Alpha#35

Type: alpha_35 • Category: indicators

Description

Alpha#35 - time-series ranking indicator.

Parameters

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

Help

Alpha#35

Description

Alpha#35 is a time-series ranking indicator used in investing strategies, specifically one of the 101 Formulaic Alphas. This indicator utilizes a combination of price and volume data to generate a ranking signal.

What does this worker do?

The Alpha#35 worker calculates a time-series ranking indicator based on the provided price and volume data. It uses the closing, high, low prices, and returns to generate a signal that can be used to rank assets.

How to interpret the results

The output of the Alpha#35 worker is a ranking signal that can be used to compare assets. A higher value indicates a higher ranking, while a lower value indicates a lower ranking.

Parameters

The following parameters are required to use the Alpha#35 worker:

• dataExp: pandas.DataFrame
  • Description: Price data
• volume: str
  • Description: Column name with volume data
• close: str
  • Description: Column name with closing prices
• high: str
  • Description: Column name with highest prices
• low: str
  • Description: Column name with lowest prices
• returns: list
  • Description: List of returns

Usage

To use the Alpha#35 worker, simply provide the required parameters. The worker will then calculate the ranking signal.

Visual Guide

For a visual guide on how to use the Alpha#35 worker, please see the following GIFs:

Reference

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

101 Formulaic Alphas by Zura Kakushadze