++

optimize_alpha.py

@@ -0,0 +1,30 @@
+import random
+
+input_alpha = 'group_neutralize({} - {},bucket(rank({}),range="0.1,1,0.2"))'
+
+data_sets = ['implied_volatility_call_10', 'implied_volatility_call_1080', 'implied_volatility_call_120', 'implied_volatility_call_150', 'implied_volatility_call_180', 'implied_volatility_call_20', 'implied_volatility_call_270', 'implied_volatility_call_30', 'implied_volatility_call_360', 'implied_volatility_call_60', 'implied_volatility_call_720', 'implied_volatility_call_90', 'implied_volatility_put_10', 'implied_volatility_put_1080', 'implied_volatility_put_120', 'implied_volatility_put_150', 'implied_volatility_put_180', 'implied_volatility_put_20', 'implied_volatility_put_270', 'implied_volatility_put_30', 'implied_volatility_put_360', 'implied_volatility_put_60', 'implied_volatility_put_720', 'implied_volatility_put_90']
+
+max_count = 1000
+
+repeat_count = 0
+
+result_alpha = []
+
+while True:
+    if len(result_alpha) >= max_count:
+        break
+
+    modify_alpha = input_alpha.format(random.choice(data_sets), random.choice(data_sets),random.choice(data_sets))
+
+    if modify_alpha not in result_alpha:
+        result_alpha.append(modify_alpha)
+    else:
+        repeat_count += 1
+        if repeat_count >= max_count:
+            break
+
+for alpha in result_alpha:
+    print(alpha)
+    print()
+
+print(f'共生成 {len(result_alpha)} 个alpha')