group_neutralize(ts_zscore(management_ethics_sector_rank, 126), "sector")
group_neutralize(ts_mean(fnd28_ratesq_value_08316q, 5), exchange)
group_neutralize(ts_mean(fnd28_ratesq_value_08106q, 5), exchange)
group_neutralize(ts_mean(fnd28_growthratesa_value_08610a, 5), exchange)
ts_delta(pv87_changeinavgdailyvolume, 1)
group_neutralize(ts_delta(anl40_turnoverrate, 1), exchange)
zscore(anl40_turnoverrate)
group_neutralize(ts_mean(fnd28_growthratesa_value_08604a, 5), exchange)
ts_zscore(anl40_turnoverrate, 63)
group_neutralize(ts_mean(fnd28_ratesq_value_08366q, 5), exchange)
group_neutralize(ts_mean(fnd28_growthratesa_value_08646a, 5), exchange)
ts_mean(management_ethics_standards_score, 252) - ts_std_dev(price, 63)
group_neutralize(ts_mean(fnd28_ratesq_value_08326q, 5), exchange)
group_neutralize(ts_mean(fnd28_ratesq_value_08421q, 5), exchange)
group_zscore(ts_mean(anl40_turnoverrate, 252), industry)
group_neutralize(ts_mean(fnd28_growthratesa_value_08636a, 5), exchange)
group_neutralize(ts_zscore(management_ethics_subsector_rank, 252), "subsector")
jump_decay(pv87_holdings, 30, 0.6, 0.2)
quantile(ts_mean(anl40_turnoverrate, 252), driver=gaussian)
group_neutralize(ts_mean(fnd28_growthratesa_value_08605a, 5), exchange)
ts_mean(anl49_35estd35yrgrowthrateearningspershare, 63)
group_scale(anl40_turnoverrate, exchange)
group_neutralize(ts_mean(fnd28_wcratesq_value_08231q, 5), exchange)
group_neutralize(ts_mean(management_ethics_sector_percentile, 252) / ts_std_dev(price, 63), "sector")
group_neutralize(ts_mean(management_ethics_industry_rank, 252) + ts_mean(est_q_roe_mean, 252), "industry")
ts_rank(management_ethics_industry_percentile, 126)
group_neutralize(ts_mean(anl40_turnoverrate, 252), industry) + zscore(fnd17_qroepct)
group_neutralize(ts_mean(fnd28_wcratesq_value_08241q, 5), exchange)
ts_mean(management_ethics_standards_score, 252) / ts_mean(est_q_roe_std_28d, 252)
multiply(group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), zscore(pv87_price_volatility_estimate_high))
not(is_nan(pv87_holdings))
group_neutralize(ts_mean(fnd28_ratesq_value_08401q, 5), exchange)
days_from_last_change(pv87_holdings)
group_neutralize(signed_power(ts_mean(anl40_turnoverrate, 252), 2), industry)
rank(ts_mean(anl40_turnoverrate, 252))
group_cartesian_product(exchange, pv87_holdings)
ts_mean(anl49_standarddeviationofpricechange, 63)
ts_mean(management_ethics_standards_score, 252) * ts_mean(est_12m_roe_high, 63)
group_neutralize(ts_mean(management_ethics_standards_score, 252), "industry")
group_neutralize(ts_mean(pv64_out_stal_fund_turnover, 5), exchange)
ts_mean(pv87_changeinsharesshort, 63)
group_neutralize(ts_mean(fnd28_growthratesa_value_08640a, 5), exchange)
ts_delta(total_shareholding_value, 1)
ts_mean(management_ethics_standards_score, 252) * ts_mean(est_q_roe_mean, 252)
group_neutralize(ts_mean(fnd28_growthratesa_value_08635a, 5), exchange)
normalize(anl40_turnoverrate)
group_neutralize(ts_mean(fnd28_ratesq_value_08676q, 5), exchange)
group_neutralize(ts_mean(fnd28_growthratesa_value_08621a, 5), exchange)
sign(subtract(pv87_holdings, group_mean(pv87_holdings, 1, exchange)))
group_neutralize(ts_mean(fnd28_wcratesq_value_08251q, 5), exchange)
group_neutralize(ts_mean(management_ethics_subsector_rank, 252), "subsector")
multiply(group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), zscore(pv87_price_volatility_estimate_median))
group_neutralize(ts_mean(pv48_r3000e_amount_change_growth, 5), exchange)
group_neutralize(ts_mean(pv48_r3000_amount_change_value, 5), exchange)
and(pv87_holdings > group_mean(pv87_holdings, 1, exchange), anl40_turnoverrate < ts_mean(anl40_turnoverrate, 90))
group_neutralize(ts_mean(fnd28_growthratesa_value_08676a, 5), exchange)
group_neutralize(ts_mean(management_ethics_industry_rank, 252) + ts_mean(est_12m_roe_mean, 126), "industry")
ts_quantile(anl40_turnoverrate, 63)
last_diff_value(pv87_holdings, 30)
group_neutralize(ts_mean(fnd28_ratesq_value_08651q, 5), exchange)
ts_mean(management_ethics_standards_score, 252) / ts_mean(est_12m_roe_std_4wks_ago, 252)
group_neutralize(ts_mean(management_ethics_industry_percentile, 63), "industry")
group_neutralize(ts_mean(management_ethics_sector_rank, 252) - ts_mean(est_12m_roe_mean, 252), "sector")
ts_mean(pv87_changeinavgdailyvolume, 63)
group_neutralize(ts_mean(fnd28_ratesq_value_08579q, 5), exchange)
self_corr(pv87_holdings)
group_neutralize(ts_mean(fnd28_growthratesa_value_08680a, 5), exchange)
group_neutralize(ts_mean(fnd28_ratesq_value_08346q, 5), exchange)
group_neutralize(ts_delta(management_ethics_subsector_rank, 252), "subsector")
ts_covariance(anl40_turnoverrate, pv87_changeinsharesshort, 63)
group_neutralize(ts_mean(anl40_turnoverrate, 252), industry)
ts_mean(power(anl40_turnoverrate, 2), 63)
ts_mean(management_ethics_standards_score, 252) - ts_std_dev(price, 126)
divide(ts_mean(pv87_holdings, 90), ts_mean(anl40_netturnoverrate, 90))
group_neutralize(ts_mean(fnd28_ratesq_value_08606q, 5), exchange)
group_neutralize(ts_mean(fnd28_ratesq_value_08621q, 5), exchange)
group_neutralize(hump(ts_mean(anl40_turnoverrate, 252)), industry)
ts_mean(management_ethics_sector_percentile, 252) * ts_mean(est_q_roe_median, 252)
group_neutralize(ts_mean(anl40_turnoverrate, 126), industry)
group_neutralize(ts_mean(fnd28_wcratesq_value_08236q, 5), exchange)
ts_mean(divide(anl40_turnoverrate, pv87_changeinsharesshort), 63)
ts_mean(subtract(anl40_turnoverrate, pv87_changeinsharesshort), 63)
ts_mean(log(anl40_turnoverrate), 63)
group_neutralize(ts_mean(anl40_turnoverrate, 504), industry)
multiply(group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), rank(pv87_price_volatility_estimate_mean))
group_neutralize(ts_mean(pv48_r3000_amount_change, 5), exchange)
group_neutralize(ts_mean(management_ethics_sector_rank, 126) - ts_mean(est_q_roe_low, 252), "sector")
ts_av_diff(anl40_turnoverrate, 63)
ts_backfill(anl40_turnoverrate, 63)
divide(group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), group_neutralize(ts_mean(pv87_price_volatility_estimate_mean, 252), industry))
group_neutralize(ts_mean(fnd28_growthratesa_value_08630a, 5), exchange)
group_neutralize(ts_mean(fnd28_growthratesa_value_08626a, 5), exchange)
ts_mean(management_ethics_sector_percentile, 252) - ts_std_dev(price, 252)
ts_rank(management_ethics_sector_percentile, 63)
ts_mean(fnd28_ratesq_value_08306q, 63)
ts_mean(anl40_turnoverrate, 63)
group_neutralize(ts_mean(fnd28_growthratesa_value_08620a, 5), exchange)
group_neutralize(ts_mean(fnd28_growthratesa_value_08816a, 5), exchange)
