101 Formulaic Alphas

Understand

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.