Alpha#42
Type:
alpha_42• Category:indicators
Description
Alpha#42 - ranked VWAP-close ratio.
Parameters
| Name | Type | Description | Required | Default |
|---|---|---|---|---|
dataExp | string | price data | no | |
vwap | string | select the column with VWAP | no | |
close | string | select the column with closing prices | no |
Help
Alpha#42: Ranked VWAP-Close Ratio
Description
Alpha#42 is an indicator from Alpha 101, a set of formulaic alphas developed for investing strategies. This indicator calculates the ranked VWAP-close ratio.
What does this worker do?
The Alpha#42 worker calculates the ratio of the Volume-Weighted Average Price (VWAP) to the closing price of a security. The result is then ranked to provide a score that can be used in investment strategies.
How to interpret the results
The ranked VWAP-close ratio provides a measure of how the VWAP compares to the closing price. A higher ratio may indicate that the VWAP is significantly higher than the closing price, potentially indicating buying pressure. Conversely, a lower ratio may indicate that the VWAP is lower than the closing price, potentially indicating selling pressure.
Parameters
The following parameters are required for the Alpha#42 worker:
- dataExp: price data
- Type: DataFrame
- Description: Price data containing the necessary columns for calculation
- vwap: select the column with VWAP
- Type: string
- Description: Column name in
dataExpcontaining the VWAP values
- close: select the column with closing prices
- Type: string
- Description: Column name in
dataExpcontaining the closing price values
Usage
For a visual guide on how to use the Alpha#42 worker, please refer to the following GIFs:
Reference
For more information on the 101 Formulaic Alphas, please refer to the publication by Zura Kakushadze: