Alpha#41

Type: alpha_41 • Category: indicators

Description

Alpha#41 - geometric mean minus VWAP.

Parameters

Name	Type	Description	Required	Default
dataExp	string	price data	no
high	string	select the column with highest prices	no
low	string	select the column with lowest prices	no
vwap	string	select the column with VWAP	no

Help

Alpha#41

Description

Alpha#41 is an indicator from Alpha 101, a set of formulaic alphas used in investing strategies. This indicator calculates the geometric mean minus VWAP.

What does this worker do?

This worker calculates the Alpha#41 indicator, which is a measure of the difference between the geometric mean of price movements and the Volume-Weighted Average Price (VWAP).

How to interpret the results

The results of this worker can be interpreted as a measure of the deviation of the geometric mean of price movements from the VWAP. A positive value indicates that the geometric mean is higher than the VWAP, while a negative value indicates that the geometric mean is lower than the VWAP.

Parameters

The following parameters are required to calculate the Alpha#41 indicator:

• dataExp: price data
  • Type: pandas.DataFrame
  • Description: Price data used to calculate the geometric mean.
• high: select the column with highest prices
  • Type: string
  • Description: Column name with the highest prices.
• low: select the column with lowest prices
  • Type: string
  • Description: Column name with the lowest prices.
• vwap: select the column with VWAP
  • Type: string
  • Description: Column name with the Volume-Weighted Average Price (VWAP).

Usage

To use this worker, simply provide the required parameters and run the calculation. The result will be the Alpha#41 indicator value.

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

Reference

This indicator is part of the 101 Formulaic Alphas developed by Zura Kakushadze. For more information, please see the publication:

101 Formulaic Alphas by Zura Kakushadze.