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Alpha#65

Type: alpha_65 • Category: indicators

Description​

Alpha#65 - weighted correlation and open min.

Parameters​

NameTypeDescriptionRequiredDefault
dataExpstringprice datano
openstringselect the column with opening pricesno
vwapstringselect the column with VWAPno
volumestringselect the column with volumeno

Help​

Alpha#65

Description​

Alpha#65 is an indicator from Alpha 101, a set of formulaic alphas used in investing strategies. This indicator calculates a weighted correlation and open minimum.

What does this worker do?​

This worker implements the Alpha#65 strategy, which combines weighted correlation and open minimum to generate a signal. The strategy uses price data, opening prices, VWAP (Volume-Weighted Average Price), and volume to calculate the alpha.

How to interpret the results​

The results of this worker can be used to inform investment decisions. A higher alpha value indicates a stronger signal, while a lower alpha value indicates a weaker signal. The interpretation of the results depends on the specific investment strategy and goals.

Parameters​

The following parameters are required to run this worker:

  • dataExp: price data
    • Type: DataFrame
    • Description: Price data used to calculate the alpha
  • open: select the column with opening prices
    • Type: String
    • Description: Column name with opening prices
  • vwap: select the column with VWAP
    • Type: String
    • Description: Column name with VWAP
  • volume: select the column with volume
    • Type: String
    • Description: Column name with volume

Usage​

To use this worker, simply provide the required parameters and run the worker. The worker will calculate the alpha value based on the provided data.

Visualizing the Indicator​

The following images demonstrate how to use the Alpha#65 indicator:

Full GIF Short GIF

Publication​

For more information on the 101 Formulaic Alphas, including Alpha#65, please refer to the publication:

[101 Formulaic Alphas](https://arxiv.org/pdf/1601.00991) by Zura Kakushadze

This publication provides a comprehensive overview of the formulaic alphas, including their construction, performance, and applications.