Alpha158因子构建公式

Qlib 官方原版 Alpha158 全158因子

一、K线基础因子（9）

KMID = (close - open) / open
KLEN = (high - low) / open
KMID2 = (close - open) / (high - low)
KUP = (high - Max(open, close)) / open
KUP2 = (high - Max(open, close)) / (high - low)
KLOW = (Min(open, close) - low) / open
KLOW2 = (Min(open, close) - low) / (high - low)
KSFT = (2 * close - high - low) / open
KSFT2 = (2 * close - high - low) / (high - low)

二、静态价格因子（4）

OPEN0 = open / close
HIGH0 = high / close
LOW0 = low / close
VWAP0 = vwap / close(未赋权数据)

三、趋势类因子（5×5=25）

ROC5 = Ref(close, 5) / close
ROC10 = Ref(close, 10) / close
ROC20 = Ref(close, 20) / close
ROC30 = Ref(close, 30) / close
ROC60 = Ref(close, 60) / close
MA5 = Mean(close, 5) / close
MA10 = Mean(close, 10) / close
MA20 = Mean(close, 20) / close
MA30 = Mean(close, 30) / close
MA60 = Mean(close, 60) / close
BETA5 = Slope(close, 5) / close
BETA10 = Slope(close, 10) / close
BETA20 = Slope(close, 20) / close
BETA30 = Slope(close, 30) / close
BETA60 = Slope(close, 60) / close
RSQR5 = Rsquare(close, 5)
RSQR10 = Rsquare(close, 10)
RSQR20 = Rsquare(close, 20)
RSQR30 = Rsquare(close, 30)
RSQR60 = Rsquare(close, 60)
RESI5 = Resi(close, 5) / close
RESI10 = Resi(close, 10) / close
RESI20 = Resi(close, 20) / close
RESI30 = Resi(close, 30) / close
RESI60 = Resi(close, 60) / close

四、波动类因子（6×5=30）

STD5 = Std(close, 5) / close
STD10 = Std(close, 10) / close
STD20 = Std(close, 20) / close
STD30 = Std(close, 30) / close
STD60 = Std(close, 60) / close
MAX5 = Max(high, 5) / close
MAX10 = Max(high, 10) / close
MAX20 = Max(high, 20) / close
MAX30 = Max(high, 30) / close
MAX60 = Max(high, 60) / close
MIN5 = Min(low, 5) / close
MIN10 = Min(low, 10) / close
MIN20 = Min(low, 20) / close
MIN30 = Min(low, 30) / close
MIN60 = Min(low, 60) / close
QTLU5 = Quantile(close, 5, 0.8) / close
QTLU10 = Quantile(close, 10, 0.8) / close
QTLU20 = Quantile(close, 20, 0.8) / close
QTLU30 = Quantile(close, 30, 0.8) / close
QTLU60 = Quantile(close, 60, 0.8) / close
QTLD5 = Quantile(close, 5, 0.2) / close
QTLD10 = Quantile(close, 10, 0.2) / close
QTLD20 = Quantile(close, 20, 0.2) / close
QTLD30 = Quantile(close, 30, 0.2) / close
QTLD60 = Quantile(close, 60, 0.2) / close
RSV5 = (close - Min(low, 5)) / (Max(high, 5) - Min(low, 5))
RSV10 = (close - Min(low, 10)) / (Max(high, 10) - Min(low, 10))
RSV20 = (close - Min(low, 20)) / (Max(high, 20) - Min(low, 20))
RSV30 = (close - Min(low, 30)) / (Max(high, 30) - Min(low, 30))
RSV60 = (close - Min(low, 60)) / (Max(high, 60) - Min(low, 60))

五、极值位置类因子（3×5=15）

IMAX5 = IdxMax(high, 5) / 5
IMAX10 = IdxMax(high, 10) / 10
IMAX20 = IdxMax(high, 20) / 20
IMAX30 = IdxMax(high, 30) / 30
IMAX60 = IdxMax(high, 60) / 60
IMIN5 = IdxMin(low, 5) / 5
IMIN10 = IdxMin(low, 10) / 10
IMIN20 = IdxMin(low, 20) / 20
IMIN30 = IdxMin(low, 30) / 30
IMIN60 = IdxMin(low, 60) / 60
IMXD5 = (IdxMax(high, 5) - IdxMin(low, 5)) / 5
IMXD10 = (IdxMax(high, 10) - IdxMin(low, 10)) / 10
IMXD20 = (IdxMax(high, 20) - IdxMin(low, 20)) / 20
IMXD30 = (IdxMax(high, 30) - IdxMin(low, 30)) / 30
IMXD60 = (IdxMax(high, 60) - IdxMin(low, 60)) / 60

