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Alpha#22

Type: alpha_22 • Category: indicators

Description​

Alpha#22 - indicator based on correlation delta and volatility.

Parameters​

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

Help​

Alpha#22

Description​

Alpha#22 is an indicator used in investing strategy, specifically designed based on correlation delta and volatility. It is part of the 101 Formulaic Alphas, a comprehensive set of indicators derived from a systematic approach to alpha (investment return) generation.

What does this worker do?​

The Alpha#22 worker calculates an indicator value based on the input price data, high prices, volume, and closing prices. This indicator can be used to analyze and potentially predict market movements by assessing changes in correlation and volatility.

How to interpret the results​

The results of the Alpha#22 worker can be interpreted as a signal to gauge market sentiment and potential future price movements. A positive value may indicate a bullish trend, while a negative value may suggest a bearish trend. However, as with any technical indicator, it should be used in conjunction with other forms of analysis and not relied upon in isolation.

Parameters​

The following parameters are required for the Alpha#22 worker:

  • dataExp: price data
    • Type: DataFrame
    • Description: The input price data.
  • high: select the column with highest prices
    • Type: String
    • Description: The column name in the dataExp DataFrame containing the highest prices.
  • volume: select the column with volume
    • Type: String
    • Description: The column name in the dataExp DataFrame containing the trading volume.
  • close: select the column with closing prices
    • Type: String
    • Description: The column name in the dataExp DataFrame containing the closing prices.

Usage​

For a visual guide on how to use the Alpha#22 worker, refer to the following GIFs:

Full GIF Short GIF

Reference​

For more information on the theoretical background of the 101 Formulaic Alphas, including Alpha#22, refer to the publication by Zura Kakushadze:

101 Formulaic Alphas
Zura Kakushadze
Quantitative Research,
Journal of Investment Strategies
Volume 5, Issue 3, 2016.

This publication provides an in-depth analysis of the systematic approach to generating alphas and their practical applications in investment strategies.