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Alpha#13

Type: alpha_13 • Category: indicators

Description​

Alpha#13 - indicator based on covariance of ranked close and volume.

Parameters​

NameTypeDescriptionRequiredDefault
dataExpstringprice datano
closestringselect the column with closing pricesno
volumestringselect the column with volumeno

Help​

Alpha#13

Description​

Alpha#13 is an indicator based on the covariance of ranked close and volume, used in investing strategies as part of the 101 Formulaic Alphas.

What does this worker do?​

This worker calculates the Alpha#13 indicator, which is a measure of the covariance between the ranked closing prices and trading volumes of a security. The indicator can be used to identify potential trading opportunities.

How to interpret the results​

The Alpha#13 indicator can be used to gauge the relationship between price movements and trading activity. A positive value indicates that the close price and volume are moving together, while a negative value indicates that they are moving in opposite directions.

Parameters​

The following parameters are required to calculate the Alpha#13 indicator:

  • dataExp: price data
    • Type: DataFrame
    • Description: Price data containing closing prices and trading volumes
  • close: string
    • Type: string
    • Description: Column name with closing prices
  • volume: string
    • Type: string
    • Description: Column name with trading volumes

Usage​

To use this worker, simply provide the required parameters and run the calculation. The worker will return the Alpha#13 indicator value.

Visual Guide​

For a step-by-step guide on how to use this worker, please refer to the following GIFs:

Full GIF Short GIF

Reference​

For more information on the 101 Formulaic Alphas, please refer to the publication by Zura Kakushadze:

[101 Formulaic Alphas](https://arxiv.org/pdf/1601.00991.pdf)