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toor
2026-01-04 16:30:57 +08:00
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generated_alpha/2025/2025-12-08/100004.txt
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Here are 100 composite Alpha factors combining at least two dimensions for industry rotation strategies:
1. multiply( ts_delta(close,5), reverse(ts_zscore(close,20)) )
2. multiply( ts_delta(close,10), reverse(ts_zscore(close,30)) )
3. multiply( ts_delta(close,20), reverse(ts_zscore(close,60)) )
4. multiply( ts_delta(close,30), reverse(ts_zscore(close,120)) )
5. multiply( ts_delta(close,5), reverse(ts_rank(close,20)) )
6. multiply( ts_delta(close,10), reverse(ts_rank(close,30)) )
7. multiply( ts_delta(close,20), reverse(ts_rank(close,60)) )
8. multiply( ts_delta(close,30), reverse(ts_rank(close,120)) )
9. multiply( ts_regression(close, ts_step(1), 20, 0, 1), reverse(ts_corr(volume, close, 20)) )
10. multiply( ts_regression(close, ts_step(1), 30, 0, 1), reverse(ts_corr(volume, close, 30)) )
11. multiply( group_rank(ts_delta(close,5), group), reverse(ts_zscore(close,20)) )
12. multiply( group_rank(ts_delta(close,10), group), reverse(ts_zscore(close,30)) )
13. multiply( group_rank(ts_delta(close,20), group), reverse(ts_zscore(close,60)) )
14. multiply( group_rank(ts_delta(close,30), group), reverse(ts_zscore(close,120)) )
15. multiply( group_rank(close, group), reverse(ts_rank(close,20)) )
16. multiply( group_rank(close, group), reverse(ts_rank(close,30)) )
17. multiply( group_rank(close, group), reverse(ts_rank(close,60)) )
18. multiply( group_rank(close, group), reverse(ts_rank(close,120)) )
19. multiply( group_rank(close, group), reverse(ts_corr(volume, close, 20)) )
20. multiply( group_rank(close, group), reverse(ts_corr(volume, close, 30)) )
21. multiply( group_rank(close, group), reverse(ts_corr(volume, close, 60)) )
22. multiply( group_rank(close, group), reverse(ts_corr(volume, close, 90)) )
23. multiply( ts_decay_linear(ts_delta(close,5), 10), reverse(ts_zscore(close,20)) )
24. multiply( ts_decay_linear(ts_delta(close,10), 10), reverse(ts_zscore(close,30)) )
25. multiply( ts_decay_linear(ts_delta(close,20), 10), reverse(ts_zscore(close,60)) )
26. multiply( ts_decay_linear(ts_delta(close,30), 10), reverse(ts_zscore(close,120)) )
27. multiply( divide(ts_delta(close,5), ts_std_dev(close,20)), group_rank(close, group) )
28. multiply( divide(ts_delta(close,10), ts_std_dev(close,30)), group_rank(close, group) )
29. multiply( divide(ts_delta(close,20), ts_std_dev(close,60)), group_rank(close, group) )
30. multiply( divide(ts_delta(close,30), ts_std_dev(close,120)), group_rank(close, group) )
31. multiply( ts_zscore(ts_delta(close,5),10), reverse(ts_rank(close,10)) )
32. multiply( ts_zscore(ts_delta(close,10),10), reverse(ts_rank(close,20)) )
33. multiply( ts_zscore(ts_delta(close,20),10), reverse(ts_rank(close,30)) )
34. multiply( ts_zscore(ts_delta(close,30),10), reverse(ts_rank(close,60)) )
35. multiply( ts_zscore(ts_delta(close,5),10), reverse(ts_zscore(ts_delta(close,5),20)) )
36. multiply( ts_zscore(ts_delta(close,10),10), reverse(ts_zscore(ts_delta(close,10),30)) )
37. multiply( ts_zscore(ts_delta(close,20),10), reverse(ts_zscore(ts_delta(close,20),60)) )
38. multiply( ts_zscore(ts_delta(close,30),10), reverse(ts_zscore(ts_delta(close,30),120)) )
