Alpha#28

Type: alpha_28 • Category: indicators

Description

Alpha#28 - scaled correlation and price difference.

Parameters

Name	Type	Description	Required	Default
dataExp	string	price data	no
volume	string	select the column with volume	no
low	string	select the column with lowest prices	no
high	string	select the column with highest prices	no
close	string	select the column with closing prices	no

Help

Alpha#28

Description

Alpha#28 is an indicator from Alpha 101, a set of formulaic alphas used in investing strategies. This indicator calculates a scaled correlation and price difference.

What does this worker do?

This worker implements the Alpha#28 strategy, which combines correlation and price difference to generate a signal. The strategy uses price data, volume, low, high, and close prices to calculate the alpha.

How to interpret the results

The output of this worker is a value that represents the alpha generated by the strategy. A positive alpha indicates a buy signal, while a negative alpha indicates a sell signal. The magnitude of the alpha represents the strength of the signal.

Parameters

The following parameters are required to use this worker:

• dataExp: price data
  • Description: Price data used to calculate the alpha.
• volume: column with volume
  • Description: Column with volume data.
• low: column with lowest prices
  • Description: Column with lowest prices data.
• high: column with highest prices
  • Description: Column with highest prices data.
• close: column with closing prices
  • Description: Column with closing prices data.

Usage

To use this worker, simply provide the required parameters and run the worker. The output will be the alpha value.

Visual Guide

For a step-by-step guide on how to use this worker, please refer to the following GIFs:

Reference

This indicator is based on the research paper 101 Formulaic Alphas by Zura Kakushadze.