Alpha#20

Type: alpha_20 • Category: indicators

Description

Alpha#20 - indicator based on open price vs delayed highs, closes, lows.

Parameters

Name	Type	Description	Required	Default
dataExp	string	price data	no
open	string	select the column with opening prices	no
high	string	select the column with highest prices	no
close	string	select the column with closing prices	no
low	string	select the column with lowest prices	no

Help

Alpha#20

Description

Alpha#20 is an indicator used in investing strategy, specifically from the 101 Formulaic Alphas. This indicator is based on the comparison of open prices with delayed highs, closes, and lows.

What does this worker do?

The Alpha#20 worker calculates an indicator value based on the open price of a security compared to its delayed highs, closes, and lows. This indicator can be used to identify potential trading opportunities.

How to interpret the results

The results of the Alpha#20 worker can be interpreted as a signal to buy or sell a security. A detailed explanation of how to use this indicator is provided in the 101 Formulaic Alphas publication by Zura Kakushadze.

Parameters

The following parameters are required to configure the Alpha#20 worker:

• dataExp: price data
  • Type: DataFrame
  • Description: Price data containing open, high, close, and low prices
• open: column name
  • Type: string
  • Description: Select the column with opening prices
• high: column name
  • Type: string
  • Description: Select the column with highest prices
• close: column name
  • Type: string
  • Description: Select the column with closing prices
• low: column name
  • Type: string
  • Description: Select the column with lowest prices

Usage

For a visual guide on how to use the Alpha#20 worker, please refer to the following GIFs:

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)