Alpha#81
Type:
alpha_81• Category:indicators
Description
Alpha#81 - negative log product rank 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#81: Negative Log Product Rank Comparison
Description
Alpha#81 is an indicator from Alpha 101, a set of formulaic alphas used in investing strategies. This indicator calculates the negative log product rank comparison.
What does this worker do?
This worker calculates the Alpha#81 indicator using the provided price data, VWAP (Volume-Weighted Average Price), and volume. The indicator is designed to provide insights into the market trends and patterns.
How to interpret the results?
The Alpha#81 indicator provides a value that represents the negative log product rank comparison. A higher value indicates a stronger signal, while a lower value indicates a weaker signal. The interpretation of the results depends on the specific investment strategy and market conditions.
Parameters
The following parameters are required to calculate the Alpha#81 indicator:
- dataExp:
pandas.DataFrame- Description: Price data
- vwap:
str- Description: Select the column with VWAP (Volume-Weighted Average Price)
- volume:
str- Description: Select the column with volume
Usage
To use this indicator, simply provide the required parameters and run the worker. The output will be the calculated Alpha#81 value.
Visualizing the Indicator
The following GIFs demonstrate how to use the Alpha#81 indicator:
Reference
For more information on the Alpha 101 indicators, please refer to the publication:
- Kakushadze, Z. (2016). 101 Formulaic Alphas. arXiv preprint
This publication provides a comprehensive overview of the 101 formulaic alphas, including the Alpha#81 indicator.