quantlab.factor.predefined.alpha158#
Alpha158 factor sets computed with the KunQuant backend.
Alpha158 is the standard feature set of Microsoft’s Qlib research platform:
about 158 features describing the shape of each bar (the “k-bar”, or
candlestick), recent prices and volumes relative to today’s close, and
rolling statistics over several window lengths. KunQuant, the library this
project uses for most factor computation, ships it as its Alpha158
library. KunQuant compiles a factor formula, written as a graph of
operators, to native code and runs it over a whole (timestamp, symbol)
panel at once.
Two FactorKunQuant subclasses expose the library:
Alpha158SpotKline works on crypto spot klines and z-scores every output
along time, while Alpha158Stock works on adjusted US-equity bars and
z-scores every output across symbols.
Classes
Alpha158 factors over crypto spot klines, z-scored along time. |
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Alpha158 factors over adjusted US-equity bars, z-scored across symbols. |