Alpha#59
Type:
alpha_59• Category:indicators
Description
Alpha#59 - weighted neutralized correlation.
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#59: Weighted Neutralized Correlation
Description
Alpha#59 is an indicator from Alpha 101, a set of formulaic alphas used in investing strategies. This indicator calculates the weighted neutralized correlation.
What does this worker do?
This worker calculates the weighted neutralized correlation using the provided price data, VWAP, and volume. The result is an indicator that can be used to inform investment decisions.
How to interpret the results
The weighted neutralized correlation indicator can be used to identify potential trading opportunities. A higher correlation indicates a stronger relationship between the price movements of different assets.
Parameters
The following parameters are required to use this worker:
- dataExp: price data
- Type: DataFrame
- Description: Historical price data
- vwap: select the column with VWAP
- Type: String
- Description: Column name containing the Volume Weighted Average Price (VWAP)
- volume: select the column with volume
- Type: String
- Description: Column name containing the trading volume
Usage
To use this worker, simply provide the required parameters and run the indicator. The result will be a weighted neutralized correlation indicator.
Visualizing the Indicator
The following GIFs demonstrate how to use this indicator:
Reference
For more information on the 101 Formulaic Alphas, please refer to the publication by Zura Kakushadze: