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Alpha#97

Type: alpha_97 • Category: indicators

Description​

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

Parameters​

NameTypeDescriptionRequiredDefault
dataExpstringprice datano
lowstringselect the column with lowest pricesno
vwapstringselect the column with VWAPno
volumestringselect the column with volumeno

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:

Full GIF Short GIF

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](https://arxiv.org/pdf/1601.00991.pdf)