ts_mean(abs(anl40_turnoverrate), 63)
group_neutralize(rank(ts_mean(pv87_holdings, 90)), exchange)
group_neutralize(ts_mean(fnd28_growthratesa_value_08650a, 5), exchange)
ts_mean(management_ethics_standards_score, 252) / ts_std_dev(price, 252)
reverse(rank(group_zscore(pv87_holdings, exchange)))
ts_mean(management_ethics_standards_score, 252) / ts_mean(est_q_roe_std_3mth_ago, 252)
combo_a(rank(pv87_holdings), 250, 'algo1')
group_neutralize(ts_mean(fnd28_ratesq_value_08371q, 5), exchange)
multiply(group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), zscore(fnd17_aroepct))
ts_arg_min(anl40_turnoverrate, 63)
multiply(group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), rank(fnd17_qroepct))
group_neutralize(ts_mean(management_ethics_industry_percentile, 252) - ts_mean(est_12m_roe_low, 252), "industry")
group_neutralize(ts_mean(fnd28_growthratesa_value_08616a, 5), exchange)
group_neutralize(ts_delta(management_ethics_sector_rank, 126), "sector")
group_neutralize(log(ts_mean(anl40_turnoverrate, 252)), industry)
group_neutralize(ts_delay(anl40_turnoverrate, 21), industry)
group_rank(ts_mean(anl40_turnoverrate, 252), industry)
group_neutralize(ts_mean(fnd28_growthratesa_value_08631a, 5), exchange)
ts_mean(sign(anl40_turnoverrate), 63)
ts_rank(management_ethics_standards_score, 252)
group_neutralize(ts_mean(fnd28_ratesq_value_08311q, 5), exchange)
ts_mean(sqrt(anl40_turnoverrate), 63)
group_neutralize(ts_mean(management_ethics_subsector_percentile, 126), "subsector")
group_neutralize(ts_mean(management_ethics_industry_percentile, 252), "industry")
power(group_scale(pv87_holdings, exchange), 2)
ts_mean(reverse(anl40_turnoverrate), 63)
group_neutralize(ts_mean(fnd28_growthratesa_value_08611a, 5), exchange)
group_neutralize(ts_mean(pv48_r3000e_amount_change, 5), exchange)
group_neutralize(ts_mean(management_ethics_sector_percentile, 252), "sector")
group_neutralize(ts_delta(anl40_turnoverrate, 63), industry)
group_neutralize(ts_decay_linear(ts_mean(anl40_turnoverrate, 252), 252), industry)
trade_when(pv87_holdings > ts_mean(pv87_holdings, 90), anl40_turnoverrate, pv87_holdings)
group_neutralize(ts_mean(pv48_dynamic_amount_change, 5), exchange)
sqrt(abs(subtract(pv87_holdings, ts_mean(pv87_holdings, 90))))
group_neutralize(ts_rank(anl40_turnoverrate, 252), industry)
winsorize(ts_mean(anl40_turnoverrate, 252), std=4)
ts_regression(anl40_turnoverrate, pv87_changeinsharesshort, 63)
group_neutralize(ts_mean(fnd28_growthratesa_value_08579a, 5), exchange)
group_scale(ts_mean(anl40_turnoverrate, 252), industry)
group_neutralize(ts_mean(management_ethics_sector_percentile, 252) / ts_std_dev(price, 252), "sector")
group_neutralize(ts_mean(fnd28_growthratesa_value_08821a, 5), exchange)
ts_sum(anl40_turnoverrate, 63)
group_neutralize(ts_mean(fnd28_ratesq_value_08616q, 5), exchange)
group_neutralize(ts_mean(anl40_turnoverrate, 252), sector)
quantile(anl40_turnoverrate)
group_neutralize(ts_delta(management_ethics_standards_score, 252), "industry")
group_neutralize(ts_zscore(management_ethics_subsector_rank, 63), "subsector")
min(group_max(pv87_holdings, exchange), ts_max(pv87_holdings, 90))
group_neutralize(ts_mean(fnd28_ratesq_value_08416q, 5), exchange)
