101 alphas help

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

 

Why don't you talk to the author? He's pretty vocal on Wilmott...

 

i have written an email to him
hasnt got a reply
thought we could discuss here.........

 

Do you guys have an idea how to calc those functions, like rank, ts_rank, delay?

 

in websim (google it)
these are standard function and are available in the simulator

i am more interested to get sipporting dociments and papers, links etc to understand this

thanks!

 

Why can't those formulas be tested then in WebSim? What other supporting docs do you need?

 

i can test these formulas and they show a average performance
i want to be able to enhance them and for that I want to understand whats the logic or main idea of the alpha (and thats the stuff i am asking for)

 

Doesn't 'average performance' mean they have no alpha?

 

i mean they perform average in terms of alpha and i would like to understand and refine them....was seeking help for that

 

an academic paper including russian poetry
such a chasm it is, between quants and sales traders.