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Alpha#38

Type: alpha_38 • Category: indicators

Description​

Alpha#38 - time-series ranking with ratio.

Parameters​

NameTypeDescriptionRequiredDefault
dataExpstringprice datano
closestringselect the column with closing pricesno
openstringselect the column with opening pricesno

Help​

Alpha#38

Description​

Alpha#38 is a time-series ranking indicator with ratio, used in investing strategies as part of the 101 Formulaic Alphas. This indicator is based on the research paper by Zura Kakushadze, "101 Formulaic Alphas" [1].

What does this worker do?​

This worker calculates a time-series ranking with ratio using price data. It takes into account the closing and opening prices to generate a ranking.

How to interpret the results​

The results of this indicator can be used to identify potential investment opportunities. A higher ranking may indicate a more favorable investment opportunity.

Parameters​

The following parameters can be configured for this worker:

  • 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 input data.
  • open: select the column with opening prices
    • Type: String
    • Description: The column name of the opening prices in the input data.

Usage​

For a visual guide on how to use this indicator, please refer to the following GIFs: Full GIF Short GIF

References​

[1] Kakushadze, Z. (2016). 101 Formulaic Alphas. [arXiv preprint](https://arxiv.org/pdf/1601.00991.pdf)