group_neutralize(ts_mean(anl40_turnoverrate, 252) * ts_mean(pv87_price_volatility_estimate_mean, 252), industry)
inverse(add(pv87_holdings, anl40_turnoverrate))
group_neutralize(ts_mean(fnd28_ratesq_value_08111q, 5), exchange)
ts_count_nans(anl40_turnoverrate, 63)
winsorize(anl40_turnoverrate)
group_neutralize(ts_mean(management_ethics_subsector_percentile, 252) / ts_std_dev(price, 126), "subsector")
trade_when(pv87_price_volatility_estimate_mean < ts_mean(pv87_price_volatility_estimate_mean, 252), group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), NaN)
scale_down(rank(subtract(pv87_holdings, ts_delay(pv87_holdings, 30))), 0.5)
group_neutralize(ts_mean(fnd28_growthratesa_value_08601a, 5), exchange)
normalize(subtract(pv87_holdings, group_mean(pv87_holdings, 1, exchange)))
group_neutralize(ts_mean(anl40_turnoverrate, 63), exchange)
group_neutralize(ts_delta(anl40_turnoverrate, 21), industry)
ts_rank(anl40_turnoverrate, 252)
group_neutralize(ts_mean(pv64_dif_stal_fund_turnover, 5), exchange)
group_neutralize(ts_mean(pv87_changeinavgdailyvolume, 63), exchange)
ts_mean(add(anl40_turnoverrate, pv87_changeinsharesshort), 63)
group_neutralize(ts_mean(anl40_turnoverrate, 252) * inverse(fnd17_qroepct), industry)
group_neutralize(ts_mean(fnd28_wcratesq_value_08801q, 5), exchange)
ts_mean(management_ethics_standards_score, 252) * ts_mean(est_q_roe_high, 126)
group_neutralize(ts_zscore(management_ethics_industry_percentile, 252), "industry")
densify(group_rank(pv87_holdings, exchange))
normalize(ts_mean(anl40_turnoverrate, 252))
ts_mean(fnd28_ratesq_value_08106q, 63)
ts_scale(management_ethics_standards_score, 252)
max(group_min(pv87_holdings, exchange), ts_min(pv87_holdings, 90))
ts_mean(management_ethics_standards_score, 252) / ts_mean(est_12m_roe_std_28d, 252)
group_neutralize(ts_mean(anl40_turnoverrate, 252), country)
group_neutralize(ts_product(anl40_turnoverrate, 21), industry)
group_neutralize(ts_mean(fnd28_wcratesq_value_08226q, 5), exchange)
group_neutralize(ts_mean(fnd28_ratesq_value_08321q, 5), exchange)
ts_scale(anl40_turnoverrate, 63)
ts_mean(pv87_effective_tax_rate_consensus_mean, 63)
ts_arg_max(anl40_turnoverrate, 63)
group_neutralize(ts_mean(pv87_effective_tax_rate_consensus_mean, 63), exchange)
group_neutralize(ts_mean(pv87_changeinsharesshort, 63), exchange)
group_neutralize(ts_mean(fnd28_ratesq_value_08106q, 63), exchange)
if_else(fnd17_qroepct > 0, group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), NaN)
or(pv87_holdings < group_min(pv87_holdings, exchange), anl40_netturnoverrate > ts_max(anl40_netturnoverrate, 90))
group_backfill(pv87_holdings, exchange, 90, 3.0)
group_neutralize(ts_mean(fnd28_ratesq_value_08601q, 5), exchange)
group_neutralize(ts_mean(fnd28_ratesq_value_08611q, 5), exchange)
group_neutralize(ts_mean(management_ethics_subsector_rank, 63), "subsector")
ts_mean(management_ethics_industry_percentile, 252) * ts_mean(est_12m_roe_median, 252)
quantile(rank(pv87_holdings), driver="uniform")
ts_mean(inverse(anl40_turnoverrate), 63)
if_else(pv87_holdings > ts_quantile(pv87_holdings, 90), reverse(pv87_holdings), pv87_holdings)
ts_product(anl40_turnoverrate, 63)
bucket(rank(pv87_holdings), range="0,1,0.2")
multiply(group_neutralize(ts_mean(anl40_turnoverrate, 252), industry), group_neutralize(ts_mean(fnd17_qroepct, 252), industry))
