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.
#053Alphas 51–75Backtest
Alpha #053
Fade changes in where the close sits within the daily range. Delay-0.
Note. A delay-0 alpha: it uses the same day’s close, so the backtest assumes you can trade at the price the signal is computed from.
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
- #053 · Alphas 51–75
- Asset class
- Stocks
- In the lab
- Full backtest
Alpha #053
Fade changes in where the close sits within the daily range. Delay-0.
The alpha as code
(-1 * delta((((close - low) - (high - close)) / (close - low)), 9))A delay-0 alpha: it uses the same day’s close, so the backtest assumes you can trade at the price the signal is computed from.
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 51–75
- Alpha #051: Alpha 49 with a looser acceleration threshold.
- Alpha #052: New five-day lows in stocks with strong momentum (excluding the last month) and rising volume.
- Alpha #054: Close location in the range adjusted by the open-to-close move. Delay-0.
- Alpha #055: Short when a stochastic oscillator moves with volume.
- Alpha #056: Fade recent returns, scaled by the dollar size of today’s move (needs market cap).
- Alpha #057: Fade closes above VWAP, more strongly when the 30-day high is recent.
Source: Kakushadze, Z. (2016). 101 Formulaic Alphas. Wilmott Magazine 2016(84), 72–81. arXiv:1601.00991. Summaries are our own.