六、价量统计类因子（9×5=45）

CORR5 = Corr(close, Log(volume+1), 5)
CORR10 = Corr(close, Log(volume+1), 10)
CORR20 = Corr(close, Log(volume+1), 20)
CORR30 = Corr(close, Log(volume+1), 30)
CORR60 = Corr(close, Log(volume+1), 60)
CORD5 = Corr(close/Ref(close,1), Log(volume/Ref(volume,1)+1), 5)
CORD10 = Corr(close/Ref(close,1), Log(volume/Ref(volume,1)+1), 10)
CORD20 = Corr(close/Ref(close,1), Log(volume/Ref(volume,1)+1), 20)
CORD30 = Corr(close/Ref(close,1), Log(volume/Ref(volume,1)+1), 30)
CORD60 = Corr(close/Ref(close,1), Log(volume/Ref(volume,1)+1), 60)
CNTP5 = Mean(close > Ref(close,1), 5)
CNTP10 = Mean(close > Ref(close,1), 10)
CNTP20 = Mean(close > Ref(close,1), 20)
CNTP30 = Mean(close > Ref(close,1), 30)
CNTP60 = Mean(close > Ref(close,1), 60)
CNTN5 = Mean(close < Ref(close,1), 5)
CNTN10 = Mean(close < Ref(close,1), 10)
CNTN20 = Mean(close < Ref(close,1), 20)
CNTN30 = Mean(close < Ref(close,1), 30)
CNTN60 = Mean(close < Ref(close,1), 60)
CNTD5 = Mean(close>Ref(close,1),5) - Mean(close<Ref(close,1),5)
CNTD10 = Mean(close>Ref(close,1),10) - Mean(close<Ref(close,1),10)
CNTD20 = Mean(close>Ref(close,1),20) - Mean(close<Ref(close,1),20)
CNTD30 = Mean(close>Ref(close,1),30) - Mean(close<Ref(close,1),30)
CNTD60 = Mean(close>Ref(close,1),60) - Mean(close<Ref(close,1),60)
SUMP5 = Sum(Max(close-Ref(close,1),0),5) / Sum(Abs(close-Ref(close,1)),5)
SUMP10 = Sum(Max(close-Ref(close,1),0),10) / Sum(Abs(close-Ref(close,1)),10)
SUMP20 = Sum(Max(close-Ref(close,1),0),20) / Sum(Abs(close-Ref(close,1)),20)
SUMP30 = Sum(Max(close-Ref(close,1),0),30) / Sum(Abs(close-Ref(close,1)),30)
SUMP60 = Sum(Max(close-Ref(close,1),0),60) / Sum(Abs(close-Ref(close,1)),60)
SUMN5 = Sum(Max(Ref(close,1)-close,0),5) / Sum(Abs(close-Ref(close,1)),5)
SUMN10 = Sum(Max(Ref(close,1)-close,0),10) / Sum(Abs(close-Ref(close,1)),10)
SUMN20 = Sum(Max(Ref(close,1)-close,0),20) / Sum(Abs(close-Ref(close,1)),20)
SUMN30 = Sum(Max(Ref(close,1)-close,0),30) / Sum(Abs(close-Ref(close,1)),30)
SUMN60 = Sum(Max(Ref(close,1)-close,0),60) / Sum(Abs(close-Ref(close,1)),60)
SUMD5 = (Sum(Max(close-Ref(close,1),0),5) - Sum(Max(Ref(close,1)-close,0),5)) / Sum(Abs(close-Ref(close,1)),5)
SUMD10 = (Sum(Max(close-Ref(close,1),0),10) - Sum(Max(Ref(close,1)-close,0),10)) / Sum(Abs(close-Ref(close,1)),10)
SUMD20 = (Sum(Max(close-Ref(close,1),0),20) - Sum(Max(Ref(close,1)-close,0),20)) / Sum(Abs(close-Ref(close,1)),20)
SUMD30 = (Sum(Max(close-Ref(close,1),0),30) - Sum(Max(Ref(close,1)-close,0),30)) / Sum(Abs(close-Ref(close,1)),30)
SUMD60 = (Sum(Max(close-Ref(close,1),0),60) - Sum(Max(Ref(close,1)-close,0),60)) / Sum(Abs(close-Ref(close,1)),60)
RANK5 = Rank(close ,5)
RANK10 = Rank(close ,10)
RANK20 = Rank(close ,20)
RANK30 = Rank(close ,30)
RANK60 = Rank(close ,60)

