
(self.high-Max(self.open, self.close))/(self.high-self.low+1e-12),
(Min(self.open, self.close)-self.low)/self.open,
(Min(self.open, self.close)-self.low)/(self.high-self.low+1e-12),
(2*self.close-self.high-self.low)/self.open,
(2*self.close-self.high-self.low)/(self.high-self.low+1e-12),
]
names += [
"KMID",
"KLEN",
"KMID2",
"KUP",
"KUP2",
"KLOW",
"KLOW2",
"KSFT",
"KSFT2",
]
if "price" in config:
windows = config["price"].get("windows", range(5))
feature = config["price"].get("feature", [self.open, self.high, self.low])
for field in feature:
field_name = field.attrs["name"].lower()
fields += [BackRef(field, d)/self.close if d != 0 else field/self.close for d in windows]
names += [field_name.upper() + str(d) for d in windows]
if "volume" in config:
windows = config["volume"].get("windows", range(5))
fields += [BackRef(self.volume, d)/(self.volume+1e-12) if d != 0 else self.volume/(self.volume+1e-12) for d in windows]
names += ["VOLUME" + str(d) for d in windows]
if "rolling" in config:
windows = config["rolling"].get("windows", [5, 10, 20, 30, 60])
include = config["rolling"].get("include", None)
exclude = config["rolling"].get("exclude", [])
# `exclude` in dataset config unnecessary filed
# `include` in dataset config necessary field

def use(x):
return x not in exclude and (include is None or x in include)

