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Alpha#40

Type: alpha_40 • Category: indicators

Description​

Alpha#40 - volatility correlation indicator.

Parameters​

NameTypeDescriptionRequiredDefault
dataExpstringprice datano
highstringselect the column with highest pricesno
volumestringselect the column with volumeno

Help​

Alpha#40: Volatility Correlation Indicator

Description​

Alpha#40 is a volatility correlation indicator used in investing strategies, specifically one of the 101 Formulaic Alphas. This indicator measures the correlation between volatility and price movements.

What does this worker do?​

This worker calculates the volatility correlation indicator, which helps investors understand the relationship between price volatility and market trends.

How to interpret the results​

The results of this indicator can be used to identify potential trading opportunities. A high correlation between volatility and price movements may indicate a strong trend, while a low correlation may indicate a range-bound market.

Parameters​

The following parameters are required to use this worker:

  • dataExp: price data
    • Type: DataFrame
    • Description: Price data used to calculate the indicator
  • high: select the column with highest prices
    • Type: String
    • Description: Column name with highest prices
  • volume: select the column with volume
    • Type: String
    • Description: Column name with volume data

Usage​

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

Full GIF Short GIF

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.pdf)