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Alpha#16

Type: alpha_16 • Category: indicators

Description​

Alpha#16 - indicator based on covariance of ranked high and volume.

Parameters​

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

Help​

Alpha#16

Description​

Alpha#16 is an indicator from Alpha 101, a set of formulaic alphas developed by Zura Kakushadze. This indicator is based on the covariance of ranked high and volume.

What does this worker do?​

This worker calculates the Alpha#16 indicator, which is a measure of the covariance between the ranked high prices and trading volumes of a security. The indicator is designed to capture the relationship between price movements and trading activity.

How to interpret the results​

The Alpha#16 indicator can be used to identify potential trading opportunities. A positive value indicates a positive covariance between the ranked high prices and trading volumes, suggesting that the security is experiencing increased buying pressure. A negative value indicates a negative covariance, suggesting that the security is experiencing decreased buying pressure.

Parameters​

The following parameters are required to calculate the Alpha#16 indicator:

  • dataExp: price data
    • Type: DataFrame
    • Description: The input price data, including high prices and trading volumes.
  • high: select the column with highest prices
    • Type: string
    • Description: The column name of the high prices in the input data.
  • volume: select the column with volume
    • Type: string
    • Description: The column name of the trading volumes in the input data.

Usage​

To use this worker, simply provide the required parameters and run the calculation. The output will be the Alpha#16 indicator value.

Visualizing the Indicator​

The following GIFs demonstrate how to use the Alpha#16 indicator:

Full GIF Short GIF

Reference​

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