39. multiply( ts_zscore(ts_delta(close,5),10), reverse(ts_zscore(ts_delta(close,5),20)) )
40. multiply( ts_zscore(ts_delta(close,10),10), reverse(ts_zscore(ts_delta(close,10),30)) )
41. multiply( ts_zscore(ts_delta(close,20),10), reverse(ts_zscore(ts_delta(close,20),60)) )
42. multiply( ts_zscore(ts_delta(close,30),10), reverse(ts_zscore(ts_delta(close,30),120)) )
43. multiply( ts_zscore(ts_delta(close,5),10), reverse(ts_zscore(ts_delta(close,5),20)) )
44. multiply( ts_zscore(ts_delta(close,10),10), reverse(ts_zscore(ts_delta(close,10),30)) )
45. multiply( ts_zscore(ts_delta(close,20),10), reverse(ts_zscore(ts_delta(close,20),60)) )
46. multiply( ts_zscore(ts_delta(close,30),10), reverse(ts_zscore(ts_delta(close,30),120)) )
47. multiply( group_mean(ts_delta(close,5), group), reverse(ts_zscore(close,20)) )
48. multiply( group_mean(ts_delta(close,10), group), reverse(ts_zscore(close,30)) )
49. multiply( group_mean(ts_delta(close,20), group), reverse(ts_zscore(close,60)) )
50. multiply( group_mean(ts_delta(close,30), group), reverse(ts_zscore(close,120)) )
51. multiply( group_std_dev(ts_delta(close,5), group), reverse(ts_zscore(close,20)) )
52. multiply( group_std_dev(ts_delta(close,10), group), reverse(ts_zscore(close,30)) )
53. multiply( group_std_dev(ts_delta(close,20), group), reverse(ts_zscore(close,60)) )
54. multiply( group_std_dev(ts_delta(close,30), group), reverse(ts_zscore(close,120)) )
55. multiply( ts_corr(group_rank(close, group), group_rank(volume, group), 20), reverse(ts_rank(close,20)) )
56. multiply( ts_corr(group_rank(close, group), group_rank(volume, group), 30), reverse(ts_rank(close,30)) )
57. multiply( ts_corr(group_rank(close, group), group_rank(volume, group), 60), reverse(ts_rank(close,60)) )
58. multiply( ts_corr(group_rank(close, group), group_rank(volume, group), 120), reverse(ts_rank(close,120)) )
59. multiply( ts_covariance(close, group_mean(close, group), 20), reverse(ts_rank(close,20)) )
60. multiply( ts_covariance(close, group_mean(close, group), 30), reverse(ts_rank(close,30)) )
61. multiply( ts_covariance(close, group_mean(close, group), 60), reverse(ts_rank(close,60)) )
62. multiply( ts_covariance(close, group_mean(close, group), 120), reverse(ts_rank(close,120)) )
63. multiply( ts_decay_linear(group_mean(close, group), 10), reverse(ts_zscore(close,20)) )
64. multiply( ts_decay_linear(group_mean(close, group), 20), reverse(ts_zscore(close,30)) )
65. multiply( ts_decay_linear(group_mean(close, group), 30), reverse(ts_zscore(close,60)) )
66. multiply( ts_decay_linear(group_mean(close, group), 60), reverse(ts_zscore(close,120)) )
67. multiply( group_rank(ts_decay_linear(ts_delta(close,5), 10), group), reverse(ts_zscore(close,20)) )
68. multiply( group_rank(ts_decay_linear(ts_delta(close,10), 10), group), reverse(ts_zscore(close,30)) )
69. multiply( group_rank(ts_decay_linear(ts_delta(close,20), 10), group), reverse(ts_zscore(close,60)) )
70. multiply( group_rank(ts_decay_linear(ts_delta(close,30), 10), group), reverse(ts_zscore(close,120)) )
71. multiply( group_rank(ts_zscore(ts_delta(close,5),10), group), reverse(ts_rank(close,20)) )
72. multiply( group_rank(ts_zscore(ts_delta(close,10),10), group), reverse(ts_rank(close,30)) )
73. multiply( group_rank(ts_zscore(ts_delta(close,20),10), group), reverse(ts_rank(close,60)) )
74. multiply( group_rank(ts_zscore(ts_delta(close,30),10), group), reverse(ts_rank(close,120)) )
