Alpha#5

Type: alpha_5 • Category: indicators

Description

Alpha#5 - indicator based on opening, closing, and VWAP.

Parameters

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

Help

Alpha#5

Description

Alpha#5 is an indicator used in investing strategy, specifically one of the 101 Formulaic Alphas. This indicator is based on opening, closing, and VWAP (Volume Weighted Average Price) prices.

What does this worker do?

The Alpha#5 worker calculates an indicator value based on the provided opening, closing, and VWAP prices. This indicator can be used to inform investment decisions.

How to interpret the results

The results of the Alpha#5 worker can be interpreted as a signal to buy or sell a security. A detailed explanation of how to use this indicator is provided in the 101 Formulaic Alphas publication by Zura Kakushadze.

Parameters

The following parameters are required to use the Alpha#5 worker:

• dataExp: price data
  • Type: DataFrame
  • Description: Price data used to calculate the indicator
• open: column with opening prices
  • Type: String
  • Description: Name of the column containing opening prices
• close: column with closing prices
  • Type: String
  • Description: Name of the column containing closing prices
• vwap: List of VWAP values
  • Type: List
  • Description: List of VWAP values

Usage

To use the Alpha#5 worker, follow these steps:

1. Provide the required parameters: dataExp, open, close, and vwap.
2. The worker will calculate the indicator value based on the provided prices.

Visual Guide

For a visual guide on how to use the Alpha#5 worker, see the following GIFs:

Reference

For more information on the 101 Formulaic Alphas, see the publication by Zura Kakushadze:

• 101 Formulaic Alphas