++
This commit is contained in:
jack
@@ -0,0 +1,90 @@
|
||||
ts_delta(ts_mean(close, 20), 5)
|
||||
ts_delta(ts_mean(close, 60), 10)
|
||||
ts_regression(close, ts_step(1), 60, 0, 1)
|
||||
ts_corr(close, volume, 30)
|
||||
ts_zscore(ts_mean(close, 60), 120)
|
||||
group_zscore(ts_delta(close, 20), industry)
|
||||
ts_decay_linear(ts_delta(close, 5), 20)
|
||||
ts_std_dev(ts_delta(close, 5), 60)
|
||||
ts_rank(ts_mean(close, 20), 60)
|
||||
ts_quantile(ts_delta(close, 5), 60)
|
||||
group_mean(ts_delta(close, 5), industry, volume)
|
||||
ts_covariance(close, vwap, 30)
|
||||
ts_arg_max(ts_delta(close, 5), 60)
|
||||
ts_backfill(ts_delta(close, 5), 10, 1, "NAN")
|
||||
ts_sum(ts_delta(close, 5), 20)
|
||||
ts_av_diff(ts_delta(close, 5), 20)
|
||||
ts_corr(ts_delta(close, 5), ts_delta(volume, 5), 30)
|
||||
ts_regression(ts_delta(close, 5), ts_step(1), 60, 0, 0)
|
||||
ts_zscore(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
group_neutralize(ts_delta(close, 20), industry)
|
||||
ts_decay_linear(ts_delta(ts_mean(close, 20), 5), 30)
|
||||
ts_std_dev(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
ts_rank(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
ts_quantile(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
group_mean(ts_delta(ts_mean(close, 20), 5), industry, market_cap)
|
||||
ts_covariance(ts_delta(close, 5), ts_delta(vwap, 5), 30)
|
||||
ts_arg_min(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
ts_backfill(ts_delta(ts_mean(close, 20), 5), 10, 1, "NAN")
|
||||
ts_sum(ts_delta(ts_mean(close, 20), 5), 20)
|
||||
ts_av_diff(ts_delta(ts_mean(close, 20), 5), 20)
|
||||
ts_corr(ts_delta(ts_mean(close, 20), 5), ts_delta(volume, 5), 30)
|
||||
ts_regression(ts_delta(ts_mean(close, 20), 5), ts_step(1), 60, 0, 0)
|
||||
ts_zscore(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
group_zscore(ts_delta(ts_mean(close, 20), 5), industry)
|
||||
ts_decay_linear(ts_delta(ts_mean(close, 20), 5), 30)
|
||||
ts_std_dev(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
ts_rank(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
ts_quantile(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
group_mean(ts_delta(ts_mean(close, 20), 5), industry, volume)
|
||||
ts_covariance(ts_delta(ts_mean(close, 20), 5), ts_delta(vwap, 5), 30)
|
||||
ts_arg_max(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
ts_backfill(ts_delta(ts_mean(close, 20), 5), 10, 1, "NAN")
|
||||
ts_sum(ts_delta(ts_mean(close, 20), 5), 20)
|
||||
ts_av_diff(ts_delta(ts_mean(close, 20), 5), 20)
|
||||
ts_corr(ts_delta(ts_mean(close, 20), 5), ts_delta(volume, 5), 30)
|
||||
ts_regression(ts_delta(ts_mean(close, 20), 5), ts_step(1), 60, 0, 0)
|
||||
ts_zscore(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
group_neutralize(ts_delta(ts_mean(close, 20), 5), industry)
|
||||
ts_decay_linear(ts_delta(ts_mean(close, 20), 5), 30)
|
||||
ts_std_dev(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
ts_rank(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
ts_quantile(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
group_mean(ts_delta(ts_mean(close, 20), 5), industry, market_cap)
|
||||
ts_covariance(ts_delta(ts_mean(close, 20), 5), ts_delta(vwap, 5), 30)
|
||||
ts_arg_min(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
ts_backfill(ts_delta(ts_mean(close, 20), 5), 10, 1, "NAN")
|
||||
ts_sum(ts_delta(ts_mean(close, 20), 5), 20)
|
||||
ts_av_diff(ts_delta(ts_mean(close, 20), 5), 20)
|
||||
ts_corr(ts_delta(ts_mean(close, 20), 5), ts_delta(volume, 5), 30)
|
||||
ts_regression(ts_delta(ts_mean(close, 20), 5), ts_step(1), 60, 0, 0)
|
||||
ts_zscore(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
group_zscore(ts_delta(ts_mean(close, 20), 5), industry)
