Alpha#57
Type:
alpha_57• Category:indicators
Description
Alpha#57 - negative VWAP difference with decay.
Parameters
| Name | Type | Description | Required | Default |
|---|---|---|---|---|
dataExp | string | price data | no | |
close | string | select the column with closing prices | no | |
vwap | string | select the column with VWAP | no |
Help
Alpha#57
Description
Alpha#57 is an indicator from Alpha 101, a set of formulaic alphas developed for investing strategies. This specific indicator calculates the negative VWAP difference with decay.
What does this worker do?
This worker calculates the Alpha#57 indicator, which is a measure of the negative difference between the closing price and the Volume-Weighted Average Price (VWAP) with a decay factor.
How to interpret the results
The Alpha#57 indicator can be used to identify potential trading opportunities. A negative value indicates that the closing price is lower than the VWAP, suggesting a possible buying opportunity. Conversely, a positive value indicates that the closing price is higher than the VWAP, suggesting a possible selling opportunity.
Parameters
The following parameters are required to calculate the Alpha#57 indicator:
- dataExp: price data
- Description: The input price data.
- close: column name
- Description: The column name with closing prices.
- vwap: column name
- Description: The column name with VWAP values.
Usage
To use this indicator, simply provide the required parameters and run the worker. The output will be the calculated Alpha#57 values.
Visualizing the Indicator
The following images demonstrate how to use the Alpha#57 indicator:
Reference
For more information on the Alpha 101 indicators, please refer to the publication:
- 101 Formulaic Alphas by Zura Kakushadze
This publication provides a comprehensive overview of the 101 formulaic alphas, including the Alpha#57 indicator.