ATMA Discussion Forums
ATMA Discussion Forums for Affiliates and Members
101 Formulaic Alphas
The Research Paper- 101 Formulaic Alphas by the team at WorldQuant team generated quite a interest in trading community. For uninitiated, WorldQuant is a prop trading firm with offices in 22 cities across the globe.
"We present explicit formulas - that are also computer code - for 101 real-life quantitative trading alphas. Their average holding period approximately ranges 0.6-6.4 days. The average pair-wise correlation of these alphas is low, 15.9%. The returns are strongly correlated with volatility, but have no significant dependence on turnover..."
Downlaod research paper from here.
Alpha#2: (-1 * correlation(rank(delta(log(volume), 2)), rank(((close - open) / open)), 6))
This basically finds negative correlation between volume change and price change (increase in price with decrease in volume.
Alpha#7: ((adv20 < volume) ? ((-1 * ts_rank(abs(delta(close, 7)), 60)) * sign(delta(close, 7))) : (-1* 1))
Similar to Alpha#2 in that it compares increase in volume to decrease in price.
Alpha#23: (((sum(high, 20) / 20) < high) ? (-1 * delta(high, 2)) : 0)
If current High is greater than its 20-period moving average, then find increase in Highs on alternate candlle
Alpha#41: (((high * low)^0.5) - vwap)
Increase in price with a decrease in vwap
Alpha#54: ((-1 * ((low - close) * (open^5))) / ((low - high) * (close^5)))
Basically taking into account how the prices recovered, from low to close, with an overall increase.
Alpha #101: ((close - open) / ((high - low) + .001)
This basically finds a 'solid' candle with minimal wick size.