|
||||
ts_decay_linear(ts_delta(ts_mean(close, 20), 5), 30)
|
||||
ts_std_dev(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
ts_rank(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
ts_quantile(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
group_mean(ts_delta(ts_mean(close, 20), 5), industry, volume)
|
||||
ts_covariance(ts_delta(ts_mean(close, 20), 5), ts_delta(vwap, 5), 30)
|
||||
ts_arg_max(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
ts_backfill(ts_delta(ts_mean(close, 20), 5), 10, 1, "NAN")
|
||||
ts_sum(ts_delta(ts_mean(close, 20), 5), 20)
|
||||
ts_av_diff(ts_delta(ts_mean(close, 20), 5), 20)
|
||||
ts_corr(ts_delta(ts_mean(close, 20), 5), ts_delta(volume, 5), 30)
|
||||
ts_regression(ts_delta(ts_mean(close, 20), 5), ts_step(1), 60, 0, 0)
|
||||
ts_zscore(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
group_neutralize(ts_delta(ts_mean(close, 20), 5), industry)
|
||||
ts_decay_linear(ts_delta(ts_mean(close, 20), 5), 30)
|
||||
ts_std_dev(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
ts_rank(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
ts_quantile(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
group_mean(ts_delta(ts_mean(close, 20), 5), industry, market_cap)
|
||||
ts_covariance(ts_delta(ts_mean(close, 20), 5), ts_delta(vwap, 5), 30)
|
||||
ts_arg_min(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
ts_backfill(ts_delta(ts_mean(close, 20), 5), 10, 1, "NAN")
|
||||
ts_sum(ts_delta(ts_mean(close, 20), 5), 20)
|
||||
ts_av_diff(ts_delta(ts_mean(close, 20), 5), 20)
|
||||
ts_corr(ts_delta(ts_mean(close, 20), 5), ts_delta(volume, 5), 30)
|
||||
ts_regression(ts_delta(ts_mean(close, 20), 5), ts_step(1), 60, 0, 0)
|
||||
ts_zscore(ts_delta(ts_mean(close, 20), 5), 60)
|
||||
group_zscore(ts_delta(ts_mean(close, 20), 5), industry)
|
||||
@@ -0,0 +1,76 @@
|
||||
ts_regression_slope(close, 5) * group_zscore(ts_delta(close, 10), sector)
|
||||
ts_decay_linear(ts_delta(close, 3), 20) * -ts_zscore(volume, 60)
|
||||
group_mean(ts_corr(close, vwap, 10), industry, 0.3) - group_mean(close, industry)
|
||||
ts_rank(ts_delta(ts_regression_slope(close, 10), 5), 30) * group_std(ts_zscore(close, 20), sector)
|
||||
ts_corr(ts_zscore(close, 5), ts_zscore(volume, 5), 20) * group_mean(ts_return(close, 20), country, 0.2)
|
||||
ts_std_dev(ts_delta(close, 1), 60) * -group_zscore(ts_sum(volume, 10), industry)
|
||||
ts_regression_slope(ts_zscore(close, 30), 10) * group_rank(ts_delta(high, 5), sector)
|
||||
ts_mean(ts_zscore(close, 10), 20) * -ts_covariance(close, volume, 30)
|
||||
group_mean(ts_decay_linear(ts_delta(close, 3), 10), industry, 0.4) - ts_mean(close, 60)
|
||||
ts_rank(ts_delta(ts_std_dev(close, 5), 1), 20) * group_zscore(ts_mean(close, 10), country)
|
||||
ts_corr(ts_delta(close, 5), ts_delta(volume, 5), 30) * group_mean(ts_regression_slope(close, 5), sector, 0.3)
|
||||
ts_decay_linear(ts_zscore(close, 20), 10) * -group_std(ts_delta(close, 1), industry)
|
||||
ts_regression_slope(ts_mean(close, 5), 10) * group_mean(ts_zscore(volume, 10), country, 0.2)
|
||||
ts_zscore(ts_delta(close, 10), 60) * group_rank(ts_corr(close, vwap, 10), industry)
|
||||
group_zscore(ts_sum(ts_delta(close, 1), 5), sector) * -ts_rank(ts_std_dev(close, 10), 30)
|
||||
ts_covariance(ts_zscore(close, 5), ts_zscore(volume, 5), 20) * group_mean(ts_delta(close, 5), industry, 0.3)
|
||||
ts_mean(ts_regression_slope(close, 5), 20) * -group_std(ts_zscore(close, 10), country)
|
||||
ts_delta(ts_corr(close, volume, 10), 5) * group_mean(ts_zscore(close, 20), sector, 0.2)
|
||||
ts_decay_linear(ts_delta(ts_zscore(close, 10), 1), 30) * group_rank(ts_mean(close, 5), country)
|
||||
