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arxiv: 1601.00991 · v3 · pith:ZDARQOPKnew · submitted 2016-01-05 · 💱 q-fin.PM

101 Formulaic Alphas

classification 💱 q-fin.PM
keywords alphasaverageturnoveralphaanalysisapproximatelycodecomputer
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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.

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Cited by 1 Pith paper

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score.

  1. AlphaSAGE: Structure-Aware Alpha Mining via GFlowNets for Robust Exploration

    q-fin.CP 2025-09 unverdicted novelty 5.0

    AlphaSAGE is a GFlowNet framework with an RGCN structure-aware encoder and dense multi-faceted rewards that mines diverse, novel, and predictive formulaic alphas for quantitative trading.