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Alpha#15

Type: alpha_15 • Category: indicators

Description​

Alpha#15 - indicator based on summed correlation ranks of high and volume.

Parameters​

NameTypeDescriptionRequiredDefault
dataExpstringprice datano
highstringselect the column with highest pricesno
volumestringselect the column with volumeno

Help​

Alpha#15

Description​

Alpha#15 is an indicator used in investing strategy, specifically one of the 101 Formulaic Alphas. This indicator is based on the summed correlation ranks of high and volume.

What does this worker do?​

This worker calculates the Alpha#15 indicator using the provided price data, high prices, and volume. The indicator is designed to capture the relationship between the high prices and volume of a security.

How to interpret the results​

The results of the Alpha#15 indicator can be used to inform investment decisions. A higher value indicates a stronger correlation between the high prices and volume, while a lower value indicates a weaker correlation.

Parameters​

The following parameters are required to calculate the Alpha#15 indicator:

  • dataExp: price data
    • Description: The price data used to calculate the indicator.
  • high: select the column with highest prices
    • Description: The column containing the highest prices.
  • volume: select the column with volume
    • Description: The column containing the volume data.

Usage​

For a visual guide on how to use this indicator, 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)