Formulaic Alphas
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This week is our classical alpha report - featuring mean reversion on notional flow.
In the last post, we featured our newly hosted documentation for the quantpylib library, our community quant repo - the post details how you can join:
In case you have not realised, the format of the formulaic alphas have changed slightly. The official documentation for the formulaic alphas are also now hosted on the official website:
https://hangukquant.github.io/simulator/gene/#list-of-primitives
This is because the alpha report was generated with the underlying backtest engine being the GeneticAlpha class directly from our quantpylib repo library:
https://hangukquant.github.io/simulator/gene/#geneticalpha
From the next alpha report onwards - we are going to start using
the performance module to generate the performance metrics table in our formulaic alphas. If there are custom strategy metrics you would like me to feature in our official alpha report, you can do so by submitting your pull request for the implementation of the metrics inside the function itself in our Github repo.
We already have some interesting contributions, so do keep them coming!
Report (paid readers):