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wq101alphas
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wq101alpha.json

wq101alpha.json 15 KB
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  1. {
    2. 

  2.     "alpha 1": "rank(Ts_ArgMax(SignedPower((returns<0?stddev(returns,20):close), 2), 5))-0.5",
    3. 

  3.     "alpha 2": "(-1 * correlation(rank(delta(log(volume), 2)), rank(((close - open) / open)), 6))",
    4. 

  4.     "alpha 3": "(-1 * correlation(rank(open), rank(volume), 10))",
    5. 

  5.     "alpha 4": "(-1 * Ts_Rank(rank(low), 9))",
    6. 

  6.     "alpha 5": "(rank((open - (sum(vwap, 10) / 10))) * (-1 * abs(rank((close - vwap)))))",
    7. 

  7.     "alpha 6": "(-1 * correlation(open, volume, 10))",
    8. 

  8.     "alpha 7": "((adv20 < volume) ? ((-1 * ts_rank(abs(delta(close, 7)), 60)) * sign(delta(close, 7))) : (-1 * 1))",
    9. 

  9.     "alpha 8": "(-1 * rank(((sum(open, 5) * sum(returns, 5)) - delay((sum(open, 5) * sum(returns, 5)), 10))))",
    10. 

  10.     "alpha 9": " ((0 < ts_min(delta(close, 1), 5)) ? delta(close, 1) : ((ts_max(delta(close, 1), 5) < 0) ? delta(close, 1) : (-1 * delta(close, 1))))",
    11. 

  11.     "alpha 10": "rank(((0 < ts_min(delta(close, 1), 4)) ? delta(close, 1) : ((ts_max(delta(close, 1), 4) < 0) ? delta(close, 1) : (-1 * delta(close, 1)))))",
    12. 

  12.     "alpha 11": "((rank(ts_max((vwap - close), 3)) + rank(ts_min((vwap - close), 3))) * rank(delta(volume, 3)))",
    13. 

  13.     "alpha 12": "(sign(delta(volume, 1)) * (-1 * delta(close, 1)))",
    14. 

  14.     "alpha 13": "(-1 * rank(covariance(rank(close), rank(volume), 5)))",
    15. 

  15.     "alpha 14": "((-1 * rank(delta(returns, 3))) * correlation(open, volume, 10))",
    16. 

  16.     "alpha 15": "(-1 * sum(rank(correlation(rank(high), rank(volume), 3)), 3))",
    17. 

  17.     "alpha 16": "(-1 * rank(covariance(rank(high), rank(volume), 5)))",
    18. 

  18.     "alpha 17": "(((-1 * rank(ts_rank(close, 10))) * rank(delta(delta(close, 1), 1))) * rank(ts_rank((volume / adv20), 5)))",
    19. 

  19.     "alpha 18": "(-1 * rank(((stddev(abs((close - open)), 5) + (close - open)) + correlation(close, open, 10))))",
    20. 

  20.     "alpha 19": "((-1 * sign(((close - delay(close, 7)) + delta(close, 7)))) * (1 + rank((1 + sum(returns, 250)))))",
    21. 

  21.     "alpha 20": "(((-1 * rank((open - delay(high, 1)))) * rank((open - delay(close, 1)))) * rank((open - delay(low, 1))))",
    22. 

  22.     "alpha 21": "((((sum(close, 8) / 8) + stddev(close, 8)) < (sum(close, 2) / 2)) ? (-1 * 1) : (((sum(close, 2) / 2) < ((sum(close, 8) / 8) - stddev(close, 8))) ? 1 : (((1 < (volume / adv20)) || ((volume / adv20) == 1)) ? 1 : (-1 * 1))))",
    23. 

  23.     "alpha 22": "(-1 * (delta(correlation(high, volume, 5), 5) * rank(stddev(close, 20))))",
    24. 

  24.     "alpha 23": "(((sum(high, 20) / 20) < high) ? (-1 * delta(high, 2)) : 0)",
    25. 

  25.     "alpha 24": "((((delta((sum(close, 100) / 100), 100) / delay(close, 100)) < 0.05) || ((delta((sum(close, 100) / 100), 100) / delay(close, 100)) == 0.05)) ? (-1 * (close - ts_min(close, 100))) : (-1 * delta(close, 3)))",
    26. 

  26.     "alpha 25": "rank(((((-1 * returns) * adv20) * vwap) * (high - close)))",
    27. 

  27.     "alpha 26": "(-1 * ts_max(correlation(ts_rank(volume, 5), ts_rank(high, 5), 5), 3))",
    28. 

