Alpha#61

Type: alpha_61 • Category: indicators

Description

Alpha#61 - VWAP min and correlation comparison.

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#61

Description

Alpha#61 is an indicator from Alpha 101, a set of formulaic alphas developed by Zura Kakushadze. This indicator compares the Volume Weighted Average Price (VWAP) minimum and correlation.

What does this worker do?

This worker calculates Alpha#61, which is a measure used in investing strategies to identify potential trading opportunities. It uses price data, VWAP, and volume to generate a signal.

How to interpret the results

The results of Alpha#61 can be used to identify stocks or assets that have a high correlation with their VWAP minimum, indicating potential trading opportunities.

Parameters

The following parameters are required to use Alpha#61:

• dataExp: price data
  • Type: DataFrame
  • Description: Price data used to calculate Alpha#61
• vwap: select the column with VWAP
  • Type: string
  • Description: Column name with VWAP data
• volume: select the column with volume
  • Type: string
  • Description: Column name with volume data

Usage

To use Alpha#61, simply provide the required parameters and run the worker. The output will be a signal indicating potential trading opportunities.

Visual Guide

For a step-by-step guide on how to use Alpha#61, please refer to the following GIFs:

Publication

For more information on Alpha 101 and the development of these formulaic alphas, please refer to the publication:

101 Formulaic Alphas by Zura Kakushadze

This publication provides a comprehensive overview of the Alpha 101 framework and its application in investing strategies.