Alpha#93
Type:
alpha_93• Category:indicators
Description
Alpha#93 - ratio of ts_rank decay and rank decay.
Parameters
| Name | Type | Description | Required | Default |
|---|---|---|---|---|
dataExp | string | price data | no | |
vwap | string | select the column with VWAP | no | |
close | string | select the column with closing prices | no | |
volume | string | select the column with volume | no |
Help
Alpha#93
Description
Alpha#93 is an indicator from Alpha 101, a set of formulaic alphas used in investing strategies. It calculates the ratio of ts_rank decay and rank decay.
What does this worker do?
This worker implements the Alpha#93 indicator, which combines two decay functions to generate a signal. The indicator uses price data, VWAP, closing prices, and volume to calculate the ratio of ts_rank decay and rank decay.
How to interpret the results
The Alpha#93 indicator generates a value that represents the ratio of ts_rank decay and rank decay. A higher value may indicate a stronger signal, while a lower value may indicate a weaker signal. The interpretation of the results depends on the specific investment strategy and market conditions.
Parameters
The following parameters are required to configure the Alpha#93 worker:
- dataExp:
price data- Type: DataFrame
- Description: Price data used to calculate the indicator
- vwap:
select the column with VWAP- Type: String
- Description: Column name with Volume Weighted Average Price (VWAP)
- close:
select the column with closing prices- Type: String
- Description: Column name with closing prices
- volume:
select the column with volume- Type: String
- Description: Column name with trading volume
Usage
For a visual guide on how to use the Alpha#93 worker, please refer to the following GIFs:
Reference
For more information on the 101 Formulaic Alphas, please refer to the publication by Zura Kakushadze: