Alpha#58
Type:
alpha_58• Category:indicators
Description
Alpha#58 - neutralized correlation with decay.
Parameters
| Name | Type | Description | Required | Default |
|---|---|---|---|---|
dataExp | string | price data | no | |
vwap | string | select the column with VWAP | no | |
volume | string | select the column with volume | no |
Help
Alpha#58
Description
Alpha#58 is an indicator from Alpha 101, a set of formulaic alphas developed for investing strategies. This specific indicator is designed to provide a neutralized correlation with decay.
What does this worker do?
The Alpha#58 worker calculates a neutralized correlation with decay based on the provided price data, VWAP (Volume-Weighted Average Price), and volume. This indicator can be used to identify potential trading opportunities by analyzing the relationship between price movements and trading volumes.
How to interpret the results
The results of the Alpha#58 worker can be interpreted as a measure of the neutralized correlation with decay. A higher value indicates a stronger correlation, while a lower value indicates a weaker correlation. The decay component helps to reduce the impact of recent price movements, providing a more nuanced view of the relationship between price and volume.
Parameters
The following parameters are required to run the Alpha#58 worker:
- dataExp: price data
- Type: DataFrame
- Description: Historical price data used to calculate the alpha
- vwap: select the column with VWAP
- Type: String
- Description: Column name containing the Volume-Weighted Average Price (VWAP) data
- volume: select the column with volume
- Type: String
- Description: Column name containing the trading volume data
Usage
To use the Alpha#58 worker, simply provide the required parameters and run the worker. The output will be a calculated alpha value.
Visualizing the Indicator
The following images demonstrate how to use the Alpha#58 worker:
Reference
For more information on the 101 Formulaic Alphas, including Alpha#58, please refer to the publication:
- 101 Formulaic Alphas by Zura Kakushadze
This publication provides a comprehensive overview of the formulaic alphas, including their development, implementation, and application in investing strategies.