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technical indicators Alphas help

Hi All

Hi All

I am trying 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

  1. 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

  1. 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

  1. 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

  1. 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

2 responses

any opinion on these guys.............

Hello Karl,

In general technical indicators have been arbitraged out pretty heavily by retail traders. Given that nearly every trading library implements similar technical indicators, it's tricky to squeeze any alpha out of them. Usually what happens is you end up tweaking them until they work historically, but then they're just overfit to noise and won't continue working in the future.

I would look at developing alpha factors based on other data. For example, a professional quant these days will have a model that uses many different ranking factors to sort stocks and go long and/or short. For more info on this you can check out these lectures:

https://www.quantopian.com/lectures#Long-Short-Equity
https://www.quantopian.com/lectures#Case-Study:-Traditional-Value-Factor

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