Alpha#89

Type: alpha_89 • Category: indicators

Description

Alpha#89 - difference of ts_rank decays.

Parameters

Name	Type	Description	Required	Default
dataExp	string	price data	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#89

Description

Alpha#89 is an indicator from the 101 Formulaic Alphas, a set of quantitative investing strategies developed by Zura Kakushadze. This indicator calculates the difference of ts_rank decays.

What does this worker do?

This worker calculates the Alpha#89 indicator, which is based on the difference of ts_rank decays. The ts_rank decay is a measure of the ranking of a time series over a certain period, with the decay parameter controlling the rate of decay.

How to interpret the results

The Alpha#89 indicator can be used to identify potential trading opportunities. A positive value indicates that the short-term ranking of the time series is higher than the long-term ranking, while a negative value indicates the opposite.

Parameters

The following parameters are required to calculate the Alpha#89 indicator:

• dataExp: price data
  • Type: pandas.DataFrame
  • Description: Price data
• low: select the column with lowest prices
  • Type: str
  • Description: Column name with lowest prices
• volume: select the column with volume
  • Type: str
  • Description: Column name with volume data
• vwap: select the column with VWAP
  • Type: str
  • Description: Column name with Volume-Weighted Average Price (VWAP) data

Usage

To use this worker, 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 by Zura Kakushadze