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arXiv:1601.00991q-fin.PM

101 Formulaic Alphas

Zura Kakushadze

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Abstract

We present explicit formulas - that are also computer code - for 101 real-life quantitative trading alphas. Their average holding period approximately ranges 0.6-6.4 days. The average pair-wise correlation of these alphas is low, 15.9%. The returns are strongly correlated with volatility, but have no significant dependence on turnover, directly confirming an earlier result based on a more indirect empirical analysis. We further find empirically that turnover has poor explanatory power for alpha correlations.

arXiv comments
22 pages; no changes (excepting this line); to appear in Wilmott Magazine
Journal reference
Wilmott Magazine 2016(84) (2016) 72-80
DOI
Subjects
q-fin.PMPortfolio Management

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  1. Using Reinforcement Learning in the Algorithmic Trading Problem 1 comment

    • If you want to read useful academic papers about trading there is one author in particular who is actually not bad - Zura Kakushadze. Most of his stuff is applicable to mid-frequency trading, not HFT. He worked at WorldQuant (reputable trading firm) and the founder of WQ, Igor…

      traderthrow454View on HNParent context

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