Hi All,
I am an aspiring quantitative trader and have been reading up papers, books and now practicing on getting my alphas.
I have come across this paper by Zura Kakushadze
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2701346
The paper has 101 Alphas. I have started to read these and have tried these. I want to be able to modify and enhance/combine these alphas. There is no backrgound information on reasoning my these alphas and i really need your help to decipher some of these. Please can you help me do that.Please help understand the logic behind the alphas and also if you have supporting papers,readings etc. please let me know. I am using the websim by worldquant
for a start, please have a look at the alpha below which takes the reverse of the correlation between rate of change of volume and return. Now it will buy the stocks with a -ve correlation (increasing change in volume and decreasing return). I understand that increasing volume points to momentum and decreasing volume points to reversal. Now if volume is decreasing and returns are going up, the correlation will ve -ve and the alpha below will consider it a buy opprtunity. can you please help me understand why? since volume is decreasing, wouldnt it point to a reversal in the returns?
(-1 * correlation(rank(delta(log(volume), 2)), rank(((close - open) / open)), 6))
Another alpha below says that if volume> 20DayAverage, then takea reverse of the 7 da change in price. if volume is high, wouldnt it point to the fact that returns are likely to continue in short term?
((adv20 < volume) ? ((-1 * ts_rank(abs(delta(close, 7)), 60)) * sign(delta(close, 7))) : (-1
* 1))
Many thanks for your help
I am an aspiring quantitative trader and have been reading up papers, books and now practicing on getting my alphas.
I have come across this paper by Zura Kakushadze
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2701346
The paper has 101 Alphas. I have started to read these and have tried these. I want to be able to modify and enhance/combine these alphas. There is no backrgound information on reasoning my these alphas and i really need your help to decipher some of these. Please can you help me do that.Please help understand the logic behind the alphas and also if you have supporting papers,readings etc. please let me know. I am using the websim by worldquant
for a start, please have a look at the alpha below which takes the reverse of the correlation between rate of change of volume and return. Now it will buy the stocks with a -ve correlation (increasing change in volume and decreasing return). I understand that increasing volume points to momentum and decreasing volume points to reversal. Now if volume is decreasing and returns are going up, the correlation will ve -ve and the alpha below will consider it a buy opprtunity. can you please help me understand why? since volume is decreasing, wouldnt it point to a reversal in the returns?
(-1 * correlation(rank(delta(log(volume), 2)), rank(((close - open) / open)), 6))
Another alpha below says that if volume> 20DayAverage, then takea reverse of the 7 da change in price. if volume is high, wouldnt it point to the fact that returns are likely to continue in short term?
((adv20 < volume) ? ((-1 * ts_rank(abs(delta(close, 7)), 60)) * sign(delta(close, 7))) : (-1
* 1))
Many thanks for your help