Hi guys,
I'm currently going through a paper titled "101 Formulaic Alphas" by kakushadze but I don't know how to read the formulas.
For example Alpha #41: (((high * low) ^ 0.5) - vwap)
So does it mean to take the square root of the product of the high price and low price for the day then subtract vwap? Then? it does not tell me to whether buy or sell the security or any condition for any actions.
Am I missing a prerequisite knowledge on how to read this "code"?
I hope you can guide me or show me the proper way to read these alphas.
Thanks in advance!
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Re: How to read 101 Formulaic Alphas by Kakushadze?
Hey songshu.
Did you read the section “Input data” ? It seems to answer your questions no?
Did you read the section “Input data” ? It seems to answer your questions no?
Re: How to read 101 Formulaic Alphas by Kakushadze?
Hi tagoma,
Yeah I've read the appendix and still it's not enough to understand the strategies. Apparently the notation was invented by worldquant..I think I found some documentation on their website after creating an account. Thanks for responding to my question tagoma.
Yeah I've read the appendix and still it's not enough to understand the strategies. Apparently the notation was invented by worldquant..I think I found some documentation on their website after creating an account. Thanks for responding to my question tagoma.
Re: How to read 101 Formulaic Alphas by Kakushadze?
Hi tagoma,
Yeah I've read the appendix and still it's not enough to understand the strategies. Apparently the notation was invented by worldquant..I think I found some documentation on their website after creating an account. Thanks for responding to my question tagoma.
We will be happy to hear where your research gets you to.
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Re: How to read 101 Formulaic Alphas by Kakushadze?
I believe he stays vague intentionally due to the proprietary nature of those alphas. I guess they should be taken as building blocks for actual strategies. I'd start by coding an indicator based on a formula, then try to see how to extract buy / sell signals out of that.Hi guys,
I'm currently going through a paper titled "101 Formulaic Alphas" by kakushadze but I don't know how to read the formulas.
For example Alpha #41: (((high * low) ^ 0.5) - vwap)
So does it mean to take the square root of the product of the high price and low price for the day then subtract vwap? Then? it does not tell me to whether buy or sell the security or any condition for any actions.
Am I missing a prerequisite knowledge on how to read this "code"?
I hope you can guide me or show me the proper way to read these alphas.
Thanks in advance!
Re: How to read 101 Formulaic Alphas by Kakushadze?
BTW I don't mean to be tough with the author of this paper, but there is probably better use of your time than implementing it.
This (un reviewed) paper is 8-year old. That supposed alpha has gone.
And anyways the Coca-cola formula is not something one would gives away.
Just some random thoughts.
This (un reviewed) paper is 8-year old. That supposed alpha has gone.
And anyways the Coca-cola formula is not something one would gives away.
Just some random thoughts.