The Alpha191 Library of Price and Volume Stock Factors

Summary

This reference compiles expressions for the Alpha191 stock-factor set, attributed in the document to a 2017 research report on short-horizon price and volume characteristics. The expressions draw on open, high, low, close, volume, turnover value, VWAP, returns, and benchmark data. Across the collection, operators such as rolling sums, ranks, correlations, time-series ranks, moving averages, and standard deviations combine market observations over different windows. The set spans price momentum and reversal, trading activity, intraday range behavior, volume-price relationships, and benchmark-relative measures.

The material is primarily a formula catalog rather than an explanation of factor intuition or a strategy specification. The excerpt contains a long middle portion that is truncated, and some expressions appear malformed or inconsistent, so implementation should be checked against a reliable source. It provides no factor definitions beyond the expressions, portfolio construction, out-of-sample results, or transaction-cost analysis. The catalog can serve as a starting point for research, but does not establish that any factor is predictive or tradable.

Key ideas

• The Alpha191 collection combines price, volume, VWAP, return, and benchmark data in factor expressions.
• Its operators include rolling statistics, ranking, correlation, and time-series transformations.
• The factors cover several styles of price and volume behavior, including momentum, reversal, and activity relationships.
• The displayed catalog is incomplete and includes expressions that may need verification.
• No portfolio results, transaction-cost analysis, or evidence of predictive performance is provided.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.