++

2026-01-04 16:30:57 +08:00
parent 51a483ce22
commit 2950e9d2ce
134 changed files with 1180 additions and 47 deletions
@@ -0,0 +1,39 @@
+subtract(implied_volatility_call_120, implied_volatility_put_90)
+
+ts_sum(ts_decay_linear(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), 20)
+
+scale(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), 1)
+
+winsorize(ts_delta(implied_volatility_call_120, 5), 3)
+
+normalize(ts_corr(implied_volatility_call_120, implied_volatility_put_90, 10), true)
+
+rank(add(ts_mean(implied_volatility_call_120, 5), ts_mean(implied_volatility_put_90, 5)))
+
+if_else(subtract(implied_volatility_call_120, implied_volatility_put_90) > 0, ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), 0)
+
+group_neutralize(ts_zscore(subtract(implied_volatility_call_120, implied_volatility_put_90), 20), sector)
+
+ts_scale(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), 20)
+
+multiply(subtract(implied_volatility_call_120, implied_volatility_put_90), power(fscore_bfl_total, 0.5))
+
+divide(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), ts_std_dev(implied_volatility_call_120, 10))
+
+vec_avg(bucket(subtract(implied_volatility_call_120, implied_volatility_put_90)))
+
+ts_av_diff(subtract(implied_volatility_call_120, implied_volatility_put_90), 15)
+
+sign(ts_delta(subtract(implied_volatility_call_120, implied_volatility_put_90), 3))
+
+abs(ts_regression(implied_volatility_call_120, implied_volatility_put_90, 10, 0, 1))
+
+hump(subtract(implied_volatility_call_120, implied_volatility_put_90), 0.02)
+
+last_diff_value(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), 5)
+
+kth_element(subtract(implied_volatility_call_120, implied_volatility_put_90), 10, 3)
+
+quantile(ts_rank(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), gaussian, 1.0)
+
+group_zscore(subtract(implied_volatility_call_120, implied_volatility_put_90), industry)