  28.     "alpha 27": "((0.5 < rank((sum(correlation(rank(volume), rank(vwap), 6), 2) / 2.0))) ? (-1 * 1) : 1)",
    29. 

  29.     "alpha 28": "scale(((correlation(adv20, low, 5) + ((high + low) / 2)) - close))",
    30. 

  30.     "alpha 29": "(min(product(rank(rank(scale(log(sum(ts_min(rank(rank((-1 * rank(delta((close - 1), 5))))), 2), 1))))), 1), 5) + ts_rank(delay((-1 * returns), 6), 5))",
    31. 

  31.     "alpha 30": "(((1.0 - rank(((sign((close - delay(close, 1))) + sign((delay(close, 1) - delay(close, 2)))) + sign((delay(close, 2) - delay(close, 3)))))) * sum(volume, 5)) / sum(volume, 20))",
    32. 

  32.     "alpha 31": " ((rank(rank(rank(decay_linear((-1 * rank(rank(delta(close, 10)))), 10)))) + rank((-1 * delta(close, 3)))) + sign(scale(correlation(adv20, low, 12))))",
    33. 

  33.     "alpha 32": "(scale(((sum(close, 7) / 7) - close)) + (20 * scale(correlation(vwap, delay(close, 5), 230))))",
    34. 

  34.     "alpha 33": "rank((-1 * ((1 - (open / close))^1)))",
    35. 

  35.     "alpha 34": "rank(((1 - rank((stddev(returns, 2) / stddev(returns, 5)))) + (1 - rank(delta(close, 1)))))",
    36. 

  36.     "alpha 35": "((Ts_Rank(volume, 32) * (1 - Ts_Rank(((close + high) - low), 16))) * (1 - Ts_Rank(returns, 32)))",
    37. 

  37.     "alpha 36": "(((((2.21 * rank(correlation((close - open), delay(volume, 1), 15))) + (0.7 * rank((open - close)))) + (0.73 * rank(Ts_Rank(delay((-1 * returns), 6), 5)))) + rank(abs(correlation(vwap, adv20, 6)))) + (0.6 * rank((((sum(close, 200) / 200) - open) * (close - open)))))",
    38. 

  38.     "alpha 37": "(rank(correlation(delay((open - close), 1), close, 200)) + rank((open - close)))",
    39. 

  39.     "alpha 38": "((-1 * rank(Ts_Rank(close, 10))) * rank((close / open)))",
    40. 

  40.     "alpha 39": "((-1 * rank((delta(close, 7) * (1 - rank(decay_linear((volume / adv20), 9)))))) * (1 + rank(sum(returns, 250))))",
    41. 

  41.     "alpha 40": "((-1 * rank(stddev(high, 10))) * correlation(high, volume, 10))",
    42. 

  42.     "alpha 41": "(((high * low)^0.5) - vwap)",
    43. 

  43.     "alpha 42": "(rank((vwap - close)) / rank((vwap + close)))",
    44. 

  44.     "alpha 43": "(ts_rank((volume / adv20), 20) * ts_rank((-1 * delta(close, 7)), 8))",
    45. 

  45.     "alpha 44": "(-1 * correlation(high, rank(volume), 5))",
    46. 

  46.     "alpha 45": "(-1 * ((rank((sum(delay(close, 5), 20) / 20)) * correlation(close, volume, 2)) * rank(correlation(sum(close, 5), sum(close, 20), 2))))",
    47. 

  47.     "alpha 46": "((0.25 < (((delay(close, 20) - delay(close, 10)) / 10) - ((delay(close, 10) - close) / 10))) ? (-1 * 1) : (((((delay(close, 20) - delay(close, 10)) / 10) - ((delay(close, 10) - close) / 10)) < 0) ? 1 : ((-1 * 1) * (close - delay(close, 1)))))",
    48. 

  48.     "alpha 47": "((((rank((1 / close)) * volume) / adv20) * ((high * rank((high - close))) / (sum(high, 5) / 5))) - rank((vwap - delay(vwap, 5))))",
    49. 

  49.     "alpha 49": "(((((delay(close, 20) - delay(close, 10)) / 10) - ((delay(close, 10) - close) / 10)) < (-1 * 0.1)) ? 1 : ((-1 * 1) * (close - delay(close, 1))))",
    50. 

  50.     "alpha 50": "(-1 * ts_max(rank(correlation(rank(volume), rank(vwap), 5)), 5))",
    51. 

  51.     "alpha 51": "(((((delay(close, 20) - delay(close, 10)) / 10) - ((delay(close, 10) - close) / 10)) < (-1 * 0.05)) ? 1 : ((-1 * 1) * (close - delay(close, 1))))",
    52. 

