Skip to main content

Alpha#70

Type: alpha_70 • Category: indicators

Description​

Alpha#70 - power of delta and ts_rank.

Parameters​

NameTypeDescriptionRequiredDefault
dataExpstringprice datano
vwapstringselect the column with VWAPno
closestringselect the column with closing pricesno
volumestringselect the column with volumeno

Help​

Alpha#70

Description​

Alpha#70 is an indicator from Alpha 101, a set of formulaic alphas used in investing strategies. This indicator combines the power of delta and ts_rank to generate a signal.

What does this worker do?​

This worker calculates the Alpha#70 indicator using the provided price data, VWAP, closing prices, and volume. The indicator is designed to capture market trends and anomalies.

How to interpret the results​

The output of this worker is a time series of Alpha#70 values. A positive value indicates a bullish signal, while a negative value indicates a bearish signal. The magnitude of the value represents the strength of the signal.

Parameters​

The following parameters are required to calculate the Alpha#70 indicator:

  • dataExp: price data
    • Type: pandas.DataFrame
    • Description: Price data with datetime index and OHLC (open, high, low, close) columns.
  • vwap: select the column with VWAP
    • Type: str
    • Description: Column name with Volume Weighted Average Price (VWAP) values.
  • close: select the column with closing prices
    • Type: str
    • Description: Column name with closing prices.
  • volume: select the column with volume
    • Type: str
    • Description: Column name with trading volume.

Usage​

To use this worker, simply provide the required parameters and run the calculation. The output will be a time series of Alpha#70 values.

Visualizing the Indicator​

The following images demonstrate how to use the Alpha#70 indicator:

Full GIF Short GIF

Reference​

For more information on the 101 Formulaic Alphas, please refer to the publication:

Zura Kakushadze. (2016). 101 Formulaic Alphas. arXiv preprint.