ts_std_dev(ts_zscore(close, 5), 60) * -group_zscore(ts_delta(close, 1), industry)
|
||||
group_mean(ts_corr(ts_delta(close, 5), ts_delta(volume, 5), 10), sector, 0.3) - ts_mean(close, 30)
|
||||
ts_rank(ts_regression_slope(close, 10), 20) * group_zscore(ts_sum(volume, 5), country)
|
||||
ts_zscore(ts_mean(ts_delta(close, 1), 5), 30) * -group_std(ts_regression_slope(close, 5), industry)
|
||||
ts_corr(ts_delta(close, 3), ts_delta(vwap, 3), 20) * group_mean(ts_zscore(close, 10), sector, 0.4)
|
||||
ts_decay_linear(ts_zscore(ts_delta(close, 1), 5), 10) * -group_rank(ts_mean(close, 10), country)
|
||||
ts_regression_slope(ts_zscore(close, 30), 5) * group_mean(ts_delta(volume, 5), industry, 0.2)
|
||||
ts_mean(ts_zscore(ts_delta(close, 1), 5), 20) * group_std(ts_covariance(close, volume, 10), sector)
|
||||
ts_rank(ts_std_dev(ts_delta(close, 1), 5), 30) * -group_zscore(ts_mean(close, 10), country)
|
||||
group_zscore(ts_delta(ts_mean(close, 5), 1), industry) * ts_corr(ts_zscore(close, 5), volume, 20)
|
||||
ts_covariance(ts_delta(close, 5), ts_delta(high, 5), 30) * group_mean(ts_regression_slope(close, 5), sector, 0.3)
|
||||
ts_decay_linear(ts_zscore(ts_mean(close, 5), 10), 20) * -group_std(ts_delta(close, 1), industry)
|
||||
ts_regression_slope(ts_mean(close, 10), 5) * group_mean(ts_zscore(volume, 5), country, 0.2)
|
||||
ts_zscore(ts_delta(ts_zscore(close, 10), 1), 60) * group_rank(ts_corr(close, vwap, 5), sector)
|
||||
ts_mean(ts_delta(ts_regression_slope(close, 5), 1), 20) * -group_zscore(ts_sum(volume, 10), industry)
|
||||
ts_corr(ts_zscore(close, 5), ts_zscore(volume, 5), 10) * group_mean(ts_delta(close, 5), country, 0.3)
|
||||
ts_decay_linear(ts_delta(ts_zscore(close, 5), 1), 30) * group_std(ts_mean(close, 10), sector)
|
||||
ts_std_dev(ts_zscore(ts_delta(close, 1), 5), 60) * -group_mean(ts_regression_slope(close, 5), industry, 0.4)
|
||||
group_mean(ts_corr(ts_delta(close, 3), ts_delta(volume, 3), 5), sector, 0.2) - ts_mean(close, 20)
|
||||
ts_rank(ts_regression_slope(ts_zscore(close, 10), 5), 30) * group_zscore(ts_sum(volume, 5), country)
|
||||
ts_zscore(ts_mean(ts_delta(close, 1), 5), 60) * -group_std(ts_zscore(close, 20), industry)
|
||||
ts_corr(ts_delta(close, 10), ts_delta(high, 10), 20) * group_mean(ts_zscore(close, 5), sector, 0.3)
|
||||
ts_decay_linear(ts_zscore(ts_mean(close, 3), 5), 10) * -group_rank(ts_mean(close, 10), country)
|
||||
ts_regression_slope(ts_zscore(close, 60), 10) * group_mean(ts_delta(volume, 3), industry, 0.2)
|
||||
ts_mean(ts_zscore(ts_delta(close, 1), 3), 30) * group_std(ts_covariance(close, volume, 5), sector)
|
||||
ts_rank(ts_std_dev(ts_delta(close, 1), 3), 20) * -group_zscore(ts_mean(close, 5), country)
|
||||
group_zscore(ts_delta(ts_mean(close, 3), 1), industry) * ts_corr(ts_zscore(close, 3), volume, 10)
|
||||
ts_covariance(ts_delta(close, 3), ts_delta(vwap, 3), 10) * group_mean(ts_regression_slope(close, 3), sector, 0.4)
|
||||
ts_decay_linear(ts_zscore(ts_delta(close, 1), 3), 20) * -group_std(ts_delta(close, 1), country)
|
||||
ts_regression_slope(ts_mean(close, 3), 10) * group_mean(ts_zscore(volume, 3), industry, 0.2)
|
||||
ts_zscore(ts_delta(ts_zscore(close, 5), 1), 30) * group_rank(ts_corr(close, vwap, 3), sector)
|
||||
ts_mean(ts_delta(ts_regression_slope(close, 3), 1), 10) * -group_zscore(ts_sum(volume, 5), industry)
|
||||
ts_corr(ts_zscore(close, 3), ts_zscore(volume, 3), 5) * group_mean(ts_delta(close, 3), country, 0.3)
|
||||
ts_decay_linear(ts_delta(ts_zscore(close, 3), 1), 10) * group_std(ts_mean(close, 5), sector)
|
||||
ts_std_dev(ts_zscore(ts_delta(close, 1), 3), 30) * -group_mean(ts_regression_slope(close, 3), industry, 0.4)
|
||||
group_mean(ts_corr(ts_delta(close, 1), ts_delta(volume, 1), 3), sector, 0.2) - ts_mean(close, 10)
