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What is the enhanced analysis tool developed based on Alpha101 grammar? aiming at this problem, this article introduces the corresponding analysis and solution in detail, hoping to help more partners who want to solve this problem to find a more simple and feasible method.

1. Summary

The inventor quantifies the online trading factor analysis tool based on WorldQuant Alpha101, which provides a new weapon for quantitative trading strategy developers. Through the analysis factor, it helps everyone to better understand the market and gain insight into the opportunities behind the financial market.

What is Alpha101

Before introducing Alpha101, what is Alpha? Alpha refers to excess income. For example: buy a 1 million index fund and hold it all the time, which is a Beta strategy to earn passive returns in the market. But if you buy 10 stocks with $1 million and earn 10% more than buying an index fund, that 10% is an excess return on Alpha. Don't underestimate this Alpha excess return, in fact, most traders in the market, including fund managers, can not beat the index, so many people rack their brains to improve Alpha returns. Of course, there are also some good traders and fund companies.

Trading strategy excess return = passive (Beta) return + trading (Alpha) return.

In mid-2015, WorldQuant LLC quantitative trading hedge funds, which specialize in data mining, released the "WorldQuant Formulaic 101Alphas" research report, which disclosed the 101Alpha expressions they are or have used, with the aim of providing more inspiration and ideas for trading strategy developers. Many people question the public factor of WorldQuant, because after all, the A stock market is different from the foreign stock market. But it turns out that most of these factors are effective in the domestic market. The inventor quantitatively removes and modifies these factor formulas and opens them to the public on the platform for all users to use.

3. What are the factors in Alpha101

In the research report, Alpha is divided into three categories: price factor, trading volume factor and dichotomy factor.

Price factor: only the price is used in the calculation formula, including: opening price, highest price, lowest price, closing price, etc., output as specific values.

Volume-price factor: the calculation formula uses trading volume and price, and its design idea is to judge the relationship between price change and trading volume change, and output to a specific value.

Two classification factors: the calculation formula uses trading volume and price, which is the same as the volume-price factor, but the output is 0 or 1.

Price class factor

Quantity and price type factor

Binary classification factor

Fourth, it is realized in the quantification of inventors

Open the inventor quantification official website (FMZ.COM) and log in, click "Control Center" at the top left, and select "Analysis tools" in the list on the left, as shown in the following figure:

On the analysis tool page, at the top is the settings bar, which can be set from left to right: variety, start and end time, cycle, picture type. Below the setting bar is the formula editing area, if you can't write the formula, you can click the drop-down menu below and select the edited formula. Many examples of formulas are supported here, and you can choose not to modify them. Or you can view the documentation. In addition, the quantitative analysis tools of the inventors already support most of the official Alpha101 formulas, just click and use them. Click on the calculation formula, the calculation results can be presented at the bottom, and support a variety of data export methods: pictures, tables (CSV), JSON, and so on.

Areas that need to be paid attention to

1. The parameters in the factor formula are all default, not the optimal parameters. Traders can choose more appropriate parameters according to the variety, cycle, and their own experience.

2. Factors are independent of each other, and better results may not be obtained if multiple factors are superimposed on each other. In the design of quantitative trading strategies, at least have their own logic, rather than mechanical patchwork.

3, the factor is infinite, Alpha101 is just a brick to attract jade, I believe you can get inspiration from it, to create more and better factors and quantitative trading strategy.

This is the answer to the question about how the enhanced analysis tool developed based on Alpha101 grammar is shared here. I hope the above content can be of some help to you. If you still have a lot of doubts to be solved, you can follow the industry information channel to learn more about it.

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