Alpha#34

Type: alpha_34 • Category: indicators

Description

Alpha#34 - volatility and delta indicator.

Parameters

Name	Type	Description	Required	Default
dataExp	string	price data	no
returns	string	List of returns	no
close	string	select the column with closing prices	no

Help

Alpha#34

Description

Alpha#34 is a volatility and delta indicator used in investing strategies, specifically one of the 101 Formulaic Alphas. This indicator combines price movements and volatility to provide insights into market trends.

What does this worker do?

The Alpha#34 worker calculates a volatility and delta indicator based on the provided price data and returns. It uses the closing prices to compute the indicator values.

How to interpret the results

The results of the Alpha#34 worker can be interpreted as a measure of volatility and delta. A higher value indicates higher volatility and delta, while a lower value indicates lower volatility and delta.

Parameters

The following parameters are required to use the Alpha#34 worker:

• dataExp: price data
  • Type: DataFrame
  • Description: Price data used to calculate the indicator
• returns: List of returns
  • Type: List
  • Description: List of returns used to calculate the indicator
• close: select the column with closing prices
  • Type: String
  • Description: Column name of the closing prices in the price data

Usage

To use the Alpha#34 worker, follow these steps:

1. Provide the required parameters: dataExp, returns, and close.
2. The worker will calculate the Alpha#34 indicator values based on the provided data.

Visualizing the Indicator

The following GIFs demonstrate how to use the Alpha#34 worker:

Reference

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

• 101 Formulaic Alphas by Zura Kakushadze

This publication provides a comprehensive overview of the 101 Formulaic Alphas, including the Alpha#34 indicator.