Alpha#66
Type:
alpha_66• Category:indicators
Description
Alpha#66 - decay and ts_rank sum.
Parameters
| Name | Type | Description | Required | Default |
|---|---|---|---|---|
dataExp | string | price data | no | |
vwap | string | select the column with VWAP | no | |
low | string | select the column with lowest prices | no | |
open | string | select the column with opening prices | no | |
high | string | select the column with highest prices | no |
Help
Alpha#66
Description
Alpha#66 is an indicator from Alpha 101, a set of formulaic alphas used in investing strategies. This indicator calculates the sum of decay and ts_rank.
What does this worker do?
This worker implements the Alpha#66 indicator, which combines two components: decay and ts_rank. The decay component calculates the exponential decay of a given price data, while the ts_rank component calculates the rank of the data over a given time period.
How to interpret the results
The output of this worker is a value that represents the sum of the decay and ts_rank components. A higher value indicates a stronger signal, while a lower value indicates a weaker signal.
Parameters
The following parameters are required to use this worker:
- dataExp (
float): Price data - vwap (
float): Column with Volume Weighted Average Price (VWAP) - low (
float): Column with lowest prices - open (
float): Column with opening prices - high (
float): Column with highest prices
Usage
To use this worker, simply provide the required parameters. You can refer to the following GIFs for a step-by-step guide:
Reference
This indicator is part of the 101 Formulaic Alphas, a set of indicators developed by Zura Kakushadze. For more information, please refer to the publication:
[101 Formulaic Alphas](https://arxiv.org/pdf/1601.00991.pdf) by Zura Kakushadze
Additional Information
For more information on Alpha 101 and the 101 Formulaic Alphas, please visit the publication link above.