  52.     "alpha 52": "((((-1 * ts_min(low, 5)) + delay(ts_min(low, 5), 5)) * rank(((sum(returns, 240) - sum(returns, 20)) / 220))) * ts_rank(volume, 5))",
    53. 

  53.     "alpha 53": "(-1 * delta((((close - low) - (high - close)) / (close - low)), 9))",
    54. 

  54.     "alpha 54": "((-1 * ((low - close) * (open^5))) / ((low - high) * (close^5)))",
    55. 

  55.     "alpha 55": "(-1 * correlation(rank(((close - ts_min(low, 12)) / (ts_max(high, 12) - ts_min(low, 12)))), rank(volume), 6))",
    56. 

  56.     "alpha 57": "(0 - (1 * ((close - vwap) / decay_linear(rank(ts_argmax(close, 30)), 2))))",
    57. 

  57.     "alpha 60": "(0 - (1 * ((2 * scale(rank(((((close - low) - (high - close)) / (high - low)) * volume)))) - scale(rank(ts_argmax(close, 10))))))",
    58. 

  58.     "alpha 61": "(rank((vwap - ts_min(vwap, 16.1219))) < rank(correlation(vwap, adv180, 17.9282)))",
    59. 

  59.     "alpha 62": "((rank(correlation(vwap, sum(adv20, 22.4101), 9.91009)) < rank(((rank(open) + rank(open)) < (rank(((high + low) / 2)) + rank(high))))) * -1)",
    60. 

  60.     "alpha 64": "((rank(correlation(sum(((open * 0.178404) + (low * (1 - 0.178404))), 12.7054), sum(adv120, 12.7054), 16.6208)) < rank(delta(((((high + low) / 2) * 0.178404) + (vwap * (1 - 0.178404))), 3.69741))) * -1)",
    61. 

  61.     "alpha 65": "((rank(correlation(((open * 0.00817205) + (vwap * (1 - 0.00817205))), sum(adv60, 8.6911), 6.40374)) < rank((open - ts_min(open, 13.635)))) * -1)",
    62. 

  62.     "alpha 66": "((rank(decay_linear(delta(vwap, 3.51013), 7.23052)) + Ts_Rank(decay_linear(((((low * 0.96633) + (low * (1 - 0.96633))) - vwap) / (open - ((high + low) / 2))), 11.4157), 6.72611)) * -1)",
    63. 

  63.     "alpha 68": "((Ts_Rank(correlation(rank(high), rank(adv15), 8.91644), 13.9333) < rank(delta(((close * 0.518371) + (low * (1 - 0.518371))), 1.06157))) * -1)",
    64. 

  64.     "alpha 71": "max(Ts_Rank(decay_linear(correlation(Ts_Rank(close, 3.43976), Ts_Rank(adv180, 12.0647), 18.0175), 4.20501), 15.6948), Ts_Rank(decay_linear((rank(((low + open) - (vwap + vwap)))^2), 16.4662), 4.4388))",
    65. 

  65.     "alpha 72": "(rank(decay_linear(correlation(((high + low) / 2), adv40, 8.93345), 10.1519)) / rank(decay_linear(correlation(Ts_Rank(vwap, 3.72469), Ts_Rank(volume, 18.5188), 6.86671), 2.95011)))",
    66. 

  66.     "alpha 73": "(max(rank(decay_linear(delta(vwap, 4.72775), 2.91864)), Ts_Rank(decay_linear(((delta(((open * 0.147155) + (low * (1 - 0.147155))), 2.03608) / ((open * 0.147155) + (low * (1 - 0.147155)))) * -1), 3.33829), 16.7411)) * -1)",
    67. 

  67.     "alpha 74": "((rank(correlation(close, sum(adv30, 37.4843), 15.1365)) < rank(correlation(rank(((high * 0.0261661) + (vwap * (1 - 0.0261661)))), rank(volume), 11.4791))) * -1)",
    68. 

  68.     "alpha 75": "(rank(correlation(vwap, volume, 4.24304)) < rank(correlation(rank(low), rank(adv50), 12.4413)))",
    69. 

  69.     "alpha 77": "min(rank(decay_linear(((((high + low) / 2) + high) - (vwap + high)), 20.0451)), rank(decay_linear(correlation(((high + low) / 2), adv40, 3.1614), 5.64125)))",
    70. 

  70.     "alpha 78": "(rank(correlation(sum(((low * 0.352233) + (vwap * (1 - 0.352233))), 19.7428), sum(adv40, 19.7428), 6.83313))^rank(correlation(rank(vwap), rank(volume), 5.77492)))",
    71. 

