quantlab.factor.predefined.alternative_alpha.AlternativeAlpha

class quantlab.factor.predefined.alternative_alpha.AlternativeAlpha(config)

Bases: FactorKunQuant

Compute the sixteen short-selling, news, 8-K event and 10-K text characteristics in KunQuant.

Only the selected factor_names are built, and data_columns must name exactly AlternativeAlphaParameters.required_panel_columns of them. warmup_bars should cover event_window (252 by default).

Parameters:

configFactorConfig

mode must be "batch".

Raises:

ValueError

If an output is unknown, data_columns does not match the outputs, or kwargs is invalid.

Examples

panel merges SEP, DAILY, SF3A, EVENTS and the Massive short interest, short volume and news panels:

names = ("days_to_cover", "earnings_announcement_return")
factor = AlternativeAlpha(FactorConfig(
    warmup_bars=252, dataset=panel, mode="batch", factor_names=names,
    data_columns=AlternativeAlphaParameters.required_panel_columns(names),
))
factor.compute("2020-01-02", "2020-12-31")

init_stream()

Refuse: AlternativeAlpha has no streaming graph.

Raises:

ValueError

Always.