This document discusses relationship data in WebSim, including company relationships, supported data fields, and alpha examples. It provides details on: - Supported relationship data fields such as number of customers, competitors, and partners as well as their average daily returns. These can be accessed in Python using dr.GetData. - Two alpha examples, one using trading volume per customer and another comparing volume and close ranks, to generate trading signals based on relationship data. - Questions around the logic of the second alpha example and a call for discussion on how relationship data can be used to develop trading strategies.

1. Relationship data
- Company relationship
- Supported data
- Sample alphas
- Discussion

2. Company relationship
Company A
Company B
Company C
Customer
Customer
Supplier Company D
Competitor
Partner

3. Supported data in WebSim
Data name Description Python Usage
rel_num_cust Number of customers dr.GetData
rel_ret_cust Average 1d returns of all
customers
rel_num_comp
rel_ret_comp
rel_num_part
rel_ret_part
rel_num_all
rel_ret_all
dr.GetData(“rel_ret_cust”)
dr.GetData(“rel_num_comp”)
dr.GetData(“rel_ret_comp”)
dr.GetData(“rel_num_part”)
dr.GetData(“rel_ret_part”)
dr.GetData(“rel_num_all”)
dr.GetData(“rel_ret_all”)
(“rel_num_cust”)
Number of competitors
Average 1d returns of
all competitors
Number of partners
Average 1d returns of
all partners
Number of all relationship
Average 1d returns of
all relationship

4. Alpha example 1
ts_rank(volumne/rel_num_cust, 20)
Region Universe Delay Decay Neutralization
USA TOP3000 1 5 subindustry
The higher the volume traded per customer, the better!

6. Why does it work?
rel_num_cust

7. Alpha example 1 - revisit
ts_rank(volume, 20)
Region Universe Delay Decay Neutralization
USA TOP3000 1 5 subindustry
The higher the volume traded per customer, the better!

9. Alpha example 2
t=20;
x=abs(ts_rank(volume,t)-ts_rank(close,t));
tradewhen(abs(x)>0.05,
(1+x)*ts_rank(volume,t)*(1+grouprank(sector,rel_num_comp)), 0)
Region Universe Delay Decay Neutralization
USA TOP3000 1 7 industry
???

11. Discussion