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songshu
Topic Author
Posts: 2
Joined: January 27th, 2020, 2:23 am

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.

tagoma
Posts: 2901
Joined: February 21st, 2010, 12:58 pm

Hey songshu.

songshu
Topic Author
Posts: 2
Joined: January 27th, 2020, 2:23 am

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.

tagoma
Posts: 2901
Joined: February 21st, 2010, 12:58 pm

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.

Posts: 28
Joined: March 24th, 2017, 6:54 am

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.