|
||||
ts_rank(ts_regression_slope(ts_zscore(close, 5), 3), 10) * group_zscore(ts_sum(volume, 3), country)
|
||||
ts_zscore(ts_mean(ts_delta(close, 1), 3), 20) * -group_std(ts_zscore(close, 5), industry)
|
||||
ts_corr(ts_delta(close, 5), ts_delta(high, 5), 10) * group_mean(ts_zscore(close, 3), sector, 0.3)
|
||||
ts_decay_linear(ts_zscore(ts_mean(close, 1), 3), 5) * -group_rank(ts_mean(close, 5), country)
|
||||
ts_regression_slope(ts_zscore(close, 30), 5) * group_mean(ts_delta(volume, 1), industry, 0.2)
|
||||
ts_mean(ts_zscore(ts_delta(close, 1), 1), 10) * group_std(ts_covariance(close, volume, 3), sector)
|
||||
ts_rank(ts_std_dev(ts_delta(close, 1), 1), 10) * -group_zscore(ts_mean(close, 3), country)
|
||||
group_zscore(ts_delta(ts_mean(close, 1), 1), industry) * ts_corr(ts_zscore(close, 1), volume, 5)
|
||||
ts_covariance(ts_delta(close, 1), ts_delta(vwap, 1), 5) * group_mean(ts_regression_slope(close, 1), sector, 0.3)
|
||||
ts_decay_linear(ts_zscore(ts_delta(close, 1), 1), 5) * -group_std(ts_delta(close, 1), country)
|
||||
ts_regression_slope(ts_mean(close, 1), 5) * group_mean(ts_zscore(volume, 1), industry, 0.2)
|
||||
ts_zscore(ts_delta(ts_zscore(close, 3), 1), 10) * group_rank(ts_corr(close, vwap, 1), sector)
|
||||
ts_mean(ts_delta(ts_regression_slope(close, 1), 1), 5) * -group_zscore(ts_sum(volume, 3), industry)
|
||||
ts_corr(ts_zscore(close, 1), ts_zscore(volume, 1), 3) * group_mean(ts_delta(close, 1), country, 0.3)
|
||||
ts_decay_linear(ts_delta(ts_zscore(close, 1), 1), 5) * group_std(ts_mean(close, 3), sector)
|
||||
ts_std_dev(ts_zscore(ts_delta(close, 1), 1), 10) * -group_mean(ts_regression_slope(close, 1), industry, 0.4)
|
||||
group_mean(ts_corr(ts_delta(close, 1), ts_delta(volume, 1), 1), sector, 0.2) - ts_mean(close, 5)
|
||||
ts_rank(ts_regression_slope(ts_zscore(close, 3), 1), 5) * group_zscore(ts_sum(volume, 1), country)
|
||||
ts_zscore(ts_mean(ts_delta(close, 1), 1), 10) * -group_std(ts_zscore(close, 3), industry)
|
||||
ts_corr(ts_delta(close, 3), ts_delta(high, 3), 5) * group_mean(ts_zscore(close, 1), sector, 0.3)
|
||||
ts_decay_linear(ts_zscore(ts_mean(close, 1), 1), 3) * -group_rank(ts_mean(close, 3), country)
|
||||
@@ -0,0 +1,82 @@
|
||||
ts_regression_slope(close, 10) * group_zscore(ts_zscore(volume, 20), sector)
|
||||
group_mean(ts_delta(close, 5), 0.3) - group_mean(close, sector)
|
||||
ts_corr(ts_zscore(high, 30), ts_zscore(low, 30), 20) * ts_decay_linear(ts_regression_slope(close, 5), 10)
|
||||
rank(group_rank(ts_return(close, 20), industry)) * -ts_zscore(ts_std_dev(close, 60), 120)
|
||||
ts_delta(ts_mean(close, 10), 5) * group_scale(ts_rank(close, 30), sector)
|
||||
group_mean(ts_delta(close, 3), 0.2) / ts_std_dev(close, 20) * ts_zscore(volume, 10)
|
||||
ts_rank(ts_regression_slope(close, 15), 60) * group_zscore(ts_zscore(ts_sum(volume, 5), 20), industry)
|
||||
ts_decay_linear(ts_delta(close, 10), 30) * group_mean(ts_zscore(close, 60), 0.4)
|
||||
ts_corr(ts_delta(high, 5), ts_delta(low, 5), 20) * group_neutralize(ts_return(close, 30), sector)
|
||||
ts_zscore(ts_mean(close, 20), 120) * group_rank(ts_regression_slope(close, 10), industry)
|
||||
ts_std_dev(ts_return(close, 5), 30) * group_mean(ts_zscore(volume, 5), 0.3)
|
||||
ts_regression_slope(ts_zscore(close, 30), 10) * group_zscore(ts_rank(volume, 20), sector)
|
||||
group_mean(ts_delta(close, 5), 0.35) - ts_mean(close, 60) * ts_decay_linear(ts_zscore(close, 10), 20)
|
||||
ts_corr(ts_zscore(close, 10), ts_zscore(volume, 10), 5) * group_scale(ts_delta(close, 3), industry)
|
||||
ts_rank(ts_std_dev(close, 20), 60) * group_zscore(ts_regression_slope(close, 5), sector)
|
||||
