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Alpha191因子是国泰君安证券研究者，于2017年6月，在《数量化专题: 基于短周期价量特征的多因子选股体系》研报中提出的191个因子，具体的因子表达式如下
193 个字段 · 主键 date + instrument
复现《20170615－国泰君安－数量化专题之九十三：基于短周期价量特征的多因子选股体系》一文中提到的191个因子
Alpha1 (-1 * CORR(RANK(DELTA(LOG(VOLUME), 1)), RANK(((CLOSE - OPEN) / OPEN)), 6))
Alpha2 (-1 * DELTA((((CLOSE - LOW) - (HIGH - CLOSE)) / (HIGH - LOW)), 1))
Alpha3 SUM((CLOSE=DELAY(CLOSE,1)?0:CLOSE-(CLOSE>DELAY(CLOSE,1)?MIN(LOW,DELAY(CLOSE,1)):MAX(HIGH,DELAY(CLOSE,1)))),6)
Alpha4 ((((SUM(CLOSE, 8) / 8) + STD(CLOSE, 8)) < (SUM(CLOSE, 2) / 2)) ? (-1 * 1) : (((SUM(CLOSE, 2) / 2) < ((SUM(CLOSE, 8) / 8) - STD(CLOSE, 8))) ? 1 : (((1 < (VOLUME / MEAN(VOLUME,20))) || ((VOLUME / MEAN(VOLUME,20)) == 1)) ? 1 : (-1 * 1))))
Alpha5 (-1 * TSMAX(CORR(TSRANK(VOLUME, 5), TSRANK(HIGH, 5), 5), 3))
Alpha6 (RANK(SIGN(DELTA((((OPEN * 0.85) + (HIGH * 0.15))), 4)))* -1)
Alpha7 ((RANK(MAX((VWAP - CLOSE), 3)) + RANK(MIN((VWAP - CLOSE), 3))) * RANK(DELTA(VOLUME, 3)))
Alpha8 RANK(DELTA(((((HIGH + LOW) / 2) * 0.2) + (VWAP * 0.8)), 4) * -1)
Alpha9 SMA(((HIGH+LOW)/2-(DELAY(HIGH,1)+DELAY(LOW,1))/2)*(HIGH-LOW)/VOLUME,7,2)
Alpha10 (RANK(MAX(((RET < 0) ? STD(RET, 20) : CLOSE)^2),5))
Alpha11 SUM(((CLOSE-LOW)-(HIGH-CLOSE))./(HIGH-LOW).*VOLUME,6)
Alpha12 (RANK((OPEN - (SUM(VWAP, 10) / 10)))) * (-1 * (RANK(ABS((CLOSE - VWAP)))))
Alpha13 (((HIGH * LOW)^0.5) - VWAP)
Alpha14 CLOSE-DELAY(CLOSE,5)
Alpha15 OPEN/DELAY(CLOSE,1)-1
Alpha16 (-1 * TSMAX(RANK(CORR(RANK(VOLUME), RANK(VWAP), 5)), 5))
Alpha17 RANK((VWAP - MAX(VWAP, 15)))^DELTA(CLOSE, 5)
Alpha18 CLOSE/DELAY(CLOSE,5)
Alpha19 (CLOSE<DELAY(CLOSE,5)?(CLOSE-DELAY(CLOSE,5))/DELAY(CLOSE,5):(CLOSE=DELAY(CLOSE,5)?0:(CLOSE-DELAY(CLOSE,5))/CLOSE))
Alpha20 (CLOSE-DELAY(CLOSE,6))/DELAY(CLOSE,6)*100
Alpha21 REGBETA(MEAN(CLOSE,6),SEQUENCE(6))
Alpha22 SMEAN(((CLOSE-MEAN(CLOSE,6))/MEAN(CLOSE,6)-DELAY((CLOSE-MEAN(CLOSE,6))/MEAN(CLOSE,6),3)),12,1)
Alpha23 SMA((CLOSE>DELAY(CLOSE,1)?STD(CLOSE:20),0),20,1)/(SMA((CLOSE>DELAY(CLOSE,1)?STD(CLOSE,20):0),20,1)+SMA((CLOSE<=DELAY(CLOSE,1)?STD(CLOSE,20):0),20,1))*100
Alpha24 SMA(CLOSE-DELAY(CLOSE,5),5,1)
Alpha25 ((-1 * RANK((DELTA(CLOSE, 7) * (1 - RANK(DECAYLINEAR((VOLUME / MEAN(VOLUME,20)), 9)))))) * (1 + RANK(SUM(RET, 250))))
Alpha26 ((((SUM(CLOSE, 7) / 7) - CLOSE)) + ((CORR(VWAP, DELAY(CLOSE, 5), 230))))
Alpha27 WMA((CLOSE-DELAY(CLOSE,3))/DELAY(CLOSE,3)*100+(CLOSE-DELAY(CLOSE,6))/DELAY(CLOSE,6)*100,12)
Alpha28 3*SMA((CLOSE-TSMIN(LOW,9))/(TSMAX(HIGH,9)-TSMIN(LOW,9))100,3,1)-2SMA(SMA((CLOSE-TSMIN(LOW,9))/(MAX(HIGH,9)-TSMAX(LOW,9))*100,3,1),3,1)
Alpha29 (CLOSE-DELAY(CLOSE,6))/DELAY(CLOSE,6)*VOLUME
Alpha30 WMA((REGRESI(CLOSE/DELAY(CLOSE)-1,MKT,SMB,HML，60))^2,20)