  71.     "alpha 81": "((rank(Log(product(rank((rank(correlation(vwap, sum(adv10, 49.6054), 8.47743))^4)), 14.9655))) < rank(correlation(rank(vwap), rank(volume), 5.07914))) * -1)",
    72. 

  72.     "alpha 83": "((rank(delay(((high - low) / (sum(close, 5) / 5)), 2)) * rank(rank(volume))) / (((high - low) / (sum(close, 5) / 5)) / (vwap - close)))",
    73. 

  73.     "alpha 84": "SignedPower(Ts_Rank((vwap - ts_max(vwap, 15.3217)), 20.7127), delta(close, 4.96796))",
    74. 

  74.     "alpha 85": "(rank(correlation(((high * 0.876703) + (close * (1 - 0.876703))), adv30, 9.61331))^rank(correlation(Ts_Rank(((high + low) / 2), 3.70596), Ts_Rank(volume, 10.1595), 7.11408)))",
    75. 

  75.     "alpha 86": "((Ts_Rank(correlation(close, sum(adv20, 14.7444), 6.00049), 20.4195) < rank(((open + close) - (vwap + open)))) * -1)",
    76. 

  76.     "alpha 88": "min(rank(decay_linear(((rank(open) + rank(low)) - (rank(high) + rank(close))), 8.06882)), Ts_Rank(decay_linear(correlation(Ts_Rank(close, 8.44728), Ts_Rank(adv60, 20.6966), 8.01266), 6.65053), 2.61957))",
    77. 

  77.     "alpha 92": "min(Ts_Rank(decay_linear(((((high + low) / 2) + close) < (low + open)), 14.7221), 18.8683), Ts_Rank(decay_linear(correlation(rank(low), rank(adv30), 7.58555), 6.94024), 6.80584))",
    78. 

  78.     "alpha 94": "((rank((vwap - ts_min(vwap, 11.5783)))^Ts_Rank(correlation(Ts_Rank(vwap, 19.6462), Ts_Rank(adv60, 4.02992), 18.0926), 2.70756)) * -1)",
    79. 

  79.     "alpha 95": "(rank((open - ts_min(open, 12.4105))) < Ts_Rank((rank(correlation(sum(((high + low) / 2), 19.1351), sum(adv40, 19.1351), 12.8742))^5), 11.7584))",
    80. 

  80.     "alpha 96": "(max(Ts_Rank(decay_linear(correlation(rank(vwap), rank(volume), 3.83878), 4.16783), 8.38151), Ts_Rank(decay_linear(Ts_ArgMax(correlation(Ts_Rank(close, 7.45404), Ts_Rank(adv60, 4.13242), 3.65459), 12.6556), 14.0365), 13.4143)) * -1)",
    81. 

  81.     "alpha 98": "(rank(decay_linear(correlation(vwap, sum(adv5, 26.4719), 4.58418), 7.18088)) - rank(decay_linear(Ts_Rank(Ts_ArgMin(correlation(rank(open), rank(adv15), 20.8187), 8.62571), 6.95668), 8.07206)))",
    82. 

  82.     "alpha 99": "((rank(correlation(sum(((high + low) / 2), 19.8975), sum(adv60, 19.8975), 8.8136)) < rank(correlation(low, volume, 6.28259))) * -1)",
    83. 

  83.     "alpha 101": "((close - open) / ((high - low) + .001))",
    84. 

  84.     "alpha 48": "(indneutralize(((correlation(delta(close, 1), delta(delay(close, 1), 1), 250) * delta(close, 1)) / close), IndClass.subindustry) / sum(((delta(close, 1) / delay(close, 1))^2), 250))",
    85. 

  85.     "alpha 56": "(0 - (1 * (rank((sum(returns, 10) / sum(sum(returns, 2), 3))) * rank((returns * cap)))))",
    86. 

  86.     "alpha 58": "(-1 * Ts_Rank(decay_linear(correlation(IndNeutralize(vwap, IndClass.sector), volume, 3.92795), 7.89291), 5.50322))",
    87. 

  87.     "alpha 59": "(-1 * Ts_Rank(decay_linear(correlation(IndNeutralize(((vwap * 0.728317) + (vwap * (1 - 0.728317))), IndClass.industry), volume, 4.25197), 16.2289), 8.19648))",
    88. 

  88.     "alpha 63": "((rank(decay_linear(delta(IndNeutralize(close, IndClass.industry), 2.25164), 8.22237)) - rank(decay_linear(correlation(((vwap * 0.318108) + (open * (1 - 0.318108))), sum(adv180, 37.2467), 13.557), 12.2883))) * -1)",
    89. 

