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.
#039Alphas 26–50Backtest
Alpha #039
Fade weekly moves made on light volume, scaled up for one-year winners.
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
- #039 · Alphas 26–50
- Asset class
- Stocks
- In the lab
- Full backtest
Alpha #039
Fade weekly moves made on light volume, scaled up for one-year winners.
The alpha as code
((-1 * rank((delta(close, 7) * (1 - rank(decay_linear((volume / adv20), 9)))))) * (1 + rank(sum(returns, 250))))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 26–50
- Alpha #026: Short stocks where volume and highs have recently been strongly in sync.
- Alpha #027: Binary bet: short the half of stocks with the strongest volume–VWAP correlation, long the rest.
- Alpha #028: Long stocks closing below their daily midpoint, adjusted by the liquidity–low correlation.
- Alpha #029: A heavily transformed five-day reversal plus a lagged return reversal.
- Alpha #030: Count up-days over three days and fade them, weighted by the recent share of volume.
- Alpha #031: Decayed ten-day reversal plus three-day reversal, tilted by the liquidity–low correlation.
Source: Kakushadze, Z. (2016). 101 Formulaic Alphas. Wilmott Magazine 2016(84), 72–81. arXiv:1601.00991. Summaries are our own.