quantlab.factor.predefined.short_horizon.ShortHorizonAlpha#

class quantlab.factor.predefined.short_horizon.ShortHorizonAlpha(config)[source]#

Bases: FactorKunQuant

Short-horizon literature factors on daily bars: reversal, MAX, turnover momentum, volume, return components.

The panel needs SHORT_HORIZON_COLUMNS in config.data_columns (adjusted open, close and volume, and the market cap). warmup_bars should cover the longest window, 21 bars.

Parameters:

configFactorConfig: data_columns must be SHORT_HORIZON_COLUMNS.

Raises:

ValueError: If data_columns is not SHORT_HORIZON_COLUMNS.

Examples

>>> factor = ShortHorizonAlpha(FactorConfig(
...     warmup_bars=25, dataset=prices, mode="batch", data_columns=SHORT_HORIZON_COLUMNS,
... ))
>>> factor.get_factor_names()[:4]
('reversal_1', 'reversal_3', 'reversal_5', 'low_max_20')