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Alpha10公式有疑问 #2
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t1 = IF((RET < 0), STD(RET, 20), CLOSE) 有以下可能:
用哪种还不确定 |
我记得网上说Alpha191大量复制于Alpha101,所以我又去找了下101的写法 Alpha#1: (rank(Ts_ArgMax(SignedPower(((returns < 0) ? stddev(returns, 20) : close), 2.), 5)) - 0.5) 所以是TSMAX的可能性更大,不过101中是ts_argmax,这还是有区别的。 如果你也认同是TSMAX,我之后将修改一下 |
我赞同改成RANK(TSMAX(t1**2,5)) |
原先这个RANK是没有参数的,源码中传入5应该被忽略
原先研报中是否是
先取5日MAX,再取RANK
(RANK(TSMAX(((RET < 0) ? STD(RET, 20) : CLOSE)^2),5)))
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