FMZ Alpha Factor Analysis Functions and Time-Series Inputs
Summary
This guide describes an FMZ tool for evaluating trading ideas with time-series expressions modeled partly on publicly available Alpha101 calculations. It lists arithmetic and logical operators, transformations such as moving averages and differences, rolling-window statistics, cross-sectional ranking, and inputs including returns, OHLC prices, and volume. Expressions can be combined to plot multiple outputs or used for simple calculations.
The guide explains how the functions operate, including rolling correlation and covariance, normalized scaling, weighted decay averages, and time-series rank or extrema. It also identifies limitations: industry neutralization is unsupported, and volume-weighted average price, market capitalization, and industry classification are not implemented as described; VWAP currently falls back to closing price. Cross-sectional ranking also requires a candidate universe and does not provide a meaningful ranking for a single instrument. The material documents an analysis interface and its operators, but supplies no performance evidence or tested trading strategy.
Key ideas
- The tool supports common time-series transformations and rolling statistics for exploring trading signals.
- Cross-sectional ranking requires a defined universe of candidate instruments.
- Multiple expressions can be evaluated together and plotted as separate outputs.
- Several inputs and functions are incomplete, including industry neutralization, market capitalization, industry classification, and true VWAP.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.