Alpha31 (CLOSE-MEAN(CLOSE,12))/MEAN(CLOSE,12)*100
Alpha32 (-1 * SUM(RANK(CORR(RANK(HIGH), RANK(VOLUME), 3)), 3))
Alpha33 ((((-1 * TSMIN(LOW, 5)) + DELAY(TSMIN(LOW, 5), 5)) * RANK(((SUM(RET, 240) - SUM(RET, 20)) / 220))) * TSRANK(VOLUME, 5))
Alpha34 MEAN(CLOSE,12)/CLOSE
Alpha35 (MIN(RANK(DECAYLINEAR(DELTA(OPEN, 1), 15)), RANK(DECAYLINEAR(CORR((VOLUME), ((OPEN * 0.65) + (OPEN *0.35)), 17),7))) * -1)
Alpha36 RANK(SUM(CORR(RANK(VOLUME), RANK(VWAP)), 6), 2)
Alpha37 (-1 * RANK(((SUM(OPEN, 5) * SUM(RET, 5)) - DELAY((SUM(OPEN, 5) * SUM(RET, 5)), 10))))
Alpha38 (((SUM(HIGH, 20) / 20) < HIGH) ? (-1 * DELTA(HIGH, 2)) : 0)
Alpha39 ((RANK(DECAYLINEAR(DELTA((CLOSE), 2),8)) - RANK(DECAYLINEAR(CORR(((VWAP * 0.3) + (OPEN * 0.7)), SUM(MEAN(VOLUME,180), 37), 14), 12))) * -1)
Alpha40 SUM((CLOSE>DELAY(CLOSE,1)?VOLUME:0),26)/SUM((CLOSE<=DELAY(CLOSE,1)?VOLUME:0),26)*100
Alpha41 (RANK(MAX(DELTA((VWAP), 3), 5))* -1)
Alpha42 ((-1 * RANK(STD(HIGH, 10))) * CORR(HIGH, VOLUME, 10))
Alpha43 SUM((CLOSE>DELAY(CLOSE,1)?VOLUME:(CLOSE<DELAY(CLOSE,1)?-VOLUME:0)),6)
Alpha44 (TSRANK(DECAYLINEAR(CORR(((LOW )), MEAN(VOLUME,10), 7), 6),4) + TSRANK(DECAYLINEAR(DELTA((VWAP), 3), 10), 15))
Alpha45 (RANK(DELTA((((CLOSE * 0.6) + (OPEN *0.4))), 1)) * RANK(CORR(VWAP, MEAN(VOLUME,150), 15)))
Alpha46 (MEAN(CLOSE,3)+MEAN(CLOSE,6)+MEAN(CLOSE,12)+MEAN(CLOSE,24))/(4*CLOSE)
Alpha47 SMA((TSMAX(HIGH,6)-CLOSE)/(TSMAX(HIGH,6)-TSMIN(LOW,6))*100,9,1)
Alpha48 (-1*((RANK(((SIGN((CLOSE - DELAY(CLOSE, 1))) + SIGN((DELAY(CLOSE, 1) - DELAY(CLOSE, 2)))) + SIGN((DELAY(CLOSE, 2) - DELAY(CLOSE, 3)))))) * SUM(VOLUME, 5)) / SUM(VOLUME, 20))
Alpha49 SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)/(SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX (ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)+SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12))
Alpha50 SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)/(SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX (ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)+SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12))-SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)/(SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)+SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12))
Alpha51 SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)/(SUM(((HIGH+LOW)<=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12)+SUM(((HIGH+LOW)>=(DELAY(HIGH,1)+DELAY(LOW,1))?0:MAX(ABS(HIGH-DELAY(HIGH,1)),ABS(LOW-DELAY(LOW,1)))),12))
Alpha52 SUM(MAX(0,HIGH-DELAY((HIGH+LOW+CLOSE)/3,1)),26)/SUM(MAX(0,DELAY((HIGH+LOW+CLOSE)/3,1)-L),26)* 100
