Alpha#36

Type: alpha_36 • Category: indicators

Description

Alpha#36 - highly complex correlation indicator.

Parameters

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

Help

Alpha#36

Description

Alpha#36 is a highly complex correlation indicator used in investing strategies, specifically in the 101 Formulaic Alphas.

What does this worker do?

This worker calculates the Alpha#36 indicator, which is a sophisticated correlation indicator used to analyze market trends and make informed investment decisions.

How to interpret the results

The results of the Alpha#36 indicator can be used to identify complex correlations in market data, allowing investors to make more informed decisions. A detailed understanding of the indicator's output and its implications is required to effectively interpret the results.

Parameters

The following parameters are required to calculate the Alpha#36 indicator:

• dataExp: price data
  • Description: The price data used to calculate the indicator.
• close: column with closing prices
  • Description: The column containing the closing prices.
• open: column with opening prices
  • Description: The column containing the opening prices.
• volume: column with volume
  • Description: The column containing the trading volume.
• returns: List of returns
  • Description: A list of returns used in the calculation.
• vwap: column with VWAP
  • Description: The column containing the Volume-Weighted Average Price (VWAP).

Usage

For a visual guide on how to use the Alpha#36 indicator, please refer to the following GIFs:

Reference

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

[101 Formulaic Alphas](https://arxiv.org/pdf/1601.00991)