ts_decay_linear(ts_delta(close, 5), 15) * group_mean(ts_zscore(ts_sum(volume, 3), 10), 0.4)
|
||||
ts_zscore(ts_mean(close, 5), 30) * group_rank(ts_delta(close, 3), industry)
|
||||
ts_regression_slope(ts_mean(close, 10), 20) * group_zscore(ts_rank(volume, 10), sector)
|
||||
ts_corr(ts_zscore(high, 20), ts_zscore(close, 20), 10) * group_mean(ts_delta(close, 5), 0.3)
|
||||
ts_delta(ts_regression_slope(close, 10), 5) * group_zscore(ts_std_dev(close, 60), industry)
|
||||
ts_rank(ts_zscore(close, 30), 120) * group_mean(ts_regression_slope(close, 5), 0.25)
|
||||
ts_std_dev(ts_zscore(close, 10), 20) * group_scale(ts_delta(close, 3), sector)
|
||||
ts_decay_linear(ts_zscore(ts_return(close, 5), 20), 10) * group_mean(ts_rank(close, 30), 0.3)
|
||||
ts_corr(ts_mean(close, 5), ts_mean(close, 20), 30) * group_zscore(ts_delta(close, 3), industry)
|
||||
ts_regression_slope(ts_zscore(close, 20), 5) * group_rank(ts_mean(close, 10), sector)
|
||||
ts_zscore(ts_delta(close, 3), 10) * group_mean(ts_regression_slope(close, 5), 0.4)
|
||||
ts_rank(ts_mean(close, 30), 60) * group_zscore(ts_corr(close, volume, 5), industry)
|
||||
ts_decay_linear(ts_delta(close, 10), 20) * group_mean(ts_zscore(ts_sum(volume, 5), 30), 0.3)
|
||||
ts_corr(ts_zscore(close, 10), ts_zscore(close, 30), 20) * group_scale(ts_regression_slope(close, 5), sector)
|
||||
ts_regression_slope(ts_mean(close, 5), 10) * group_zscore(ts_rank(ts_sum(volume, 3), 10), industry)
|
||||
ts_delta(ts_zscore(close, 10), 5) * group_mean(ts_std_dev(close, 20), 0.25)
|
||||
ts_rank(ts_regression_slope(close, 5), 30) * group_zscore(ts_mean(close, 10), sector)
|
||||
ts_std_dev(ts_delta(close, 3), 20) * group_mean(ts_zscore(volume, 5), 0.35)
|
||||
ts_decay_linear(ts_corr(close, volume, 5), 10) * group_rank(ts_delta(close, 5), industry)
|
||||
ts_zscore(ts_mean(close, 20), 60) * group_mean(ts_regression_slope(close, 10), 0.4)
|
||||
ts_regression_slope(ts_zscore(close, 30), 15) * group_zscore(ts_delta(close, 3), sector)
|
||||
ts_corr(ts_zscore(high, 5), ts_zscore(low, 5), 10) * group_mean(ts_rank(close, 20), 0.3)
|
||||
ts_rank(ts_delta(close, 3), 60) * group_zscore(ts_std_dev(close, 10), industry)
|
||||
ts_decay_linear(ts_zscore(ts_return(close, 3), 20), 5) * group_mean(ts_regression_slope(close, 5), 0.2)
|
||||
ts_corr(ts_mean(close, 3), ts_mean(close, 10), 20) * group_scale(ts_delta(close, 5), sector)
|
||||
ts_regression_slope(ts_mean(close, 20), 30) * group_zscore(ts_rank(volume, 20), industry)
|
||||
ts_delta(ts_regression_slope(close, 10), 3) * group_mean(ts_zscore(ts_sum(volume, 5), 20), 0.35)
|
||||
ts_zscore(ts_mean(close, 10), 30) * group_rank(ts_delta(close, 3), sector)
|
||||
ts_std_dev(ts_zscore(close, 5), 10) * group_mean(ts_regression_slope(close, 5), 0.3)
|
||||
ts_decay_linear(ts_delta(close, 5), 15) * group_zscore(ts_rank(close, 10), industry)
|
||||
ts_corr(ts_zscore(close, 5), ts_zscore(volume, 5), 5) * group_mean(ts_mean(close, 10), 0.4)
|
||||
ts_rank(ts_regression_slope(close, 5), 20) * group_zscore(ts_delta(close, 3), sector)
|
||||
ts_regression_slope(ts_zscore(close, 10), 5) * group_rank(ts_std_dev(close, 20), industry)
|
||||
ts_delta(ts_mean(close, 5), 3) * group_mean(ts_zscore(volume, 5), 0.35)
|
||||
ts_zscore(ts_std_dev(close, 10), 30) * group_scale(ts_regression_slope(close, 5), sector)
|
||||
ts_corr(ts_zscore(high, 10), ts_zscore(close, 10), 10) * group_mean(ts_rank(close, 30), 0.2)
|
||||
ts_decay_linear(ts_zscore(ts_return(close, 3), 10), 5) * group_zscore(ts_delta(close, 5), industry)
|
||||
ts_regression_slope(ts_mean(close, 10), 20) * group_mean(ts_zscore(ts_sum(volume, 3), 10), 0.3)
|
||||
ts_rank(ts_delta(close, 3), 30) * group_zscore(ts_mean(close, 20), sector)
|
||||
