Alpha158: Price, Trend, Volatility, and Volume Factor Definitions
Article BigQuant
Summary
The document catalogs the 158 Alpha158 features used in quantitative equity research. It groups formulas into candlestick shape and normalized price features; trend measures such as returns, moving averages, regression slopes, fit, and residuals; and volatility or range measures across several lookback windows. Further groups describe the timing of highs and lows, price-volume relationships, up and down day statistics, ranks, volume variability, and volume-weighted price-change statistics.
Key ideas
- Alpha158 organizes 158 features into eight groups based on price and volume data.
- Many features normalize prices or statistics by the current close or volume to support comparisons across securities.
- Multiple lookback windows capture short- and longer-horizon trends, ranges, and variability.
- Price-volume correlations and weighted statistics describe how activity relates to price changes.
- The formula list defines candidate inputs but provides no evidence that any factor predicts returns or survives implementation costs.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.