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205 lines
11 KiB
205 lines
11 KiB
ts_delta(close, 5) * group_mean(ts_delta(close, 20), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_rank(ts_std_dev(returns,20), 60) > 0.7, ts_delta(close,5), ts_delta(close,60))
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ts_corr(ts_delta(close,5), ts_delta(volume,5), 30) * ts_rank(returns, 20)
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group_mean(ts_regression(close, ts_step(1), 30, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_decay_linear(returns, 20) * if_else(ts_std_dev(returns,20) > 0.015, 1, 0.5)
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multiply(ts_delta(close,10), group_rank(returns, industry)) * ts_zscore(volume, 30)
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ts_delta(ts_delta(close,5), 5) / ts_std_dev(returns,20) * if_else(ts_rank(volume, 30) > 0.7, 1.2, 0.8)
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group_neutralize(ts_delta(close,20), industry) * ts_corr(group_mean(returns,1,sector), group_mean(returns,1,industry), 60)
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if_else(ts_rank(ts_mean(returns,20), 60) > 0.5, ts_delta(close,10), reverse(ts_delta(close,10))) * ts_std_dev(group_rank(returns, industry), 20)
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multiply(ts_mean(returns,30), group_scale(ts_regression(close, ts_step(1), 60, 0, 1), industry)) * ts_zscore(volume, 20)
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ts_delta(close,20) * group_mean(ts_regression(close, ts_step(1), 20, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_std_dev(returns,20) > 0.02, ts_delta(close,5), ts_delta(close,30)) * group_rank(returns, sector)
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ts_corr(ts_delta(close,10), ts_delta(volume,10), 20) * ts_mean(rank(returns), 30)
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group_neutralize(ts_decay_linear(returns, 60), industry) * ts_rank(ts_delta(close,60), 120)
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multiply(ts_regression(close, ts_step(1), 30, 0, 1), group_rank(returns, industry)) * ts_zscore(volume, 60)
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ts_delta(close,30) * if_else(ts_rank(ts_std_dev(returns,60), 120) > 0.7, ts_delta(close,5), ts_delta(close,60))
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group_mean(ts_delta(close,20), 1, bucket(rank(volume), range="0,3,0.4")) * ts_corr(group_mean(returns,1,sector), group_mean(returns,1,industry), 30)
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ts_decay_linear(returns, 30) * group_scale(ts_delta(close,10), industry) * ts_std_dev(group_rank(returns, industry), 20)
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if_else(ts_rank(ts_mean(returns,10), 30) > 0.5, ts_delta(close,10), reverse(ts_delta(close,10))) * group_rank(returns, sector)
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multiply(ts_mean(returns,20), group_neutralize(ts_regression(close, ts_step(1), 60, 0, 1), industry)) * ts_zscore(volume, 30)
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ts_delta(close,60) * group_mean(ts_regression(close, ts_step(1), 30, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_std_dev(returns,30) > 0.018, ts_delta(close,5), ts_delta(close,20)) * group_rank(returns, industry)
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ts_corr(ts_delta(close,5), ts_delta(volume,5), 60) * ts_mean(rank(returns), 20)
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group_neutralize(ts_delta(close,30), sector) * ts_corr(group_mean(returns,1,industry), group_mean(returns,1,sector), 60)
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multiply(ts_regression(close, ts_step(1), 20, 0, 1), group_scale(returns, industry)) * ts_zscore(volume, 20)
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ts_delta(ts_delta(close,10), 5) / ts_std_dev(returns,30) * if_else(ts_rank(volume, 60) > 0.7, 1.1, 0.9)
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group_mean(ts_decay_linear(returns, 20), 1, bucket(rank(volume), range="0,3,0.4")) * ts_rank(returns, 30)
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if_else(ts_rank(ts_std_dev(returns,30), 90) > 0.7, ts_delta(close,10), ts_delta(close,60)) * group_rank(returns, sector)
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ts_mean(returns,60) * group_neutralize(ts_regression(close, ts_step(1), 30, 0, 1), industry) * ts_zscore(volume, 60)
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multiply(ts_delta(close,20), group_rank(returns, industry)) * ts_corr(ts_delta(close,5), ts_delta(volume,5), 30)
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ts_delta(close,10) * group_mean(ts_regression(close, ts_step(1), 60, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_std_dev(returns,60) > 0.016, ts_delta(close,5), ts_delta(close,30)) * group_rank(returns, industry)
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ts_corr(ts_delta(close,20), ts_delta(volume,20), 20) * ts_mean(rank(returns), 60)
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group_neutralize(ts_decay_linear(returns, 30), sector) * ts_corr(group_mean(returns,1,sector), group_mean(returns,1,industry), 30)
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multiply(ts_regression(close, ts_step(1), 60, 0, 1), group_neutralize(returns, industry)) * ts_zscore(volume, 20)