ts_std_dev(ts_delta(close, 5), 20) * group_mean(ts_regression_slope(close, 5), 0.4)
|
||||
ts_corr(ts_zscore(close, 20), ts_zscore(close, 60), 30) * group_scale(ts_delta(close, 3), industry)
|
||||
ts_decay_linear(ts_regression_slope(close, 5), 10) * group_zscore(ts_rank(volume, 10), sector)
|
||||
ts_zscore(ts_mean(close, 30), 120) * group_mean(ts_delta(close, 5), 0.3)
|
||||
ts_regression_slope(ts_zscore(close, 5), 10) * group_rank(ts_std_dev(close, 10), industry)
|
||||
ts_delta(ts_zscore(close, 5), 3) * group_mean(ts_zscore(ts_sum(volume, 5), 20), 0.25)
|
||||
ts_rank(ts_mean(close, 10), 60) * group_zscore(ts_corr(close, volume, 3), sector)
|
||||
ts_corr(ts_zscore(high, 3), ts_zscore(low, 3), 5) * group_mean(ts_regression_slope(close, 3), 0.4)
|
||||
ts_decay_linear(ts_zscore(ts_return(close, 5), 30), 20) * group_zscore(ts_delta(close, 3), industry)
|
||||
ts_regression_slope(ts_mean(close, 5), 10) * group_mean(ts_rank(close, 10), 0.35)
|
||||
ts_std_dev(ts_zscore(close, 10), 20) * group_scale(ts_delta(close, 5), sector)
|
||||
ts_rank(ts_regression_slope(close, 3), 20) * group_zscore(ts_mean(close, 10), industry)
|
||||
ts_delta(ts_mean(close, 3), 5) * group_mean(ts_zscore(volume, 10), 0.3)
|
||||
ts_zscore(ts_delta(close, 3), 10) * group_rank(ts_regression_slope(close, 5), sector)
|
||||
ts_corr(ts_zscore(close, 5), ts_zscore(volume, 5), 10) * group_mean(ts_std_dev(close, 20), 0.4)
|
||||
ts_decay_linear(ts_delta(close, 3), 10) * group_zscore(ts_rank(close, 20), industry)
|
||||
ts_regression_slope(ts_zscore(close, 20), 10) * group_mean(ts_zscore(ts_sum(volume, 5), 10), 0.35)
|
||||
ts_rank(ts_mean(close, 20), 120) * group_zscore(ts_delta(close, 5), sector)
|
||||
ts_std_dev(ts_delta(close, 5), 30) * group_mean(ts_regression_slope(close, 5), 0.3)
|
||||
ts_corr(ts_zscore(high, 5), ts_zscore(close, 5), 5) * group_scale(ts_delta(close, 3), industry)
|
||||
ts_decay_linear(ts_zscore(ts_return(close, 5), 20), 10) * group_zscore(ts_mean(close, 10), sector)
|
||||
ts_regression_slope(ts_mean(close, 10), 15) * group_mean(ts_rank(close, 30), 0.25)
|
||||
ts_delta(ts_zscore(close, 10), 5) * group_zscore(ts_std_dev(close, 30), industry)
|
||||
ts_rank(ts_delta(close, 5), 60) * group_mean(ts_zscore(ts_sum(volume, 3), 20), 0.4)
|
||||
ts_zscore(ts_mean(close, 5), 20) * group_rank(ts_regression_slope(close, 3), sector)
|
||||
ts_corr(ts_zscore(close, 10), ts_zscore(Vector, 10), 20) * group_mean(ts_delta(close, 3), 0.35)
|
||||
ts_decay_linear(ts_regression_slope(close, 5), 15) * group_zscore(ts_rank(volume, 30), industry)
|
||||
ts_std_dev(ts_zscore(close, 5), 10) * group_scale(ts_delta(close, 5), sector)
|
||||
@@ -0,0 +1,96 @@
|
||||
multiply(ts_delta(ts_regression(close, ts_step(1), 20, 0, 1), 5), group_zscore(ts_rank(close, 10), "industry"))
|
||||
subtract(group_mean(ts_zscore(close, 30), "industry"), ts_mean(close, 20))
|
||||
multiply(ts_corr(ts_zscore(volume, 10), ts_zscore(close, 10), 20), group_rank(bucket(rank(close), "0.8,1"), "industry"))
|
||||
ts_regression(ts_zscore(close, 60), ts_step(1), 30, 0, 1)
|
||||
multiply(ts_decay_linear(ts_delta(close, 10), 20), group_neutralize(ts_rank(close, 30), "sector"))
|
||||
ts_zscore(group_mean(ts_delta(close, 5), "industry"), 10)
|
||||
multiply(ts_av_diff(volume, 20), reverse(ts_rank(group_mean(close, "industry"), 60)))
|
||||
group_scale(ts_regression(close, ts_step(1), 10, 0, 1), "sector")
|
||||
ts_corr(ts_delta(close, 5), ts_delta(volume, 5), 30)
|
||||
subtract(ts_mean(close, 120), group_mean(close, "industry"))
|
||||
multiply(ts_rank(ts_zscore(close, 20), 30), group_zscore(ts_delta(close, 10), "industry"))
|
||||
ts_regression(ts_zscore(ts_mean(close, 5), 20), ts_step(1), 60, 0, 1)
|
||||
group_rank(ts_decay_linear(close, 30), "industry")
