Strategy lab
Every strategy from 151 Trading Strategies and all 101 Formulaic Alphas as formulas you can edit and backtest on ten years of daily stocks, ETFs, futures, forex and crypto data. Free, in your browser.
#016Alphas 1–25Backtest
Alpha #016
Like alpha 13, using the daily high instead of the close.
Edit anything; the result updates as you type. Lines like window = 20 become sliders.
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Hypothetical backtests on daily closes with no slippage unless you add costs. Survivorship bias applies: the stock list is today’s large caps. For learning, not investment advice. Data: Yahoo Finance via yfinance.
- Source
- 101 Formulaic Alphas
- Section
- #016 · Alphas 1–25
- Asset class
- Stocks
- In the lab
- Full backtest
Alpha #016
Like alpha 13, using the daily high instead of the close.
The alpha as code
(-1 * rank(covariance(rank(high), rank(volume), 5)))How the backtest works
The formula is evaluated for every asset on every day. Its values become positions at that day’s close, using the portfolio rule you pick, and earn the next day’s close-to-close return. Costs are charged in basis points on the amount traded. Everything runs in your browser on daily data from Yahoo Finance, adjusted for splits and dividends.
More in Alphas 1–25
- Alpha #001: Where in the last five days did a volatility-adjusted price peak? Recent peaks rank high; the score is centred at zero.
- Alpha #002: Short stocks whose volume surges line up with strong intraday moves: a volume–price divergence signal.
- Alpha #003: Bet against stocks whose opening price and volume rise together over ten days.
- Alpha #004: Short stocks whose daily low is near its nine-day high in relative terms: short-term reversal.
- Alpha #005: Favour opens above the ten-day average VWAP, penalising closes that stray far from VWAP.
- Alpha #006: Negative of the ten-day correlation between open and volume.
Source: Kakushadze, Z. (2016). 101 Formulaic Alphas. Wilmott Magazine 2016(84), 72–81. arXiv:1601.00991. Summaries are our own.