Alpha53 COUNT(CLOSE>DELAY(CLOSE,1),12)/12*100
Alpha54 (-1 * RANK((STD(ABS(CLOSE - OPEN)) + (CLOSE - OPEN)) + CORR(CLOSE, OPEN,10)))
Alpha55 SUM(16*(CLOSE-DELAY(CLOSE,1)+(CLOSE-OPEN)/2+DELAY(CLOSE,1)-DELAY(OPEN,1))/((ABS(HIGH-DELAY(CLOSE,1))>ABS(LOW-DELAY(CLOSE,1)) & ABS(HIGH-DELAY(CLOSE,1))>ABS (HIGH-DELAY(LOW,1))?ABS(HIGH-DELAY(CLOSE,1))+ABS(LOW-DELAY(CLOSE,1))/2+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4:(ABS(LOW-DELAY(CLOSE,1))>ABS(HIGH-DELAY(LOW,1)) & ABS(LOW-DELAY(CLOSE,1))>ABS(HIGH-DELAY(CLOSE,1))?ABS(LOW-DELAY(CLOSE,1))+ABS(HIGH-DELAY(CLOSE,1))/2+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4:ABS(HIGH-DELAY(LOW,1))+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4)))*MAX(ABS(HIGH-DELAY(CLOSE,1)),ABS(LOW-DELAY(CLOSE,1))),20)
Alpha56 (RANK((OPEN - TSMIN(OPEN, 12))) < RANK((RANK(CORR(SUM(((HIGH + LOW) / 2), 19), SUM(MEAN(VOLUME,40), 19), 13))^5)))
Alpha57 SMA((CLOSE-TSMIN(LOW,9))/(TSMAX(HIGH,9)-TSMIN(LOW,9))*100,3,1)
Alpha58 COUNT(CLOSE>DELAY(CLOSE,1),20)/20*100
Alpha59 SUM((CLOSE=DELAY(CLOSE,1)?0:CLOSE-(CLOSE>DELAY(CLOSE,1)?MIN(LOW,DELAY(CLOSE,1)):MAX(HIGH,DELAY(CLOSE,1)))),20)
Alpha60 SUM(((CLOSE-LOW)-(HIGH-CLOSE))./(HIGH-LOW).*VOLUME,20)
Alpha61 (MAX(RANK(DECAYLINEAR(DELTA(VWAP, 1), 12)), RANK(DECAYLINEAR(RANK(CORR((LOW),MEAN(VOLUME,80), 8)), 17))) * -1)
Alpha62 (-1 * CORR(HIGH, RANK(VOLUME), 5))
Alpha63 SMA(MAX(CLOSE-DELAY(CLOSE,1),0),6,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),6,1)*100
Alpha64 (MAX(RANK(DECAYLINEAR(CORR(RANK(VWAP), RANK(VOLUME), 4), 4)), RANK(DECAYLINEAR(MAX(CORR(RANK(CLOSE), RANK(MEAN(VOLUME,60)), 4), 13), 14))) * -1)
Alpha65 MEAN(CLOSE,6)/CLOSE
Alpha66 (CLOSE-MEAN(CLOSE,6))/MEAN(CLOSE,6)*100
Alpha67 SMA(MAX(CLOSE-DELAY(CLOSE,1),0),24,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),24,1)*100
Alpha68 SMA(((HIGH+LOW)/2-(DELAY(HIGH,1)+DELAY(LOW,1))/2)*(HIGH-LOW)/VOLUME,15,2)
Alpha69 (SUM(DTM,20)>SUM(DBM,20)?(SUM(DTM,20)-SUM(DBM,20))/SUM(DTM,20):(SUM(DTM,20)=SUM(DBM,20)?0:(SUM(DTM,20)-SUM(DBM,20))/SUM(DBM,20)))
Alpha70 STD(AMOUNT,6)
Alpha71 (CLOSE-MEAN(CLOSE,24))/MEAN(CLOSE,24)*100
Alpha72 SMA((TSMAX(HIGH,6)-CLOSE)/(TSMAX(HIGH,6)-TSMIN(LOW,6))*100,15,1)
Alpha73 ((TSRANK(DECAYLINEAR(DECAYLINEAR(CORR((CLOSE), VOLUME, 10), 16), 4), 5) - RANK(DECAYLINEAR(CORR(VWAP, MEAN(VOLUME,30), 4),3))) * -1)
Alpha74 (RANK(CORR(SUM(((LOW * 0.35) + (VWAP * 0.65)), 20), SUM(MEAN(VOLUME,40), 20), 7)) + RANK(CORR(RANK(VWAP), RANK(VOLUME), 6)))
Alpha75 COUNT(CLOSE>OPEN & BANCHMARKINDEXCLOSE<BANCHMARKINDEXOPEN,50)/COUNT(BANCHMARKINDEXCLOSE<BANCHMARKINDEXOPEN,50)
Alpha76 STD(ABS((CLOSE/DELAY(CLOSE,1)-1))/VOLUME,20)/MEAN(ABS((CLOSE/DELAY(CLOSE,1)-1))/VOLUME,20)