|
||||
ts_covariance(ts_zscore(close, 10), ts_zscore(volume, 10), 20)
|
||||
multiply(ts_scale(close, 60), group_neutralize(ts_regression(close, ts_step(1), 20, 0, 1), "sector"))
|
||||
ts_delta(group_mean(ts_regression(close, ts_step(1), 30, 0, 1), "industry"), 5)
|
||||
ts_zscore(ts_corr(close, volume, 30), 60)
|
||||
multiply(group_zscore(ts_delta(close, 10), "industry"), ts_rank(ts_zscore(close, 20), 10))
|
||||
group_mean(ts_av_diff(close, 20), "sector")
|
||||
subtract(ts_regression(close, ts_step(1), 60, 0, 1), ts_regression(close, ts_step(1), 20, 0, 1))
|
||||
multiply(ts_delay(ts_zscore(close, 30), 5), group_rank(close, "industry"))
|
||||
ts_regression(ts_delta(close, 5), ts_step(1), 20, 0, 1)
|
||||
group_scale(ts_zscore(close, 60), "industry")
|
||||
multiply(ts_corr(ts_mean(close, 5), ts_mean(volume, 5), 10), group_neutralize(ts_delta(close, 10), "sector"))
|
||||
ts_delta(ts_regression(ts_zscore(close, 20), ts_step(1), 30, 0, 1), 5)
|
||||
group_zscore(ts_decay_linear(close, 20), "industry")
|
||||
multiply(ts_rank(ts_corr(close, volume, 20), 30), group_mean(ts_zscore(close, 10), "sector"))
|
||||
ts_mean(group_zscore(ts_delta(close, 5), "industry"), 10)
|
||||
subtract(ts_zscore(close, 60), group_zscore(close, "sector"))
|
||||
multiply(ts_covariance(close, volume, 10), group_rank(ts_regression(close, ts_step(1), 20, 0, 1), "industry"))
|
||||
ts_regression(ts_av_diff(close, 20), ts_step(1), 30, 0, 1)
|
||||
group_neutralize(ts_delta(ts_zscore(close, 10), 5), "sector")
|
||||
multiply(ts_scale(ts_delta(close, 10), 30), group_zscore(ts_rank(close, 20), "industry"))
|
||||
ts_corr(group_mean(close, "industry"), ts_mean(close, 20), 60)
|
||||
subtract(ts_regression(close, ts_step(1), 20, 0, 1), group_mean(ts_regression(close, ts_step(1), 20, 0, 1), "industry"))
|
||||
multiply(ts_rank(ts_zscore(volume, 30), 10), group_zscore(ts_delta(volume, 5), "sector"))
|
||||
ts_decay_linear(group_mean(ts_zscore(close, 20), "industry"), 30)
|
||||
group_rank(ts_corr(close, volume, 20), "industry")
|
||||
multiply(ts_zscore(ts_mean(close, 10), 20), group_neutralize(ts_regression(close, ts_step(1), 60, 0, 1), "sector"))
|
||||
ts_delta(group_scale(ts_zscore(close, 30), "industry"), 5)
|
||||
multiply(ts_av_diff(ts_zscore(close, 10), 20), group_mean(ts_delta(close, 5), "industry"))
|
||||
ts_regression(ts_delta(ts_zscore(close, 20), 5), ts_step(1), 30, 0, 1)
|
||||
group_zscore(ts_mean(close, 20), "sector")
|
||||
multiply(ts_corr(ts_zscore(close, 5), ts_zscore(volume, 5), 10), group_rank(ts_zscore(close, 30), "industry"))
|
||||
ts_mean(group_neutralize(ts_delta(close, 10), "sector"), 20)
|
||||
subtract(ts_regression(ts_zscore(close, 60), ts_step(1), 30, 0, 1), ts_regression(ts_zscore(close, 60), ts_step(1), 10, 0, 1))
|
||||
multiply(ts_scale(ts_delta(volume, 5), 30), group_zscore(ts_regression(close, ts_step(1), 20, 0, 1), "industry"))
|
||||
ts_covariance(ts_zscore(group_mean(close, "industry"), 20), ts_zscore(close, 20), 30)
|
||||
group_mean(ts_decay_linear(ts_delta(close, 5), 20), "sector")
|
||||
multiply(ts_rank(ts_zscore(close, 10), 60), group_zscore(ts_av_diff(close, 20), "industry"))
|
||||
ts_regression(ts_zscore(ts_mean(close, 5), 20), ts_step(1), 60, 0, 1)
|
||||
group_scale(ts_delta(ts_zscore(close, 30), 5), "industry")
|
||||
multiply(ts_corr(ts_delta(close, 5), ts_delta(volume, 5), 20), group_neutralize(ts_rank(close, 30), "sector"))
|
||||
ts_delta(ts_regression(ts_zscore(close, 10), ts_step(1), 20, 0, 1), 5)
|
||||
group_zscore(ts_mean(ts_delta(close, 5), 10), "sector")
|
||||
multiply(ts_rank(ts_corr(close, volume, 30), 20), group_mean(ts_zscore(close, 10), "industry"))
|
||||
