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.
#086Alphas 76–101Backtest
Alpha #086
Close–liquidity correlation compared with close-versus-VWAP.
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
- #086 · Alphas 76–101
- Asset class
- Stocks
- In the lab
- Full backtest
Alpha #086
Close–liquidity correlation compared with close-versus-VWAP.
The alpha as code
((Ts_Rank(correlation(close, sum(adv20, 14.7444), 6.00049), 20.4195) < rank(((open + close) - (vwap + open)))) * -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 76–101
- Alpha #076: Fade the stronger of VWAP momentum and a sector-neutral low–liquidity signal.
- Alpha #077: The weaker of midpoint-above-VWAP and a midpoint–liquidity correlation.
- Alpha #078: Price–liquidity correlation raised to the power of a VWAP–volume correlation.
- Alpha #079: Sector-relative daily change compared with a VWAP–liquidity trend.
- Alpha #080: Fade the direction of industry-relative moves, powered by a high–liquidity correlation.
- Alpha #081: Persistent VWAP–liquidity correlation compared with short-run VWAP–volume correlation.
Source: Kakushadze, Z. (2016). 101 Formulaic Alphas. Wilmott Magazine 2016(84), 72–81. arXiv:1601.00991. Summaries are our own.