# Some factor ref: https://guorn.com/static/upload/file/3/134065454575605.pdf
if use("ROC"):
# https://www.investopedia.com/terms/r/rateofchange.asp
# Rate of change, the price change in the past d days, divided by latest close price to remove unit
fields += [BackRef(self.close, d)/self.close for d in windows]
names += ["ROC%d" % d for d in windows]
if use("MA"):
# https://www.investopedia.com/ask/answers/071414/whats-difference-between-moving-average-and-weighted-moving-average.asp
# Simple Moving Average, the simple moving average in the past d days, divided by latest close price to remove unit
fields += [WindowedAvg(self.close, d)/self.close for d in windows]
names += ["MA%d" % d for d in windows]
if use("STD"):
# The standard diviation of close price for the past d days, divided by latest close price to remove unit
fields += [WindowedStddev(self.close, d)/self.close for d in windows]
names += ["STD%d" % d for d in windows]
if use("BETA"):
# The rate of close price change in the past d days, divided by latest close price to remove unit
# For example, price increase 10 dollar per day in the past d days, then Slope will be 10.
fields += [(1 - BackRef(self.close, d)/self.close)/d for d in windows]
names += ["BETA%d" % d for d in windows]
# if use("RSQR"):
# # The R-sqaure value of linear regression for the past d days, represent the trend linear
# fields += ["Rsquare($close, %d)" % d for d in windows]
# names += ["RSQR%d" % d for d in windows]
# if use("RESI"):
# # The redisdual for linear regression for the past d days, represent the trend linearity for past d days.
# fields += ["Resi($close, %d)/$close" % d for d in windows]
# names += ["RESI%d" % d for d in windows]
if use("MAX"):
# The max price for past d days, divided by latest close price to remove unit
fields += [WindowedMax(self.high, d)/self.close for d in windows]
names += ["MAX%d" % d for d in windows]
if use("LOW"):
# The low price for past d days, divided by latest close price to remove unit
fields += [WindowedMax(self.low, d)/self.close for d in windows]
names += ["MIN%d" % d for d in windows]
# if use("QTLU"):
# # The 80% quantile of past d day's close price, divided by latest close price to remove unit
# # Used with MIN and MAX
# fields += ["Quantile($close, %d, 0.8)/$close" % d for d in windows]
# names += ["QTLU%d" % d for d in windows]
# if use("QTLD"):
# # The 20% quantile of past d day's close price, divided by latest close price to remove unit
# fields += ["Quantile($close, %d, 0.2)/$close" % d for d in windows]
# names += ["QTLD%d" % d for d in windows]
# if use("RANK"):
# # Get the percentile of current close price in past d day's close price.
# # Represent the current price level comparing to past N days, add additional information to moving average.
# fields += ["Rank($close, %d)" % d for d in windows]
# names += ["RANK%d" % d for d in windows]
# if use("RSV"):
# # Represent the price position between upper and lower resistent price for past d days.
# fields += ["($close-Min($low, %d))/(Max($high, %d)-Min($low, %d)+1e-12)" % (d, d, d) for d in windows]
# names += ["RSV%d" % d for d in windows]
# if use("IMAX"):
# # The number of days between current date and previous highest price date.
# # Part of Aroon Indicator https://www.investopedia.com/terms/a/aroon.asp
# # The indicator measures the time between highs and the time between lows over a time period.
# # The idea is that strong uptrends will regularly see new highs, and strong downtrends will regularly see new lows.
# fields += ["IdxMax($high, %d)/%d" % (d, d) for d in windows]
# names += ["IMAX%d" % d for d in windows]
# if use("IMIN"):
# # The number of days between current date and previous lowest price date.
# # Part of Aroon Indicator https://www.investopedia.com/terms/a/aroon.asp
# # The indicator measures the time between highs and the time between lows over a time period.
# # The idea is that strong uptrends will regularly see new highs, and strong downtrends will regularly see new lows.
# fields += ["IdxMin($low, %d)/%d" % (d, d) for d in windows]
# names += ["IMIN%d" % d for d in windows]
# if use("IMXD"):
# # The time period between previous lowest-price date occur after highest price date.
# # Large value suggest downward momemtum.
# fields += ["(IdxMax($high, %d)-IdxMin($low, %d))/%d" % (d, d, d) for d in windows]
# names += ["IMXD%d" % d for d in windows]
# if use("CORR"):
# # The correlation between absolute close price and log scaled trading volume
# fields += ["Corr($close, Log($volume+1), %d)" % d for d in windows]
# names += ["CORR%d" % d for d in windows]
# if use("CORD"):
# # The correlation between price change ratio and volume change ratio
# fields += ["Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), %d)" % d for d in windows]
# names += ["CORD%d" % d for d in windows]
# if use("CNTP"):
# # The percentage of days in past d days that price go up.
# fields += ["Mean($close>Ref($close, 1), %d)" % d for d in windows]
# names += ["CNTP%d" % d for d in windows]
# if use("CNTN"):
# # The percentage of days in past d days that price go down.
# fields += ["Mean($close<Ref($close, 1), %d)" % d for d in windows]
# names += ["CNTN%d" % d for d in windows]
# if use("CNTD"):
# # The diff between past up day and past down day
# fields += ["Mean($close>Ref($close, 1), %d)-Mean($close<Ref($close, 1), %d)" % (d, d) for d in windows]
# names += ["CNTD%d" % d for d in windows]
# if use("SUMP"):
# # The total gain / the absolute total price changed
# # Similar to RSI indicator. https://www.investopedia.com/terms/r/rsi.asp
# fields += [
# "Sum(Greater($close-Ref($close, 1), 0), %d)/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d)
# for d in windows
# ]
# names += ["SUMP%d" % d for d in windows]
# if use("SUMN"):
# # The total lose / the absolute total price changed
# # Can be derived from SUMP by SUMN = 1 - SUMP
# # Similar to RSI indicator. https://www.investopedia.com/terms/r/rsi.asp
# fields += [
# "Sum(Greater(Ref($close, 1)-$close, 0), %d)/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d)
# for d in windows
# ]
# names += ["SUMN%d" % d for d in windows]
# if use("SUMD"):
# # The diff ratio between total gain and total lose
# # Similar to RSI indicator. https://www.investopedia.com/terms/r/rsi.asp
# fields += [
# "(Sum(Greater($close-Ref($close, 1), 0), %d)-Sum(Greater(Ref($close, 1)-$close, 0), %d))"
# "/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d, d)
# for d in windows
# ]
# names += ["SUMD%d" % d for d in windows]
# if use("VMA"):
# # Simple Volume Moving average: https://www.barchart.com/education/technical-indicators/volume_moving_average
# fields += ["Mean($volume, %d)/($volume+1e-12)" % d for d in windows]
# names += ["VMA%d" % d for d in windows]
# if use("VSTD"):
# # The standard deviation for volume in past d days.
# fields += ["Std($volume, %d)/($volume+1e-12)" % d for d in windows]
# names += ["VSTD%d" % d for d in windows]
# if use("WVMA"):
# # The volume weighted price change volatility
# fields += [
# "Std(Abs($close/Ref($close, 1)-1)*$volume, %d)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, %d)+1e-12)"
# % (d, d)
# for d in windows
# ]
# names += ["WVMA%d" % d for d in windows]
# if use("VSUMP"):
# # The total volume increase / the absolute total volume changed
# fields += [
# "Sum(Greater($volume-Ref($volume, 1), 0), %d)/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)"
# % (d, d)
# for d in windows
# ]
# names += ["VSUMP%d" % d for d in windows]
# if use("VSUMN"):
# # The total volume increase / the absolute total volume changed
# # Can be derived from VSUMP by VSUMN = 1 - VSUMP
# fields += [
# "Sum(Greater(Ref($volume, 1)-$volume, 0), %d)/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)"
# % (d, d)
# for d in windows
# ]
# names += ["VSUMN%d" % d for d in windows]
# if use("VSUMD"):
# # The diff ratio between total volume increase and total volume decrease
# # RSI indicator for volume
# fields += [
# "(Sum(Greater($volume-Ref($volume, 1), 0), %d)-Sum(Greater(Ref($volume, 1)-$volume, 0), %d))"
# "/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)" % (d, d, d)
# for d in windows
# ]
# names += ["VSUMD%d" % d for d in windows]

