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Alpha#27

Type: alpha_27 • Category: indicators

Description​

Alpha#27 - conditional ranking of correlations.

Parameters​

NameTypeDescriptionRequiredDefault
dataExpstringprice datano
volumestringselect the column with volumeno
vwapstringList of VWAP valuesno

Help​

Alpha#27: Conditional Ranking of Correlations

Description​

Alpha#27 is an indicator from Alpha 101, a set of formulaic alphas developed for investing strategies. This indicator performs a conditional ranking of correlations.

What does this worker do?​

This worker calculates the conditional ranking of correlations based on the provided price data, volume, and VWAP (Volume-Weighted Average Price) values. It is designed to help investors identify potential trading opportunities by analyzing the relationships between different market variables.

How to interpret the results​

The output of this worker provides a ranked correlation value, which can be used to inform investment decisions. A higher correlation value may indicate a stronger relationship between the market variables, while a lower value may indicate a weaker relationship.

Parameters​

The following parameters are required to run this worker:

  • dataExp: price data
    • Type: DataFrame
    • Description: Historical price data
  • volume: select the column with volume
    • Type: string
    • Description: Column name containing volume data
  • vwap: List of VWAP values
    • Type: list
    • Description: List of Volume-Weighted Average Price values

Usage​

For a visual guide on how to use this indicator, please refer to the following GIFs:

Full GIF Short GIF

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)