ts_mean(group_zscore(ts_delta(volume, 5), "industry"), 5)
|
||||
subtract(ts_zscore(close, 20), group_zscore(close, "industry"))
|
||||
multiply(ts_covariance(ts_zscore(close, 5), ts_zscore(volume, 5), 10), group_rank(ts_regression(close, ts_step(1), 30, 0, 1), "sector"))
|
||||
ts_regression(ts_av_diff(close, 10), ts_step(1), 20, 0, 1)
|
||||
group_neutralize(ts_delta(ts_zscore(close, 30), 5), "industry")
|
||||
multiply(ts_scale(ts_delta(close, 10), 60), group_zscore(ts_rank(close, 10), "sector"))
|
||||
ts_corr(group_mean(ts_zscore(close, 20), "industry"), ts_mean(close, 20), 30)
|
||||
subtract(ts_regression(close, ts_step(1), 30, 0, 1), group_mean(ts_regression(close, ts_step(1), 30, 0, 1), "sector"))
|
||||
multiply(ts_rank(ts_zscore(volume, 20), 10), group_zscore(ts_delta(volume, 20), "industry"))
|
||||
ts_decay_linear(group_mean(ts_zscore(close, 10), "sector"), 20)
|
||||
group_rank(ts_corr(ts_zscore(close, 5), ts_zscore(volume, 5), 10), "industry")
|
||||
multiply(ts_zscore(ts_mean(close, 5), 30), group_neutralize(ts_regression(close, ts_step(1), 120, 0, 1), "sector"))
|
||||
ts_delta(group_scale(ts_zscore(close, 10), "industry"), 5)
|
||||
multiply(ts_av_diff(ts_zscore(close, 30), 20), group_mean(ts_delta(close, 10), "sector"))
|
||||
ts_regression(ts_delta(ts_zscore(close, 10), 5), ts_step(1), 60, 0, 1)
|
||||
group_zscore(ts_mean(close, 60), "industry")
|
||||
multiply(ts_corr(ts_zscore(close, 20), ts_zscore(volume, 20), 10), group_rank(ts_zscore(close, 30), "sector"))
|
||||
ts_mean(group_neutralize(ts_delta(close, 5), "industry"), 30)
|
||||
subtract(ts_regression(ts_zscore(close, 30), ts_step(1), 60, 0, 1), ts_regression(ts_zscore(close, 30), ts_step(1), 20, 0, 1))
|
||||
multiply(ts_scale(ts_delta(volume, 10), 20), group_zscore(ts_regression(close, ts_step(1), 30, 0, 1), "industry"))
|
||||
ts_covariance(ts_zscore(group_mean(close, "sector"), 10), ts_zscore(close, 10), 20)
|
||||
group_mean(ts_decay_linear(ts_delta(close, 10), 30), "industry")
|
||||
multiply(ts_rank(ts_zscore(close, 30), 60), group_zscore(ts_av_diff(close, 10), "sector"))
|
||||
ts_regression(ts_zscore(ts_mean(close, 10), 20), ts_step(1), 120, 0, 1)
|
||||
group_scale(ts_delta(ts_zscore(close, 60), 5), "sector")
|
||||
multiply(ts_corr(ts_delta(close, 10), ts_delta(volume, 10), 30), group_neutralize(ts_rank(close, 60), "industry"))
|
||||
ts_delta(ts_regression(ts_zscore(close, 20), ts_step(1), 30, 0, 1), 5)
|
||||
group_zscore(ts_mean(ts_delta(close, 10), 20), "industry")
|
||||
multiply(ts_rank(ts_corr(close, volume, 60), 30), group_mean(ts_zscore(close, 20), "sector"))
|
||||
ts_mean(group_zscore(ts_delta(volume, 10), "sector"), 10)
|
||||
subtract(ts_zscore(close, 120), group_zscore(close, "industry"))
|
||||
multiply(ts_covariance(ts_zscore(close, 10), ts_zscore(volume, 10), 30), group_rank(ts_regression(close, ts_step(1), 60, 0, 1), "industry"))
|
||||
ts_regression(ts_av_diff(close, 30), ts_step(1), 60, 0, 1)
|
||||
group_neutralize(ts_delta(ts_zscore(close, 60), 5), "sector")
|
||||
multiply(ts_scale(ts_delta(close, 20), 60), group_zscore(ts_rank(close, 30), "industry"))
|
||||
ts_corr(group_mean(ts_zscore(close, 30), "industry"), ts_mean(close, 60), 30)
|
||||
subtract(ts_regression(close, ts_step(1), 60, 0, 1), group_mean(ts_regression(close, ts_step(1), 60, 0, 1), "industry"))
|
||||
multiply(ts_rank(ts_zscore(volume, 60), 30), group_zscore(ts_delta(volume, 30), "sector"))
|
||||
ts_decay_linear(group_mean(ts_zscore(close, 30), "industry"), 60)
|
||||
group_rank(ts_corr(ts_zscore(close, 10), ts_zscore(volume, 10), 20), "sector")
|
||||
@@ -0,0 +1,106 @@
|
||||
|
||||
|
||||
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.
|
||||
Reference in New Issue
Block a user