return fields, names
13 changes: 11 additions & 2 deletions projects/Alpha101Selected/generate.py
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Expand Up @@ -16,23 +16,32 @@
scale_alphas = {alpha009:1000,alpha010:1000,alpha012:1000,alpha023:1000,alpha035:10000,alpha041:1000,
alpha042:10, alpha046:1000,alpha047:10, alpha043:1000,alpha049:1000,alpha051:1000,
alpha053:1000, alpha084: 1000, alpha083:1000}
clip_alphas = {alpha053,alpha084, alpha083}
clip_alphas = {alpha053,alpha084, alpha083, alpha030, alpha057}

skip = {'alpha040', 'alpha073', 'alpha066', 'alpha004', 'alpha002', 'alpha055', 'alpha010', 'alpha050',
'alpha013', 'alpha044', 'alpha016', 'alpha011', 'alpha021', 'alpha047', 'alpha029', 'alpha012', 'alpha015',
'alpha027', 'alpha003', 'alpha041', 'alpha014', 'alpha006', 'alpha085', 'alpha045', 'alpha020', 'alpha077',
'alpha022', 'alpha043', 'alpha068'}

def check_alpha101():
builder = Builder()
cnt = 0
with builder:
all_data = AllData(low=Input("low"),high=Input("high"),close=Input("close"),open=Input("open"), amount=Input("amount"), volume=Input("volume"))
for f in alphas:
if f.__name__ in skip:
continue
out = f(all_data)
if f in scale_alphas:
out = out / scale_alphas[f]
if f in clip_alphas:
out = Clip(out, 10)
Output(out, f.__name__)
cnt += 1
avg8 = WindowedAvg(all_data.close, 8)
prev8 = BackRef(all_data.close, 8)
Output(Select(prev8<avg8, ConstantOp(1), ConstantOp(0)), "cmpavg8")

print("Total", cnt)
f = Function(builder.ops)
src = compileit(f, "alpha_101_selected", output_layout="TS", options={"opt_reduce": True, "fast_log": True})
os.makedirs(sys.argv[1], exist_ok=True)
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