量化研究---alpha002量化因子分析研究检验
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小果量化交易量化研究 专做量化开发研究，微信xg_quant
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def alpha002(data, dependencies=['closePrice','lowestPrice','highestPrice'], max_window=2):# -1*delta(((close-low)-(high-close))/(high-low),1)win_ratio = (2*data['closePrice']-data['lowestPrice']-data['highestPrice'])/(data['highestPrice']-data['lowestPrice'])return win_ratio.diff(1) * (-1) # 注意：删除了 .iloc[-1]
delta(x, 1) 表示 x 相对于前一根 K 线的差值，即 x(t) - x(t-1)。Alpha002 = - [ R(t) - R(t-1) ]
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