Alpha#25

Type: alpha_25 • Category: indicators

Description

Alpha#25 - ranked complex indicator with returns and volume.

Parameters

Name	Type	Description	Required	Default
dataExp	string	price data	no
returns	string	List of returns	no
volume	string	select the column with volume	no
vwap	string	List of VWAP values	no
high	string	select the column with highest prices	no
close	string	select the column with closing prices	no

Help

Alpha#25

Description

Alpha#25 is a complex indicator used in investing strategies, specifically in the 101 Formulaic Alphas. It combines returns and volume data to provide insights into market trends.

What does this worker do?

This worker calculates the Alpha#25 indicator using the provided parameters, which include price data, returns, volume, VWAP values, high prices, and closing prices.

How to interpret the results

The Alpha#25 indicator provides a ranked complex signal that can be used to inform investment decisions. A higher value indicates a stronger signal.

Parameters

The following parameters are required to calculate the Alpha#25 indicator:

• dataExp: price data
  • Description: The price data used to calculate the indicator.
• returns: List of returns
  • Description: A list of returns values.
• volume: column with volume
  • Description: The column containing volume data.
• vwap: List of VWAP values
  • Description: A list of Volume Weighted Average Price (VWAP) values.
• high: column with highest prices
  • Description: The column containing the highest prices.
• close: column with closing prices
  • Description: The column containing the closing prices.

Usage

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