Alpha#86

Type: alpha_86 • Category: indicators

Description

Alpha#86 - negative ts_rank correlation comparison.

Parameters

Name	Type	Description	Required	Default
dataExp	string	price data	no
close	string	select the column with closing prices	no
volume	string	select the column with volume	no
open	string	select the column with opening prices	no
vwap	string	select the column with VWAP	no

Help

Alpha#86

Description

Alpha#86 is an indicator from Alpha 101, a set of formulaic alphas used in investing strategies. This indicator calculates the negative ts_rank correlation comparison.

What does this worker do?

This worker calculates the Alpha#86 indicator, which is a measure of the negative correlation between the time series rank of two variables.

How to interpret the results

The results of this indicator can be used to identify potential trading opportunities. A high value indicates a strong negative correlation between the two variables, while a low value indicates a weak negative correlation.

Parameters

The following parameters are required to calculate the Alpha#86 indicator:

• dataExp: pandas.DataFrame
  • Description: Price data
• close: str
  • Description: Select the column with closing prices
• volume: str
  • Description: Select the column with volume
• open: str
  • Description: Select the column with opening prices
• vwap: str
  • Description: Select the column with VWAP

Usage

To use this indicator, simply pass in the required parameters. You can refer to the following GIFs for a step-by-step guide:

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)