Alpha77 MIN(RANK(DECAYLINEAR(((((HIGH + LOW) / 2) + HIGH) - (VWAP + HIGH)), 20)), RANK(DECAYLINEAR(CORR(((HIGH + LOW) / 2), MEAN(VOLUME,40), 3), 6)))
Alpha78 ((HIGH+LOW+CLOSE)/3-MA((HIGH+LOW+CLOSE)/3,12))/(0.015*MEAN(ABS(CLOSE-MEAN((HIGH+LOW+CLOSE)/3,12)),12))
Alpha79 SMA(MAX(CLOSE-DELAY(CLOSE,1),0),12,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),12,1)*100
Alpha80 (VOLUME-DELAY(VOLUME,5))/DELAY(VOLUME,5)*100
Alpha81 SMA(VOLUME,21,2)
Alpha82 SMA((TSMAX(HIGH,6)-CLOSE)/(TSMAX(HIGH,6)-TSMIN(LOW,6))*100,20,1)
Alpha83 (-1 * RANK(COVIANCE(RANK(HIGH), RANK(VOLUME), 5)))
Alpha84 SUM((CLOSE>DELAY(CLOSE,1)?VOLUME:(CLOSE<DELAY(CLOSE,1)?-VOLUME:0)),20)
Alpha85 (TSRANK((VOLUME / MEAN(VOLUME,20)), 20) * TSRANK((-1 * DELTA(CLOSE, 7)), 8))
Alpha86 ((0.25 < (((DELAY(CLOSE, 20) - DELAY(CLOSE, 10)) / 10) - ((DELAY(CLOSE, 10) - CLOSE) / 10))) ? (-1 * 1) : (((((DELAY(CLOSE, 20) - DELAY(CLOSE, 10)) / 10) - ((DELAY(CLOSE, 10) - CLOSE) / 10)) < 0) ? 1 : ((-1 * 1) * (CLOSE - DELAY(CLOSE, 1)))))
Alpha87 ((RANK(DECAYLINEAR(DELTA(VWAP, 4), 7)) + TSRANK(DECAYLINEAR(((((LOW * 0.9) + (LOW * 0.1)) - VWAP) / (OPEN - ((HIGH + LOW) / 2))), 11), 7)) * -1)
Alpha88 (CLOSE-DELAY(CLOSE,20))/DELAY(CLOSE,20)*100
Alpha89 2*(SMA(CLOSE,13,2)-SMA(CLOSE,27,2)-SMA(SMA(CLOSE,13,2)-SMA(CLOSE,27,2),10,2))
Alpha90 ( RANK(CORR(RANK(VWAP), RANK(VOLUME), 5)) * -1)
Alpha91 ((RANK((CLOSE - MAX(CLOSE, 5)))*RANK(CORR((MEAN(VOLUME,40)), LOW, 5))) * -1)
Alpha92 (MAX(RANK(DECAYLINEAR(DELTA(((CLOSE * 0.35) + (VWAP *0.65)), 2), 3)), TSRANK(DECAYLINEAR(ABS(CORR((MEAN(VOLUME,180)), CLOSE, 13)), 5), 15)) * -1)
Alpha93 SUM((OPEN>=DELAY(OPEN,1)?0:MAX((OPEN-LOW),(OPEN-DELAY(OPEN,1)))),20)
Alpha94 SUM((CLOSE>DELAY(CLOSE,1)?VOLUME:(CLOSE<DELAY(CLOSE,1)?-VOLUME:0)),30)
Alpha95 STD(AMOUNT,20)
Alpha96 SMA(SMA((CLOSE-TSMIN(LOW,9))/(TSMAX(HIGH,9)-TSMIN(LOW,9))*100,3,1),3,1)
Alpha97 STD(VOLUME,10)
Alpha98 ((((DELTA((SUM(CLOSE, 100) / 100), 100) / DELAY(CLOSE, 100)) < 0.05) || ((DELTA((SUM(CLOSE, 100) / 100), 100) / DELAY(CLOSE, 100)) == 0.05)) ? (-1 * (CLOSE - TSMIN(CLOSE, 100))) : (-1 * DELTA(CLOSE, 3)))
Alpha99 (-1 * RANK(COVIANCE(RANK(CLOSE), RANK(VOLUME), 5)))
Alpha100 STD(VOLUME,20)
Alpha101 ((RANK(CORR(CLOSE, SUM(MEAN(VOLUME,30), 37), 15)) < RANK(CORR(RANK(((HIGH * 0.1) + (VWAP * 0.9))), RANK(VOLUME), 11))) * -1)
Alpha102 SMA(MAX(VOLUME-DELAY(VOLUME,1),0),6,1)/SMA(ABS(VOLUME-DELAY(VOLUME,1)),6,1)*100
Alpha103 ((20-LOWDAY(LOW,20))/20)*100
Alpha104 (-1 * (DELTA(CORR(HIGH, VOLUME, 5), 5) * RANK(STD(CLOSE, 20))))
Alpha105 (-1 * CORR(RANK(OPEN), RANK(VOLUME), 10))
Alpha106 CLOSE-DELAY(CLOSE,20)
Alpha107 (((-1 * RANK((OPEN - DELAY(HIGH, 1)))) * RANK((OPEN - DELAY(CLOSE, 1)))) * RANK((OPEN - DELAY(LOW, 1))))
