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toor
2026-01-04 16:30:57 +08:00
parent 51a483ce22
commit 2950e9d2ce
134 changed files with 1180 additions and 47 deletions
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generated_alpha/2025/2025-12-28/195522.txt
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ts_sum(winsorize(subtract(implied_volatility_call_120, implied_volatility_put_90), std=3), 10)
ts_zscore(subtract(implied_volatility_call_120, implied_volatility_put_90), 10)
group_neutralize(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), "subindustry")
rank(ts_sum(winsorize(subtract(implied_volatility_call_120, implied_volatility_put_90), std=4), 10))
ts_rank(subtract(implied_volatility_call_120, implied_volatility_put_90), 10)
ts_scale(subtract(implied_volatility_call_120, implied_volatility_put_90), 10)
ts_av_diff(subtract(implied_volatility_call_120, implied_volatility_put_90), 10)
hump(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), hump=0.02)
ts_decay_linear(subtract(implied_volatility_call_120, implied_volatility_put_90), 10)
group_zscore(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), "subindustry")
normalize(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), useStd=true)
ts_std_dev(subtract(implied_volatility_call_120, implied_volatility_put_90), 10)
multiply(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), sign(ts_delta(implied_volatility_call_120, 1)))
rank(ts_zscore(subtract(implied_volatility_call_120, implied_volatility_put_90), 10))
ts_quantile(subtract(implied_volatility_call_120, implied_volatility_put_90), 10, driver="uniform")
winsorize(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), std=3.5)
group_scale(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), "subindustry")
ts_correlation(subtract(implied_volatility_call_120, implied_volatility_put_90), implied_volatility_call_60, 10)
ts_arg_max(subtract(implied_volatility_call_120, implied_volatility_put_90), 10)
ts_delta(ts_sum(winsorize(subtract(implied_volatility_call_120, implied_volatility_put_90), std=4), 10), 1)