Alpha#26
Type:
alpha_26• Category:indicators
Description
Alpha#26 - time-series max of correlation rankings.
Parameters
| Name | Type | Description | Required | Default |
|---|---|---|---|---|
dataExp | string | price data | no | |
volume | string | select the column with volume | no | |
high | string | select the column with highest prices | no |
Help
Alpha#26
Description
Alpha#26 is an indicator from Alpha 101, a set of formulaic alphas used in investing strategies. This indicator calculates the time-series max of correlation rankings.
What does this worker do?
This worker calculates the maximum correlation ranking over time, providing insight into the relationship between different market variables.
How to interpret the results
The results of this worker can be used to identify periods of high correlation between market variables, which can be useful in identifying potential trading opportunities.
Parameters
The following parameters are required:
- dataExp: pandas.DataFrame
- Description: Price data
- volume: str
- Description: Select the column with volume data
- high: str
- Description: Select the column with highest 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)