Alpha#32

Type: alpha_32 • Category: indicators

Description

Alpha#32 - mean reversion and correlation indicator.

Parameters

Name	Type	Description	Required	Default
dataExp	string	price data	no
close	string	select the column with closing prices	no
vwap	string	select the column with VWAP	no

Help

Alpha#32

Description

Alpha#32 is a mean reversion and correlation indicator used in investing strategies, specifically from the 101 Formulaic Alphas.

What does this worker do?

This worker calculates the Alpha#32 indicator, which is designed to identify mean reversion and correlation patterns in price data.

How to interpret the results

The Alpha#32 indicator generates a signal that can be used to inform investment decisions. A detailed explanation of how to interpret the results can be found in the publication by Zura Kakushadze, 101 Formulaic Alphas.

Parameters

The following parameters are required to calculate the Alpha#32 indicator:

• dataExp: price data
  • Type: DataFrame
  • Description: The input price data.
• close: select the column with closing prices
  • Type: string
  • Description: The column name of the closing prices in the dataExp DataFrame.
• vwap: select the column with VWAP
  • Type: string
  • Description: The column name of the Volume-Weighted Average Price (VWAP) in the dataExp DataFrame.

Usage

To use this worker, simply provide the required parameters and run the calculation. The following GIFs demonstrate how to use the Alpha#32 indicator:

Reference

For more information on the 101 Formulaic Alphas, please refer to the publication by Zura Kakushadze:

• 101 Formulaic Alphas