复现一直失败，请求论文中对应图像的alpha因子 #60
Description
目前结果如下
exprs_alphagen = [
Add(Mul(Mul(Add(Add(Add(Delta(low,50),Constant(0.5)),Constant(30.0)),open_),Constant(-5.0)),Constant(0.5)),Constant(0.01)),
Sub(Mul(Mul(Less(high,Constant(2.0)),Mul(Mul(Mul(volume,Constant(-0.5)),Constant(-0.01)),Constant(-0.01))),Constant(-0.01)),EMA(Add(open_,Constant(-0.01)),20)),
Std(Add(Sum(Mul(Mul(Less(Add(Add(Constant(-5.0),low),Constant(0.5)),Constant(-1.0)),high),Constant(10.0)),20),Less(open_,Constant(-1.0))),30),
Add(Sub(Sub(Add(Constant(0.01),Div(Less(Sub(open_,vwap),Constant(2.0)),open_)),Constant(0.01)),Constant(-0.01)),Constant(-0.01)),
Sub(Sub(Std(Sub(Constant(1.0),Div(Less(Div(Sub(close,vwap),Constant(-0.01)),Constant(-0.01)),Sub(close,Constant(0.5)))),10),Constant(2.0)),Constant(2.0)),
Div(Constant(1.0),Greater(Div(Corr(vwap,vwap,50),Constant(-0.01)),WMA(Mean(Div(Constant(-0.01),Abs(volume)),10),10))),
Sub(Div(Constant(1.0),Sub(close,Sub(Sub(Std(low,30),Constant(-0.01)),Constant(0.01)))),Constant(-0.01)),
Div(Corr(Sum(Corr(open_,Sub(Sub(Sub(low,Constant(-0.01)),Constant(-0.01)),Constant(-0.01)),40),30),Mul(Constant(0.5),high),30),Constant(-0.01)),
Add(Sub(Add(Max(Log(Add(Greater(volume,Constant(-30.0)),high)),30),Constant(-1.0)),Constant(1.0)),Constant(-0.5)),
Min(Var(Div(Mul(Div(Add(Constant(-5.0),close),Constant(1.0)),Constant(1.0)),Constant(0.01)),10),20),
Abs(Div(Corr(Sub(Sub(Mul(Constant(-5.0),Sub(Add(low,Constant(2.0)),Constant(1.0))),Constant(-2.0)),Constant(-0.01)),Sub(Constant(-0.01),high),50),Constant(0.5))),
Log(Std(Add(Abs(Add(Sub(Var(volume,50),vwap),Constant(2.0))),Constant(2.0)),30)),
Add(Sub(Mul(Div(Less(Sub(Sub(Constant(0.01),Sub(low,Sub(volume,Constant(0.01)))),Constant(-10.0)),Constant(2.0)),vwap),close),Constant(-0.01)),Constant(-10.0)),
Corr(Add(Constant(1.0),Abs(vwap)),Sub(close,Constant(2.0)),20),
Corr(Add(volume,Mul(Constant(5.0),vwap)),low,30),
Add(Add(Add(Abs(Add(Add(Add(Constant(-30.0),Add(low,Constant(-30.0))),Constant(-5.0)),Constant(-5.0))),Constant(2.0)),Constant(-10.0)),Constant(0.5)),
Corr(volume,Sub(Sub(Constant(0.01),high),Constant(-0.01)),10),
WMA(Mean(Add(Constant(0.01),Add(Delta(Div(close,Mean(Add(Sub(Constant(-10.0),close),Constant(2.0)),20)),50),Constant(-1.0))),10),10),
Div(Div(Div(Div(Div(Delta(Log(Log(Add(Constant(-5.0),close))),50),Constant(2.0)),Constant(2.0)),Constant(2.0)),Constant(1.0)),Div(volume,vwap)),
Std(Sub(Sub(Sub(Sub(Sub(Sub(Corr(high,open_,20),Constant(-0.01)),Constant(-0.01)),Constant(-0.01)),Constant(-0.01)),Constant(-5.0)),Constant(2.0)),30)
]
list_alphagen = [
0.04106169526584381,
-0.03903133957087342,
0.024332410645396853,
-0.013832654849640653,
-0.015835270316877217,
-0.01973665135060159,
0.03132851213165585,
-0.019712509637641935,
-0.02598206768370741,
-0.02410636517644847,
0.029367702559784218,
-0.03229347542720655,
-0.0233890998164297,
0.028115395299660548,
-0.022812752886541738,
0.02147246214270557,
0.021425604644248284,
0.019009491195637083,
0.024753218444644898,
-0.01873267330616233
]
有最后回测的report结果来对照分析看看也行