technical indicators in Alphas help

Discussion in 'Automated Trading' started by rs2000, Jul 17, 2016.

  1. rs2000

    rs2000

    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
    upload_2016-7-17_19-10-28.png


    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?

    upload_2016-7-17_19-11-53.png


    3. delta(volume,28)/(sum(volume,60)/60)*sum(returns,20)

    same as #1, #2 but i look at 28 day ROC and


    upload_2016-7-17_19-13-15.png



    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

    upload_2016-7-17_19-15-26.png


    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

    upload_2016-7-17_19-16-7.png
     
  2. rs2000

    rs2000

    Guys....any inputs here ...

    thanks!
     
  3. rs2000

    rs2000

    Guys your opinions.............