Alpha#72

Type: alpha_72 • Category: indicators

Description

Alpha#72 - ratio of decay correlations.

Parameters

Name	Type	Description	Required	Default
dataExp	string	price data	no
high	string	select the column with highest prices	no
low	string	select the column with lowest prices	no
volume	string	select the column with volume	no
vwap	string	select the column with VWAP	no

Help

Alpha#72

Description

Alpha#72 is an indicator from Alpha 101, a set of formulaic alphas used in investing strategies. This indicator calculates the ratio of decay correlations.

What does this worker do?

This worker calculates the Alpha#72 indicator, which is a ratio of decay correlations. It uses price data, high, low, volume, and VWAP (Volume-Weighted Average Price) data to compute the indicator.

How to interpret the results

The Alpha#72 indicator can be used to identify potential trading opportunities. A higher value may indicate a stronger correlation between the decay of price movements, while a lower value may indicate a weaker correlation.

Parameters

The following parameters are required to compute the Alpha#72 indicator:

• dataExp: price data
  • Description: The price data used to compute the indicator.
• high: column with highest prices
  • Description: The column containing the highest prices.
• low: column with lowest prices
  • Description: The column containing the lowest prices.
• volume: column with volume
  • Description: The column containing the trading volume.
• vwap: column with VWAP
  • Description: The column containing the Volume-Weighted Average Price.

Usage

To use this indicator, simply provide the required parameters and run the worker. The output will be the computed Alpha#72 indicator.

Visual Guide

For a step-by-step guide on how to use this indicator, please refer to the following GIFs:

Reference

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

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