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Finding Alphas: A Quantitative Approach to Building Trading Strategies by Igor Tulchinsky

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31 Alpha Tutorials

By the WebSim™ Team

This chapter provides a selection of expression and python examples to get a new user started. It also has descriptions of some common alpha examples with a discussion on good practices to follow when building alphas.

ALPHA EXPRESSION EXAMPLES

Try the alpha expressions in Table 31.1 with different Universe, Delay, Neutralization, etc. settings.

Table 31.1 Sample alpha expressions

Expression Description
1/close Use inverse of daily close price as stock weights. More allocation of capital on the stocks with lower daily close prices. Similarly in the examples below, more allocation of capital on stocks with higher weights as defined in the “Expression” column.
volume/adv20 Use relative daily volume to the average in the past 20 days as stock weights.
Correlation(close, open, 10) Use correlation between daily close and open prices in the past 10 days as stock weights.
open Use daily open price as stock weights.
(high + low)/2 - close Use difference between average of daily high and low prices and daily close price as stock weights.
vwap < close ? high : low Use daily high as stock weights if the stock closes higher than daily volume weighted average price (vwap), or otherwise use daily low as stock weights.
Rank(adv20) Use rank of average daily volume in past 20 days (adv20) as stock weights.
Min(0.5*(open+close), vwap) Use the less of open close average and vwap as stock weights.
Max(0.5*(high+low), vwap) Use the ...

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