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.
#063Alphas 51–75Backtest
Alpha #063
Fade industry-relative momentum, offset by a long-run liquidity correlation.
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
- #063 · Alphas 51–75
- Asset class
- Stocks
- In the lab
- Full backtest
Alpha #063
Fade industry-relative momentum, offset by a long-run liquidity correlation.
The alpha as code
((rank(decay_linear(delta(IndNeutralize(close, IndClass.industry), 2.25164), 8.22237)) - rank(decay_linear(correlation(((vwap * 0.318108) + (open * (1 - 0.318108))), sum(adv180, 37.2467), 13.557), 12.2883))) * -1)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 #053: Fade changes in where the close sits within the daily range. Delay-0.
- 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).
Source: Kakushadze, Z. (2016). 101 Formulaic Alphas. Wilmott Magazine 2016(84), 72–81. arXiv:1601.00991. Summaries are our own.