Comments (4)
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t1 = IF((RET < 0), STD(RET, 20), CLOSE)
有以下可能:
- (RANK(MAX(t1 ** 2), 5)) # 的确是错的
- (RANK(MAX(t1 ** 2, 5))) # 即求的是MAX(..., 5)
- (RANK(TSMAX(t1 ** 2, 5))) # 即求的是TSMAX(..., 5)
用哪种还不确定
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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
from ta_cn.
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))
from ta_cn.
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