Alpha#27
Type:
alpha_27• Category:indicators
Description
Alpha#27 - conditional ranking of correlations.
Parameters
| Name | Type | Description | Required | Default |
|---|---|---|---|---|
dataExp | string | price data | no | |
volume | string | select the column with volume | no | |
vwap | string | List of VWAP values | no |
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:
Reference
For more information on the 101 Formulaic Alphas, please refer to the publication by Zura Kakushadze: