Hi All
I am using wolrdquant websim to get my hands on alphas idea and below are few of the ones that don't seem to be working
can you please help me understand whats are the reasons here.
I am not looking to make very high quality alphas at this phase. I am just trying to test my understand first.
Thanks for all your help
These are expressions that would define the wights (+ or -) to each stock in the industry-neutralized portoflio each day.
volume= daily volume
close= closing price
delta(x,n)= change in x over n days
delay(x,y)= value of x as it was n days ago
adv20 = 20 days average daily volume
correlation (x,y,n) = correlation of x and y over n days
1.
delta(volume,14)/delay(volume,14)*delta(close,14)
so i am lookign at 14 days volume rate of change(% change in volume over 14 days_, if its increasing, then price trend is supposed to be continuing (up or down trend). so I multiply ROC volume with ROC (delta )price so that
i. if ROC volume is +ve, the price ROC will continue (up or donw)
ii. if ROC volume is -ve, then price trade will reverse (up or down)
iii. if ROC volume is small, then no significant trend will follow
given the information on ROC volume & price, i have read. this doesnt seem to be working. Please given your inputs
2. delta(delta(volume,28)/(sum(volume,60)/60),1)*sum(returns,2)
this is similar to #1, here i am looking at 28 day volume ROC volume and saying that if its positive, the 2 days return will continue. if its -ve, the 2 day return will reverse
Any thoughts on this?
3. delta(volume,28)/(sum(volume,60)/60)*sum(returns,20)
same as #1, #2 but i look at 28 day ROC and
4. 1-correlation(rank(delta(log(volume),2)),rank((close-open)/open),6) + correlation(rank((sum(log(volume/sharesout),5)/5)-(sum(log(volume/sharesout),200)/200)), rank((close-open)/open), 10)
here i look two correlations.
reverse (-ve) of correlation of 2 day delta of volume and daily return
and correlation of (difference of 5 day avg volume with 200 day average volume) and daily return
please give your thoughts on how to improve this
5. rank(delta(sum(close*volume,100),5)/(close*volume))
was looking at another price volume relationship
price volume and its sum. if this is increasing, it points to an upward trend in market.
if its decreasing, it points to a downward trend in market
Again this doesn't seem to be working
I am using wolrdquant websim to get my hands on alphas idea and below are few of the ones that don't seem to be working
can you please help me understand whats are the reasons here.
I am not looking to make very high quality alphas at this phase. I am just trying to test my understand first.
Thanks for all your help
These are expressions that would define the wights (+ or -) to each stock in the industry-neutralized portoflio each day.
volume= daily volume
close= closing price
delta(x,n)= change in x over n days
delay(x,y)= value of x as it was n days ago
adv20 = 20 days average daily volume
correlation (x,y,n) = correlation of x and y over n days
1.
delta(volume,14)/delay(volume,14)*delta(close,14)
so i am lookign at 14 days volume rate of change(% change in volume over 14 days_, if its increasing, then price trend is supposed to be continuing (up or down trend). so I multiply ROC volume with ROC (delta )price so that
i. if ROC volume is +ve, the price ROC will continue (up or donw)
ii. if ROC volume is -ve, then price trade will reverse (up or down)
iii. if ROC volume is small, then no significant trend will follow
given the information on ROC volume & price, i have read. this doesnt seem to be working. Please given your inputs
2. delta(delta(volume,28)/(sum(volume,60)/60),1)*sum(returns,2)
this is similar to #1, here i am looking at 28 day volume ROC volume and saying that if its positive, the 2 days return will continue. if its -ve, the 2 day return will reverse
Any thoughts on this?
3. delta(volume,28)/(sum(volume,60)/60)*sum(returns,20)
same as #1, #2 but i look at 28 day ROC and
4. 1-correlation(rank(delta(log(volume),2)),rank((close-open)/open),6) + correlation(rank((sum(log(volume/sharesout),5)/5)-(sum(log(volume/sharesout),200)/200)), rank((close-open)/open), 10)
here i look two correlations.
reverse (-ve) of correlation of 2 day delta of volume and daily return
and correlation of (difference of 5 day avg volume with 200 day average volume) and daily return
please give your thoughts on how to improve this
5. rank(delta(sum(close*volume,100),5)/(close*volume))
was looking at another price volume relationship
price volume and its sum. if this is increasing, it points to an upward trend in market.
if its decreasing, it points to a downward trend in market
Again this doesn't seem to be working