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ts_delta(close,20) * if_else(ts_rank(ts_mean(returns,30), 90) > 0.5, ts_delta(close,5), reverse(ts_delta(close,5)))
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group_mean(ts_delta(close,10), 1, bucket(rank(volume), range="0,3,0.4")) * ts_std_dev(group_rank(returns, industry), 30)
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ts_decay_linear(returns, 60) * group_scale(ts_delta(close,20), sector) * ts_zscore(volume, 30)
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if_else(ts_rank(ts_std_dev(returns,20), 60) > 0.7, ts_delta(close,10), ts_delta(close,60)) * group_rank(returns, sector)
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multiply(ts_mean(returns,30), group_neutralize(ts_regression(close, ts_step(1), 20, 0, 1), industry)) * ts_zscore(volume, 20)
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ts_delta(close,30) * group_mean(ts_regression(close, ts_step(1), 30, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_std_dev(returns,20) > 0.02, ts_delta(close,5), ts_delta(close,20)) * group_scale(returns, industry)
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ts_corr(ts_delta(close,10), ts_delta(volume,10), 60) * ts_mean(rank(returns), 20)
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group_neutralize(ts_delta(close,60), industry) * ts_corr(group_mean(returns,1,sector), group_mean(returns,1,industry), 60)
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multiply(ts_regression(close, ts_step(1), 30, 0, 1), group_rank(returns, industry)) * ts_zscore(volume, 60)
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ts_delta(ts_delta(close,20), 5) / ts_std_dev(returns,20) * if_else(ts_rank(volume, 30) > 0.7, 1.3, 0.7)
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group_mean(ts_decay_linear(returns, 60), 1, bucket(rank(volume), range="0,3,0.4")) * ts_rank(returns, 20)
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if_else(ts_rank(ts_mean(returns,20), 60) > 0.5, ts_delta(close,10), reverse(ts_delta(close,10))) * group_rank(returns, sector)
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multiply(ts_mean(returns,20), group_neutralize(ts_regression(close, ts_step(1), 60, 0, 1), industry)) * ts_zscore(volume, 30)
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ts_delta(close,10) * group_mean(ts_regression(close, ts_step(1), 20, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_std_dev(returns,30) > 0.018, ts_delta(close,5), ts_delta(close,60)) * group_rank(returns, industry)
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ts_corr(ts_delta(close,5), ts_delta(volume,5), 30) * ts_mean(rank(returns), 60)
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group_neutralize(ts_decay_linear(returns, 20), sector) * ts_corr(group_mean(returns,1,industry), group_mean(returns,1,sector), 30)
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multiply(ts_regression(close, ts_step(1), 60, 0, 1), group_scale(returns, sector)) * ts_zscore(volume, 20)
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ts_delta(close,60) * if_else(ts_rank(ts_std_dev(returns,60), 120) > 0.7, ts_delta(close,5), ts_delta(close,30))
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group_mean(ts_delta(close,30), 1, bucket(rank(volume), range="0,3,0.4")) * ts_std_dev(group_rank(returns, industry), 20)
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ts_decay_linear(returns, 30) * group_neutralize(ts_delta(close,10), industry) * ts_zscore(volume, 60)
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if_else(ts_rank(ts_mean(returns,10), 30) > 0.5, ts_delta(close,5), reverse(ts_delta(close,5))) * group_rank(returns, sector)
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multiply(ts_mean(returns,60), group_neutralize(ts_regression(close, ts_step(1), 30, 0, 1), sector)) * ts_zscore(volume, 20)
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ts_delta(close,20) * group_mean(ts_regression(close, ts_step(1), 60, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_std_dev(returns,60) > 0.015, ts_delta(close,5), ts_delta(close,20)) * group_scale(returns, industry)
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ts_corr(ts_delta(close,20), ts_delta(volume,20), 30) * ts_mean(rank(returns), 30)
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group_neutralize(ts_delta(close,30), industry) * ts_corr(group_mean(returns,1,sector), group_mean(returns,1,industry), 60)
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multiply(ts_regression(close, ts_step(1), 20, 0, 1), group_rank(returns, sector)) * ts_zscore(volume, 30)
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ts_delta(ts_delta(close,5), 5) / ts_std_dev(returns,60) * if_else(ts_rank(volume, 60) > 0.7, 1.2, 0.8)
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group_mean(ts_decay_linear(returns, 30), 1, bucket(rank(volume), range="0,3,0.4")) * ts_rank(returns, 60)
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if_else(ts_rank(ts_std_dev(returns,20), 60) > 0.7, ts_delta(close,10), ts_delta(close,60)) * group_rank(returns, sector)
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multiply(ts_mean(returns,20), group_neutralize(ts_regression(close, ts_step(1), 60, 0, 1), sector)) * ts_zscore(volume, 60)