  89.     "alpha 67": "((rank((high - ts_min(high, 2.14593)))^rank(correlation(IndNeutralize(vwap, IndClass.sector), IndNeutralize(adv20, IndClass.subindustry), 6.02936))) * -1)",
    90. 

  90.     "alpha 69": "((rank(ts_max(delta(IndNeutralize(vwap, IndClass.industry), 2.72412), 4.79344))^Ts_Rank(correlation(((close * 0.490655) + (vwap * (1 - 0.490655))), adv20, 4.92416), 9.0615)) * -1)",
    91. 

  91.     "alpha 70": "((rank(delta(vwap, 1.29456))^Ts_Rank(correlation(IndNeutralize(close, IndClass.industry), adv50, 17.8256), 17.9171)) * -1)",
    92. 

  92.     "alpha 76": "(max(rank(decay_linear(delta(vwap, 1.24383), 11.8259)), Ts_Rank(decay_linear(Ts_Rank(correlation(IndNeutralize(low, IndClass.sector), adv81, 8.14941), 19.569), 17.1543), 19.383)) * -1)",
    93. 

  93.     "alpha 79": "(rank(delta(IndNeutralize(((close * 0.60733) + (open * (1 - 0.60733))), IndClass.sector), 1.23438)) < rank(correlation(Ts_Rank(vwap, 3.60973), Ts_Rank(adv150, 9.18637), 14.6644)))",
    94. 

  94.     "alpha 80": "((rank(Sign(delta(IndNeutralize(((open * 0.868128) + (high * (1 - 0.868128))), IndClass.industry), 4.04545)))^Ts_Rank(correlation(high, adv10, 5.11456), 5.53756)) * -1)",
    95. 

  95.     "alpha 82": "(min(rank(decay_linear(delta(open, 1.46063), 14.8717)), Ts_Rank(decay_linear(correlation(IndNeutralize(volume, IndClass.sector), ((open * 0.634196) + (open * (1 - 0.634196))), 17.4842), 6.92131), 13.4283)) * -1)",
    96. 

  96.     "alpha 87": "(max(rank(decay_linear(delta(((close * 0.369701) + (vwap * (1 - 0.369701))), 1.91233), 2.65461)), Ts_Rank(decay_linear(abs(correlation(IndNeutralize(adv81, IndClass.industry), close, 13.4132)), 4.89768), 14.4535)) * -1)",
    97. 

  97.     "alpha 89": "(Ts_Rank(decay_linear(correlation(((low * 0.967285) + (low * (1 - 0.967285))), adv10, 6.94279), 5.51607), 3.79744) - Ts_Rank(decay_linear(delta(IndNeutralize(vwap, IndClass.industry), 3.48158), 10.1466), 15.3012))",
    98. 

  98.     "alpha 90": "((rank((close - ts_max(close, 4.66719)))^Ts_Rank(correlation(IndNeutralize(adv40, IndClass.subindustry), low, 5.38375), 3.21856)) * -1)",
    99. 

  99.     "alpha 91": "((Ts_Rank(decay_linear(decay_linear(correlation(IndNeutralize(close, IndClass.industry), volume, 9.74928), 16.398), 3.83219), 4.8667) - rank(decay_linear(correlation(vwap, adv30, 4.01303), 2.6809))) * -1)",
    100. 

  100.     "alpha 93": "(Ts_Rank(decay_linear(correlation(IndNeutralize(vwap, IndClass.industry), adv81, 17.4193), 19.848), 7.54455) / rank(decay_linear(delta(((close * 0.524434) + (vwap * (1 - 0.524434))), 2.77377), 16.2664)))",
    101. 

  101.     "alpha 97": "((rank(decay_linear(delta(IndNeutralize(((low * 0.721001) + (vwap * (1 - 0.721001))), IndClass.industry), 3.3705), 20.4523)) - Ts_Rank(decay_linear(Ts_Rank(correlation(Ts_Rank(low, 7.87871), Ts_Rank(adv60, 17.255), 4.97547), 18.5925), 15.7152), 6.71659)) * -1)",
    102. 

  102.     "alpha 100": "(0 - (1 * (((1.5 * scale(indneutralize(indneutralize(rank(((((close - low) - (high - close)) / (high - low)) * volume)), IndClass.subindustry), IndClass.subindustry))) - scale(indneutralize((correlation(close, rank(adv20), 5) - rank(ts_argmin(close, 30))), IndClass.subindustry))) * (volume / adv20))))"
    103. 

  103. }
    104.