zscore(ts_mean(anl40_turnoverrate, 252))
kth_element(pv87_holdings, 90, 10)
group_neutralize(ts_mean(fnd28_wcratesq_value_08266q, 5), exchange)
ts_rank(anl40_turnoverrate, 63)
ts_decay_linear(anl40_turnoverrate, 63)
ts_rank(management_ethics_subsector_rank, 252)
rank(anl40_turnoverrate)
group_neutralize(power(ts_mean(anl40_turnoverrate, 252), 2), industry)
group_neutralize(ts_mean(fnd28_wcratesq_value_08261q, 5), exchange)
ts_mean(multiply(anl40_turnoverrate, pv87_changeinsharesshort), 63)
group_neutralize(ts_mean(anl40_turnoverrate, 252) * zscore(pv87_price_volatility_estimate_mean), industry)
group_neutralize(ts_mean(anl40_turnoverrate, 252), industry) + group_neutralize(ts_mean(fnd17_qroepct, 252), industry)
ts_delta(anl40_turnoverrate, 1)
group_neutralize(ts_mean(anl40_turnoverrate, 252) / ts_mean(fnd17_qroepct, 252), industry)
group_rank(anl40_turnoverrate, exchange)
group_neutralize(ts_mean(fnd28_ratesq_value_08301q, 5), exchange)
group_neutralize(ts_mean(anl40_turnoverrate, 252), industry) - zscore(pv87_price_volatility_estimate_mean)
group_neutralize(ts_mean(fnd28_growthratesa_value_08625a, 5), exchange)
group_neutralize(ts_av_diff(anl40_turnoverrate, 252), industry)
ts_mean(total_shareholding_value, 63)
ts_scale(management_ethics_subsector_percentile, 252)
zscore(multiply(pv87_holdings, anl40_employmentrate))
group_neutralize(ts_mean(fnd28_ratesq_value_08381q, 5), exchange)
ts_mean(ts_delta(anl40_turnoverrate, 1), 63)
log(divide(ts_mean(anl40_netturnoverrate, 90), pv87_holdings))
group_neutralize(inverse(ts_mean(anl40_turnoverrate, 252)), industry)
group_neutralize(ts_zscore(anl40_turnoverrate, 252), industry)
group_neutralize(ts_mean(fnd28_ratesq_value_08631q, 5), exchange)
group_neutralize(sqrt(ts_mean(anl40_turnoverrate, 252)), industry)
group_neutralize(ts_mean(fnd28_wcratesq_value_08287q, 5), exchange)
group_neutralize(ts_mean(management_ethics_industry_rank, 126), "industry")
group_neutralize(ts_delay(anl40_turnoverrate, 63), industry)
group_neutralize(ts_mean(anl40_turnoverrate, 252), industry) - group_neutralize(ts_mean(pv87_price_volatility_estimate_mean, 252), industry)
group_zscore(anl40_turnoverrate, exchange)
group_neutralize(ts_mean(fnd28_growthratesa_value_08581a, 5), exchange)
group_neutralize(ts_mean(management_ethics_industry_rank, 252) - ts_mean(est_q_roe_low, 126), "industry")
group_neutralize(ts_mean(pv64_dif_fund_turnover, 5), exchange)
group_neutralize(ts_mean(fnd28_growthratesa_value_08606a, 5), exchange)
group_neutralize(ts_mean(fnd28_growthratesa_value_08615a, 5), exchange)
group_neutralize(ts_mean(management_ethics_subsector_rank, 252) + ts_mean(est_q_roe_mean, 63), "subsector")
ts_scale(management_ethics_industry_percentile, 126)
group_neutralize(ts_mean(pv48_r3000e_amount_change_value, 5), exchange)
ts_mean(management_ethics_industry_percentile, 252) * ts_mean(est_12m_roe_median, 126)
group_neutralize(ts_mean(fnd28_ratesq_value_08306q, 5), exchange)
group_neutralize(ts_mean(fnd28_ratesq_value_08636q, 5), exchange)
ts_mean(divide(ts_delta(total_shareholding_value, 1), ts_delay(total_shareholding_value, 1)), 63)
hump(pv87_holdings, 0.02)
ts_mean(management_ethics_standards_score, 252) * ts_mean(est_12m_roe_high, 252)