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ts_delta(close,30) * group_mean(ts_regression(close, ts_step(1), 30, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_std_dev(returns,20) > 0.02, ts_delta(close,5), ts_delta(close,20)) * group_neutralize(returns, industry)
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ts_corr(ts_delta(close,10), ts_delta(volume,10), 60) * ts_mean(rank(returns), 20)
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group_neutralize(ts_decay_linear(returns, 60), sector) * ts_corr(group_mean(returns,1,industry), group_mean(returns,1,sector), 30)
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multiply(ts_regression(close, ts_step(1), 30, 0, 1), group_scale(returns, industry)) * ts_zscore(volume, 20)
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ts_delta(close,10) * if_else(ts_rank(ts_mean(returns,30), 90) > 0.5, ts_delta(close,5), reverse(ts_delta(close,5)))
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group_mean(ts_delta(close,20), 1, bucket(rank(volume), range="0,3,0.4")) * ts_std_dev(group_rank(returns, sector), 20)
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ts_decay_linear(returns, 20) * group_neutralize(ts_delta(close,30), industry) * ts_zscore(volume, 30)
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if_else(ts_rank(ts_std_dev(returns,30), 90) > 0.7, ts_delta(close,5), ts_delta(close,60)) * group_rank(returns, industry)
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multiply(ts_mean(returns,60), group_neutralize(ts_regression(close, ts_step(1), 20, 0, 1), industry)) * ts_zscore(volume, 20)
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ts_delta(close,60) * group_mean(ts_regression(close, ts_step(1), 60, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_std_dev(returns,60) > 0.016, ts_delta(close,5), ts_delta(close,30)) * group_scale(returns, sector)
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ts_corr(ts_delta(close,5), ts_delta(volume,5), 20) * ts_mean(rank(returns), 60)
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group_neutralize(ts_delta(close,20), sector) * ts_corr(group_mean(returns,1,industry), group_mean(returns,1,sector), 60)
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multiply(ts_regression(close, ts_step(1), 60, 0, 1), group_rank(returns, industry)) * ts_zscore(volume, 60)
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ts_delta(ts_delta(close,10), 5) / ts_std_dev(returns,30) * if_else(ts_rank(volume, 30) > 0.7, 1.1, 0.9)
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group_mean(ts_decay_linear(returns, 60), 1, bucket(rank(volume), range="0,3,0.4")) * ts_rank(returns, 30)
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if_else(ts_rank(ts_mean(returns,20), 60) > 0.5, ts_delta(close,10), reverse(ts_delta(close,10))) * group_rank(returns, sector)
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multiply(ts_mean(returns,30), group_neutralize(ts_regression(close, ts_step(1), 30, 0, 1), sector)) * ts_zscore(volume, 30)
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ts_delta(close,20) * group_mean(ts_regression(close, ts_step(1), 20, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_std_dev(returns,20) > 0.02, ts_delta(close,5), ts_delta(close,60)) * group_neutralize(returns, sector)
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ts_corr(ts_delta(close,20), ts_delta(volume,20), 60) * ts_mean(rank(returns), 20)
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group_neutralize(ts_decay_linear(returns, 30), industry) * ts_corr(group_mean(returns,1,sector), group_mean(returns,1,industry), 30)
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multiply(ts_regression(close, ts_step(1), 20, 0, 1), group_scale(returns, industry)) * ts_zscore(volume, 20)
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ts_delta(close,30) * if_else(ts_rank(ts_std_dev(returns,60), 120) > 0.7, ts_delta(close,5), ts_delta(close,20))
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group_mean(ts_delta(close,10), 1, bucket(rank(volume), range="0,3,0.4")) * ts_std_dev(group_rank(returns, industry), 30)
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ts_decay_linear(returns, 60) * group_neutralize(ts_delta(close,20), sector) * ts_zscore(volume, 60)
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if_else(ts_rank(ts_mean(returns,10), 30) > 0.5, ts_delta(close,5), reverse(ts_delta(close,5))) * group_rank(returns, industry)
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multiply(ts_mean(returns,20), group_neutralize(ts_regression(close, ts_step(1), 60, 0, 1), industry)) * ts_zscore(volume, 30)
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ts_delta(close,60) * group_mean(ts_regression(close, ts_step(1), 30, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_std_dev(returns,30) > 0.018, ts_delta(close,5), ts_delta(close,30)) * group_scale(returns, industry)
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ts_corr(ts_delta(close,5), ts_delta(volume,5), 30) * ts_mean(rank(returns), 60)
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group_neutralize(ts_delta(close,10), sector) * ts_corr(group_mean(returns,1,industry), group_mean(returns,1,sector), 60)
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multiply(ts_regression(close, ts_step(1), 60, 0, 1), group_rank(returns, sector)) * ts_zscore(volume, 20)
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ts_delta(ts_delta(close,20), |