Alpha108 ((RANK((HIGH - MIN(HIGH, 2)))^RANK(CORR((VWAP), (MEAN(VOLUME,120)), 6))) * -1)
Alpha109 SMA(HIGH-LOW,10,2)/SMA(SMA(HIGH-LOW,10,2),10,2)
Alpha110 SUM(MAX(0,HIGH-DELAY(CLOSE,1)),20)/SUM(MAX(0,DELAY(CLOSE,1)-LOW),20)*100
Alpha111 SMA(VOL*((CLOSE-LOW)-(HIGH-CLOSE))/(HIGH-LOW),11,2)-SMA(VOL*((CLOSE-LOW)-(HIGH-CLOSE))/(HIGH-LOW),4,2)
Alpha112 (SUM((CLOSE-DELAY(CLOSE,1)>0?CLOSE-DELAY(CLOSE,1):0),12)-SUM((CLOSE-DELAY(CLOSE,1)<0?ABS(CLOSE-DELAY(CLOSE,1)):0),12))/(SUM((CLOSE-DELAY(CLOSE,1)>0?CLOSE-DELAY(CLOSE,1):0),12)+SUM((CLOSE-DELAY(CLOSE,1)<0?ABS(CLOSE-DELAY(CLOSE,1)):0),12))*100
Alpha113 (-1 * ((RANK((SUM(DELAY(CLOSE, 5), 20) / 20)) * CORR(CLOSE, VOLUME, 2)) * RANK(CORR(SUM(CLOSE, 5), SUM(CLOSE, 20), 2))))
Alpha114 ((RANK(DELAY(((HIGH - LOW) / (SUM(CLOSE, 5) / 5)), 2)) * RANK(RANK(VOLUME))) / (((HIGH - LOW) / (SUM(CLOSE, 5) / 5)) / (VWAP - CLOSE)))
Alpha115 (RANK(CORR(((HIGH * 0.9) + (CLOSE * 0.1)), MEAN(VOLUME,30), 10))^RANK(CORR(TSRANK(((HIGH + LOW) / 2), 4), TSRANK(VOLUME, 10), 7)))
Alpha116 REGBETA(CLOSE,SEQUENCE,20)
Alpha117 ((TSRANK(VOLUME, 32) * (1 - TSRANK(((CLOSE + HIGH) - LOW), 16))) * (1 - TSRANK(RET, 32)))
Alpha118 SUM(HIGH-OPEN,20)/SUM(OPEN-LOW,20)*100
Alpha119 (RANK(DECAYLINEAR(CORR(VWAP, SUM(MEAN(VOLUME,5), 26), 5), 7)) - RANK(DECAYLINEAR(TSRANK(MIN(CORR(RANK(OPEN), RANK(MEAN(VOLUME,15)), 21), 9), 7), 8)))
Alpha120 (RANK((VWAP - CLOSE)) / RANK((VWAP + CLOSE)))
Alpha121 ((RANK((VWAP - MIN(VWAP, 12)))^TSRANK(CORR(TSRANK(VWAP, 20), TSRANK(MEAN(VOLUME,60), 2), 18), 3)) * -1)
Alpha122 (SMA(SMA(SMA(LOG(CLOSE),13,2),13,2),13,2)-DELAY(SMA(SMA(SMA(LOG(CLOSE),13,2),13,2),13,2),1))/DELAY(SMA(SMA(SMA(LOG(CLOSE),13,2),13,2),13,2),1)
Alpha123 ((RANK(CORR(SUM(((HIGH + LOW) / 2), 20), SUM(MEAN(VOLUME,60), 20), 9)) < RANK(CORR(LOW, VOLUME, 6))) * -1)
Alpha124 (CLOSE - VWAP) / DECAYLINEAR(RANK(TSMAX(CLOSE, 30)),2)
Alpha125 (RANK(DECAYLINEAR(CORR((VWAP), MEAN(VOLUME,80),17), 20)) / RANK(DECAYLINEAR(DELTA(((CLOSE * 0.5) + (VWAP * 0.5)), 3), 16)))
Alpha126 (CLOSE+HIGH+LOW)/3
Alpha127 (MEAN((100*(CLOSE-MAX(CLOSE,12))/(MAX(CLOSE,12)))^2))^(1/2)
Alpha128 100-(100/(1+SUM(((HIGH+LOW+CLOSE)/3>DELAY((HIGH+LOW+CLOSE)/3,1)?(HIGH+LOW+CLOSE)/3VOLUME:0),14)/SUM(((HIGH+LOW+CLOSE)/3<DELAY((HIGH+LOW+CLOSE)/3,1)?(HIGH+LOW+CLOSE)/3VOLUME:0),14)))
Alpha129 SUM((CLOSE-DELAY(CLOSE,1)<0?ABS(CLOSE-DELAY(CLOSE,1)):0),12)
Alpha130 (RANK(DECAYLINEAR(CORR(((HIGH + LOW) / 2), MEAN(VOLUME,40), 9), 10)) / RANK(DECAYLINEAR(CORR(RANK(VWAP), RANK(VOLUME), 7),3)))
Alpha131 (RANK(DELAT(VWAP, 1))^TSRANK(CORR(CLOSE,MEAN(VOLUME,50), 18), 18))
Alpha132 MEAN(AMOUNT,20)
Alpha133 ((20-HIGHDAY(HIGH,20))/20)*100-((20-LOWDAY(LOW,20))/20)*100
Alpha134 (CLOSE-DELAY(CLOSE,12))/DELAY(CLOSE,12)*VOLUME
Alpha135 SMA(DELAY(CLOSE/DELAY(CLOSE,20),1),20,1)
Alpha136 ((-1 * RANK(DELTA(RET, 3))) * CORR(OPEN, VOLUME, 10))
Alpha137 16*(CLOSE-DELAY(CLOSE,1)+(CLOSE-OPEN)/2+DELAY(CLOSE,1)-DELAY(OPEN,1))/((ABS(HIGH-DELAY(CLOSE,1))>ABS(LOW-DELAY(CLOSE,1)) & ABS(HIGH-DELAY(CLOSE,1))>ABS(HIGH-DELAY(LOW,1))?ABS(HIGH-DELAY(CLOSE,1))+ABS(LOW-DELAY(CLOSE,1))/2+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4:(ABS(LOW-DELAY(CLOSE,1))>ABS(HIGH-DELAY(LOW,1)) & ABS(LOW-DELAY(CLOSE,1))>ABS(HIGH-DELAY(CLOSE,1))?ABS(LOW-DELAY(CLOSE,1))+ABS(HIGH-DELAY(CLOSE,1))/2+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4:ABS(HIGH-DELAY(LOW,1))+ABS(DELAY(CLOSE,1)-DELAY(OPEN,1))/4)))*MAX(ABS(HIGH-DELAY(CLOSE,1)),ABS(LOW-DELAY(CLOSE,1)))
Alpha138 ((RANK(DECAYLINEAR(DELTA((((LOW * 0.7) + (VWAP *0.3))), 3), 20)) - TSRANK(DECAYLINEAR(TSRANK(CORR(TSRANK(LOW, 8), TSRANK(MEAN(VOLUME,60), 17), 5), 19), 16), 7)) * -1)
Alpha139 (-1 * CORR(OPEN, VOLUME, 10))
Alpha140 MIN(RANK(DECAYLINEAR(((RANK(OPEN) + RANK(LOW)) - (RANK(HIGH) + RANK(CLOSE))), 8)), TSRANK(DECAYLINEAR(CORR(TSRANK(CLOSE, 8), TSRANK(MEAN(VOLUME,60), 20), 8), 7), 3))
Alpha141 (RANK(CORR(RANK(HIGH), RANK(MEAN(VOLUME,15)), 9))* -1)
Alpha142 (((-1 * RANK(TSRANK(CLOSE, 10))) * RANK(DELTA(DELTA(CLOSE, 1), 1))) * RANK(TSRANK((VOLUME /MEAN(VOLUME,20)), 5)))
Alpha143 CLOSE>DELAY(CLOSE,1)?(CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)*SELF:SELF
Alpha144 SUMIF(ABS(CLOSE/DELAY(CLOSE,1)-1)/AMOUNT,20,CLOSE<DELAY(CLOSE,1))/COUNT(CLOSE<DELAY(CLOSE,1),20)
Alpha145 (MEAN(VOLUME,9)-MEAN(VOLUME,26))/MEAN(VOLUME,12)*100
Alpha146 MEAN((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)-SMA((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1),61,2),20)*((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)-SMA((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1),61,2))/SMA(((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)-((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)-SMA((CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1),61,2)))^2,60)
Alpha147 REGBETA(MEAN(CLOSE,12),SEQUENCE(12))
Alpha148 ((RANK(CORR((OPEN), SUM(MEAN(VOLUME,60), 9), 6)) < RANK((OPEN - TSMIN(OPEN, 14)))) * -1)
Alpha149 REGBETA(FILTER(CLOSE/DELAY(CLOSE,1)-1,BANCHMARKINDEXCLOSE<DELAY(BANCHMARKINDEXCLOSE,1)),FILTER(BANCHMARKINDEXCLOSE/DELAY(BANCHMARKINDEXCLOSE,1)-1,BANCHMARKINDEXCLOSE<DELAY(BANCHMARKINDEXCLOSE,1)),252)
Alpha150 (CLOSE+HIGH+LOW)/3*VOLUME
Alpha151 SMA(CLOSE-DELAY(CLOSE,20),20,1)
Alpha152 SMA(MEAN(DELAY(SMA(DELAY(CLOSE/DELAY(CLOSE,9),1),9,1),1),12)-MEAN(DELAY(SMA(DELAY(CLOSE/DELAY(CLOSE,9),1),9,1),1),26),9,1)