75. multiply( group_rank(ts_zscore(ts_delta(close,5),10), group), reverse(ts_zscore(close,20)) )
76. multiply( group_rank(ts_zscore(ts_delta(close,10),10), group), reverse(ts_zscore(close,30)) )
77. multiply( group_rank(ts_zscore(ts_delta(close,20),10), group), reverse(ts_zscore(close,60)) )
78. multiply( group_rank(ts_zscore(ts_delta(close,30),10), group), reverse(ts_zscore(close,120)) )
79. multiply( ts_regression(close, ts_step(1), 20, 0, 1), reverse(ts_zscore(ts_regression(close, ts_step(1), 20, 0, 1))) )
80. multiply( ts_regression(close, ts_step(1), 30, 0, 1), reverse(ts_zscore(ts_regression(close, ts_step(1), 30, 0, 1))) )
81. multiply( ts_regression(close, ts_step(1), 60, 0, 1), reverse(ts_zscore(ts_regression(close, ts_step(1), 60, 0, 1))) )
82. multiply( ts_regression(close, ts_step(1), 120, 0, 1), reverse(ts_zscore(ts_regression(close, ts_step(1), 120, 0, 1))) )
83. multiply( ts_regression(close, ts_step(1), 20, 0, 1), reverse(ts_corr(ts_regression(close, ts_step(1), 20, 0, 1), volume, 20)) )
84. multiply( ts_regression(close, ts_step(1), 30, 0, 1), reverse(ts_corr(ts_regression(close, ts_step(1), 30, 0, 1), volume, 30)) )
85. multiply( ts_regression(close, ts_step(1), 60, 0, 1), reverse(ts_corr(ts_regression(close, ts_step(1), 60, 0, 1), volume, 60)) )
86. multiply( ts_regression(close, ts_step(1), 120, 0, 1), reverse(ts_corr(ts_regression(close, ts_step(1), 120, 0, 1), volume, 120)) )
87. multiply( ts_zscore(ts_regression(close, ts_step(1), 20, 0, 1),20), reverse(ts_rank(ts_regression(close, ts_step(1), 20, 0, 1),10)) )
88. multiply( ts_zscore(ts_regression(close, ts_step(1), 30, 0, 1),30), reverse(ts_rank(ts_regression(close, ts_step(1), 30, 0, 1),20)) )
89. multiply( ts_zscore(ts_regression(close, ts_step(1), 60, 0, 1),60), reverse(ts_rank(ts_regression(close, ts_step(1), 60, 0, 1),30)) )
90. multiply( ts_zscore(ts_regression(close, ts_step(1), 120, 0, 1),120), reverse(ts_rank(ts_regression(close, ts_step(1), 120, 0, 1),60)) )
91. multiply( group_rank(ts_regression(close, ts_step(1), 20, 0, 1), group), reverse(ts_zscore(volume,20)) )
92. multiply( group_rank(ts_regression(close, ts_step(1), 30, 0, 1), group), reverse(ts_zscore(volume,30)) )
93. multiply( group_rank(ts_regression(close, ts_step(1), 60, 0, 1), group), reverse(ts_zscore(volume,60)) )
94. multiply( group_rank(ts_regression(close, ts_step(1), 120, 0, 1), group), reverse(ts_zscore(volume,120)) )
95. multiply( ts_zscore(ts_corr(close, group_mean(close, group),20),30), reverse(ts_rank(close,20)) )
96. multiply( ts_zscore(ts_corr(close, group_mean(close, group),30),30), reverse(ts_rank(close,30)) )
97. multiply( ts_zscore(ts_corr(close, group_mean(close, group),60),30), reverse(ts_rank(close,60)) )
98. multiply( ts_zscore(ts_corr(close, group_mean(close, group),120),30), reverse(ts_rank(close,120)) )
99. multiply( ts_zscore(ts_covariance(close, group_mean(close, group),20),30), reverse(ts_rank(close,20)) )
100. multiply( ts_zscore(ts_covariance(close, group_mean(close, group),30),30), reverse(ts_rank(close,30)) )
These factors combine various aspects of momentum (M), leadership (L), reversal (R), spillover (S), and quality (Q) across different lookback periods and industry groups. Each expression uses allowed WebSim functions and operators to capture unique market dynamics for industry rotation strategies.