七、成交量波动类因子（2×5=10）

VMA5 = Mean(volume, 5) / volume
VMA10 = Mean(volume, 10) / volume
VMA20 = Mean(volume, 20) / volume
VMA30 = Mean(volume, 30) / volume
VMA60 = Mean(volume, 60) / volume
VSTD5 = Std(volume, 5) / volume
VSTD10 = Std(volume, 10) / volume
VSTD20 = Std(volume, 20) / volume
VSTD30 = Std(volume, 30) / volume
VSTD60 = Std(volume, 60) / volume

八、量价加权统计因子（4×5=20）

WVMA5 = Std(Abs(close/Ref(close,1)-1)*volume,5) / Mean(Abs(close/Ref(close,1)-1)*volume,5)
WVMA10 = Std(Abs(close/Ref(close,1)-1)*volume,10) / Mean(Abs(close/Ref(close,1)-1)*volume,10)
WVMA20 = Std(Abs(close/Ref(close,1)-1)*volume,20) / Mean(Abs(close/Ref(close,1)-1)*volume,20)
WVMA30 = Std(Abs(close/Ref(close,1)-1)*volume,30) / Mean(Abs(close/Ref(close,1)-1)*volume,30)
WVMA60 = Std(Abs(close/Ref(close,1)-1)*volume,60) / Mean(Abs(close/Ref(close,1)-1)*volume,60)
VSUMP5 = Sum(Max(volume-Ref(volume,1),0),5) / Sum(Abs(volume-Ref(volume,1)),5)
VSUMP10 = Sum(Max(volume-Ref(volume,1),0),10) / Sum(Abs(volume-Ref(volume,1)),10)
VSUMP20 = Sum(Max(volume-Ref(volume,1),0),20) / Sum(Abs(volume-Ref(volume,1)),20)
VSUMP30 = Sum(Max(volume-Ref(volume,1),0),30) / Sum(Abs(volume-Ref(volume,1)),30)
VSUMP60 = Sum(Max(volume-Ref(volume,1),0),60) / Sum(Abs(volume-Ref(volume,1)),60)
VSUMN5 = Sum(Max(Ref(volume,1)-volume,0),5) / Sum(Abs(volume-Ref(volume,1)),5)
VSUMN10 = Sum(Max(Ref(volume,1)-volume,0),10) / Sum(Abs(volume-Ref(volume,1)),10)
VSUMN20 = Sum(Max(Ref(volume,1)-volume,0),20) / Sum(Abs(volume-Ref(volume,1)),20)
VSUMN30 = Sum(Max(Ref(volume,1)-volume,0),30) / Sum(Abs(volume-Ref(volume,1)),30)
VSUMN60 = Sum(Max(Ref(volume,1)-volume,0),60) / Sum(Abs(volume-Ref(volume,1)),60)
VSUMD5 = (Sum(Max(volume-Ref(volume,1),0),5) - Sum(Max(Ref(volume,1)-volume,0),5)) / Sum(Abs(volume-Ref(volume,1)),5)
VSUMD10 = (Sum(Max(volume-Ref(volume,1),0),10) - Sum(Max(Ref(volume,1)-volume,0),10)) / Sum(Abs(volume-Ref(volume,1)),10)
VSUMD20 = (Sum(Max(volume-Ref(volume,1),0),20) - Sum(Max(Ref(volume,1)-volume,0),20)) / Sum(Abs(volume-Ref(volume,1)),20)
VSUMD30 = (Sum(Max(volume-Ref(volume,1),0),30) - Sum(Max(Ref(volume,1)-volume,0),30)) / Sum(Abs(volume-Ref(volume,1)),30)
VSUMD60 = (Sum(Max(volume-Ref(volume,1),0),60) - Sum(Max(Ref(volume,1)-volume,0),60)) / Sum(Abs(volume-Ref(volume,1)),60)

完整因子加工源码：

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