Alpha#97

Type: alpha_97 • Category: indicators

Description

Alpha#97 - negative difference of rank decay and ts_rank decay.

Parameters

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

Help

Alpha#97

Description

Alpha#97 is an indicator from Alpha 101, a set of formulaic alphas developed by Zura Kakushadze. This indicator calculates the negative difference of rank decay and ts_rank decay.

What does this worker do?

This worker calculates the Alpha#97 indicator, which is a combination of two decay functions: rank decay and ts_rank decay. The indicator is designed to capture the difference between the two decay functions, providing insight into market trends and potential trading opportunities.

How to interpret the results

The Alpha#97 indicator can be used to identify potential trading opportunities. A positive value indicates that the rank decay is higher than the ts_rank decay, while a negative value indicates the opposite. The magnitude of the difference can be used to gauge the strength of the trend.

Parameters

The following parameters are required to calculate the Alpha#97 indicator:

• dataExp: price data
  • Type: pandas.DataFrame
  • Description: Price data used to calculate the indicator
• low: select the column with lowest prices
  • Type: str
  • Description: Column name of the lowest prices in the dataExp dataframe
• vwap: select the column with VWAP
  • Type: str
  • Description: Column name of the volume-weighted average price (VWAP) in the dataExp dataframe
• volume: select the column with volume
  • Type: str
  • Description: Column name of the trading volume in the dataExp dataframe

Usage

To use this worker, simply provide the required parameters and run the calculation. The resulting indicator values can be used in your investment strategy.

Visualizing the Indicator

The following images demonstrate how to use the Alpha#97 indicator:

Reference

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

101 Formulaic Alphas