Alpha153 (MEAN(CLOSE,3)+MEAN(CLOSE,6)+MEAN(CLOSE,12)+MEAN(CLOSE,24))/4
Alpha154 (((VWAP - MIN(VWAP, 16))) < (CORR(VWAP, MEAN(VOLUME,180), 18)))
Alpha155 SMA(VOLUME,13,2)-SMA(VOLUME,27,2)-SMA(SMA(VOLUME,13,2)-SMA(VOLUME,27,2),10,2)
Alpha156 (MAX(RANK(DECAYLINEAR(DELTA(VWAP, 5), 3)), RANK(DECAYLINEAR(((DELTA(((OPEN * 0.15) + (LOW *0.85)), 2) / ((OPEN * 0.15) + (LOW * 0.85))) * -1), 3))) * -1)
Alpha157 (MIN(PROD(RANK(RANK(LOG(SUM(TSMIN(RANK(RANK((-1 * RANK(DELTA((CLOSE - 1), 5))))), 2), 1)))), 1), 5) + TSRANK(DELAY((-1 * RET), 6), 5))
Alpha158 ((HIGH-SMA(CLOSE,15,2))-(LOW-SMA(CLOSE,15,2)))/CLOSE
Alpha159 ((CLOSE-SUM(MIN(LOW,DELAY(CLOSE,1)),6))/SUM(MAX(HGIH,DELAY(CLOSE,1))-MIN(LOW,DELAY(CLOSE,1)),6)1224+(CLOSE-SUM(MIN(LOW,DELAY(CLOSE,1)),12))/SUM(MAX(HGIH,DELAY(CLOSE,1))-MIN(LOW,DELAY(CLOSE,1)),12)624+(CLOSE-SUM(MIN(LOW,DELAY(CLOSE,1)),24))/SUM(MAX(HGIH,DELAY(CLOSE,1))-MIN(LOW,DELAY(CLOSE,1)),24)624)100/(612+624+1224)
Alpha160 SMA((CLOSE<=DELAY(CLOSE,1)?STD(CLOSE,20):0),20,1)
Alpha161 MEAN(MAX(MAX((HIGH-LOW),ABS(DELAY(CLOSE,1)-HIGH)),ABS(DELAY(CLOSE,1)-LOW)),12)
Alpha162 (SMA(MAX(CLOSE-DELAY(CLOSE,1),0),12,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),12,1)*100-MIN(SMA(MAX(CLOSE-DELAY(CLOSE,1),0),12,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),12,1) *100,12))/(MAX(SMA(MAX(CLOSE-DELAY(CLOSE,1),0),12,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),12,1)*100,12)-MIN(SMA(MAX(CLOSE-DELAY(CLOSE,1),0),12,1)/SMA(ABS(CLOSE-DELAY(CLOSE,1)),12,1)*100,12))
Alpha163 RANK(((((-1 * RET) * MEAN(VOLUME,20)) * VWAP) * (HIGH - CLOSE)))
Alpha164 SMA((((CLOSE>DELAY(CLOSE,1))?1/(CLOSE-DELAY(CLOSE,1)):1)-MIN(((CLOSE>DELAY(CLOSE,1))?1/(CLOSE-DELAY(CLOSE,1)):1),12))/(HIGH-LOW)*100,13,2)
Alpha165 MAX(SUMAC(CLOSE-MEAN(CLOSE,48)))-MIN(SUMAC(CLOSE-MEAN(CLOSE,48)))/STD(CLOSE,48)
Alpha166 -20* (20-1)^1.5SUM(CLOSE/DELAY(CLOSE,1)-1-MEAN(CLOSE/DELAY(CLOSE,1)-1,20),20)/((20-1)(20-2)(SUM((CLOSE/DELAY(CLOSE,1),20)^2,20))^1.5)
Alpha167 SUM((CLOSE-DELAY(CLOSE,1)>0?CLOSE-DELAY(CLOSE,1):0),12)
Alpha168 (-1*VOLUME/MEAN(VOLUME,20))
Alpha169 SMA(MEAN(DELAY(SMA(DELAY(CLOSE/DELAY(CLOSE,1),9,1),1),12)-MEAN(DELAY(SMA(DELAY(CLOSE/DELAY(CLOSE,1),9,1),1),26),10,1))
Alpha170 ((((RANK((1 / CLOSE)) * VOLUME) / MEAN(VOLUME,20)) * ((HIGH * RANK((HIGH - CLOSE))) / (SUM(HIGH, 5) / 5))) - RANK((VWAP - DELAY(VWAP, 5))))
Alpha171 ((-1 * ((LOW - CLOSE) * (OPEN^5))) / ((CLOSE - HIGH) * (CLOSE^5)))
Alpha172 MEAN(ABS(SUM((LD>0 & LD>HD)?LD:0,14)*100/SUM(TR,14)-SUM((HD>0 & HD>LD)?HD:0,14)*100/SUM(TR,14))/(SUM((LD>0 & LD>HD)?LD:0,14)*100/SUM(TR,14)+SUM((HD>0 & HD>LD)? HD:0,14)*100/SUM(TR,14))*100,6)
Alpha173 3SMA(CLOSE,13,2)-2SMA(SMA(CLOSE,13,2),13,2)+SMA(SMA(SMA(LOG(CLOSE),13,2),13,2),13,2)
Alpha174 SMA((CLOSE>DELAY(CLOSE,1)?STD(CLOSE,20):0),20,1)
Alpha175 MEAN(MAX(MAX((HIGH-LOW),ABS(DELAY(CLOSE,1)-HIGH)),ABS(DELAY(CLOSE,1)-LOW)),6)
Alpha176 CORR(RANK(((CLOSE - TSMIN(LOW, 12)) / (TSMAX(HIGH, 12) - TSMIN(LOW,12)))), RANK(VOLUME), 6)
Alpha177 ((20-HIGHDAY(HIGH,20))/20)*100
Alpha178 (CLOSE-DELAY(CLOSE,1))/DELAY(CLOSE,1)*VOLUME
Alpha179 (RANK(CORR(VWAP, VOLUME, 4)) *RANK(CORR(RANK(LOW), RANK(MEAN(VOLUME,50)), 12)))
Alpha180 ((MEAN(VOLUME,20) < VOLUME) ? ((-1 * TSRANK(ABS(DELTA(CLOSE, 7)), 60)) * SIGN(DELTA(CLOSE, 7))) : (-1 * VOLUME))
Alpha181 SUM(((CLOSE/DELAY(CLOSE,1)-1)-MEAN((CLOSE/DELAY(CLOSE,1)-1),20))-(BANCHMARKINDEXCLOSE-MEAN(BANCHMARKINDEXCLOSE,20))^2,20)/SUM((BANCHMARKINDEXCLOSE-MEAN(BANCHMARKINDEXCLOSE,20))^3)
Alpha182 COUNT((CLOSE>OPEN & BANCHMARKINDEXCLOSE>BANCHMARKINDEXOPEN)OR(CLOSE<OPEN & BANCHMARKINDEXCLOSE<BANCHMARKINDEXOPEN),20)/20
Alpha183 MAX(SUMAC(CLOSE-MEAN(CLOSE,24)))-MIN(SUMAC(CLOSE-MEAN(CLOSE,24)))/STD(CLOSE,24)
Alpha184 (RANK(CORR(DELAY((OPEN - CLOSE), 1), CLOSE, 200)) + RANK((OPEN - CLOSE)))
Alpha185 RANK((-1 * ((1 - (OPEN / CLOSE))^2)))
Alpha186 (MEAN(ABS(SUM((LD>0 & LD>HD)?LD:0,14)*100/SUM(TR,14)-SUM((HD>0 & HD>LD)?HD:0,14)*100/SUM(TR,14))/(SUM((LD>0 & LD>HD)?LD:0,14)*100/SUM(TR,14)+SUM((HD>0 & HD>LD)?HD:0,14)*100/SUM(TR,14))*100,6)+DELAY(MEAN(ABS(SUM((LD>0 & LD>HD)?LD:0,14)*100/SUM(TR,14)-SUM((HD>0 & HD>LD)?HD:0,14)*100/SUM(TR,14))/(SUM((LD>0 & LD>HD)?LD:0,14) *100/SUM(TR,14)+SUM((HD>0 & HD>LD)?HD:0,14)*100/SUM(TR,14))*100,6),6))/2
Alpha187 SUM((OPEN<=DELAY(OPEN,1)?0:MAX((HIGH-OPEN),(OPEN-DELAY(OPEN,1)))),20)
Alpha188 ((HIGH-LOW–SMA(HIGH-LOW,11,2))/SMA(HIGH-LOW,11,2))*100
Alpha189 MEAN(ABS(CLOSE-MEAN(CLOSE,6)),6)
Alpha190 LOG((COUNT(CLOSE/DELAY(CLOSE)-1>((CLOSE/DELAY(CLOSE,19))^(1/20)-1),20)-1)(SUMIF(((CLOSE/DELAY(CLOSE)-1-(CLOSE/DELAY(CLOSE,19))^(1/20)-1))^2,20,CLOSE/DELAY(CLOSE)-1<(CLOSE/DELAY(CLOSE,19))^(1/20)-1))/((COUNT((CLOSE/DELAY(CLOSE)-1<(CLOSE/DELAY(CLOSE,19))^(1/20)-1),20))(SUMIF((CLOSE/DELAY(CLOSE)-1-((CLOSE/DELAY(CLOSE,19))^(1/20)-1))^2,20,CLOSE/DELAY(CLOSE)-1>(CLOSE/DELAY(CLOSE,19))^(1/20)-1))))
Alpha191 ((CORR(MEAN(VOLUME,20), LOW, 5) + ((HIGH + LOW) / 2)) - CLOSE)
展示示例数据前5行和后5行
{{sample_data}}
SELECT date, instrument, alpha_001, alpha_002, alpha_003, alpha_004, alpha_005 FROM cn_stock_factors_alpha_191 WHERE date >= '2026-10-06' ORDER BY date LIMIT 100
SELECT date, instrument, alpha_001, alpha_002, alpha_003, alpha_004, alpha_005 FROM cn_stock_factors_alpha_191 WHERE date >= '2026-10-06' ORDER BY date LIMIT 100