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347 lines
12 KiB
347 lines
12 KiB
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group_mean(ts_delta(close, 20), 1, bucket(rank(volume), range="0,3,0.4"))
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group_mean(ts_regression(close, ts_step(1), 30, 0, 1), 1, bucket(rank(volume), range="0,2,0.5"))
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group_mean(ts_mean(returns, 20), 1, bucket(rank(volume), range="0,4,0.3"))
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ts_delta(close, 5) / ts_std_dev(returns, 20)
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if_else(ts_rank(ts_std_dev(returns, 20), 60) > 0.7, ts_delta(close, 5), ts_delta(close, 20))
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ts_delta(close, if_else(ts_std_dev(returns, 20) > 0.01, 5, 60))
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if_else(ts_rank(ts_mean(returns, 20), 60) > 0.5, ts_delta(close, 10), ts_delta(close, 30))
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group_mean(reverse(ts_rank(volume/ts_mean(volume, 20), 10)), 1, bucket(rank(volume), range="0,3,0.4"))
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group_mean(ts_corr(group_mean(returns, 1, industry), group_mean(returns, 1, sector), 20), 1, bucket(rank(volume), range="0,3,0.4"))
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multiply(ts_zscore(volume, 20), ts_delta(close, 30))
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group_mean(ts_delta(close, 10), 1, bucket(rank(returns), range="0,3,0.5"))
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ts_std_dev(returns, 20) * ts_regression(close, ts_step(1), 30, 0, 1)
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if_else(ts_rank(volume, 30) > 0.8, mult
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iply(ts_delta(close, 5), volume), ts_delta(close, 60))
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group_mean(ts_corr(ts_delta(close, 10), ts_delta(volume, 10), 20), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_decay_linear(ts_delta(close, 1), 30)
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if_else(ts_rank(ts_std_dev(returns, 20), 120) > 0.6, ts_delta(close, 5), ts_delta(close, 120))
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group_mean(ts_regression(close, ts_step(1), 20, 0, 1), 1, bucket(rank(returns), range="0,4,0.2"))
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sign(multiply(ts_delta(close, 20), group_rank(volume, industry)))
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ts_delta(close, 30) / if_else(ts_rank(ts_mean(returns, 60), 120) > 0.5, 1.1, 0.9)
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group_mean(ts_delta(close, 10), 1, bucket(rank(volume), range="0,5,0.2"))
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winsorize(group_rank(returns, industry))
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ts_corr(ts_delta(close, 5), ts_delta(volume, 5), 30)
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group_mean(ts_zscore(volume, 20), 1, bucket(rank(returns), 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_delta(close, 10) * ts_regression(ts_delta(close, 1), ts_step(1), 30, 0, 1)
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group_mean(multiply(ts_zscore(volume, 20), ts_delta(close, 10)), 1, bucket(rank(volume), range="0,4,0.3"))
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ts_decay_linear(returns, 60)
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if_else(ts_rank(ts_mean(returns, 20), 60) > 0.5, group_mean(returns, 1, industry), 0)
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group_mean(ts_corr(returns, group_mean(returns, 1, industry), 20), 1, bucket(rank(volume), range="0,3,0.4"))
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sign(ts_delta(close, 20)) * group_mean(ts_delta(close, 10), 1, bucket(rank(volume), range="0,3,0.5"))
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ts_delta(close, 5) / ts_mean(returns, 30)
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if_else(ts_rank(ts_std_dev(returns, 20), 120) > 0.8, ts_delta(close, 5), ts_delta(close, 60))
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group_mean(ts_regression(close, ts_step(1), 60, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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winsorize(group_mean(ts_delta(close, 10), 1, industry))
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ts_zscore(multiply(ts_delta(close, 5), volume), 20)
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group_mean(ts_corr(ts_delta(close, 10), ts_delta(volume, 10), 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, 20))
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ts_delta(close, 30) * group_rank(returns, industry)
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group_mean(ts_delta(close, 10), 1, bucket(rank(returns), range="0,4,0.2"))
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norma
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lize(ts_delta(close, 20))
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ts_corr(volume, returns, 30)
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group_mean(if_else(rank(volume) > 0.7, close, 0), 1, industry)
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ts_delta(close, 5) / ts_std_dev(returns, 60)
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if_else(ts_rank(ts_mean(returns, 10), 60) > 0.5, ts_delta(close, 5), ts_delta(close, 60))
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group_mean(reverse(ts_rank(volume/ts_mean(volume, 30), 10)), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_decay_linear(ts_delta(close, 1), 5)
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winsorize(group_mean(rank(returns), 1, industry))
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group_mean(ts_corr(group_mean(returns, 1, sector), group_mean(returns, 1, market), 20), 1, bucket(rank(volume), range="0,3,0.4"))
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sign(ts_delta(close, 10)) * if_else(ts_rank(volume, 30) > 0.8, 1, 0)
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ts_delta(close, 20) / if_else(ts_rank(ts_mean(returns, 20), 60) > 0.5, 1.1, 0.9)
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group_mean(ts_zscore(volume, 10), 1, bucket(rank(returns), range="0,3,0.5"))
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ts_regression(close, ts_step(1), 20, 0, 1) * group_mean(volume, 1, industry)
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if_else(ts_rank(ts_std_dev(returns, 20), 120) > 0.7, ts_delta(close, 5), ts_delta(close, 60))
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group_mean(ts_corr(returns, volume, 30), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_delta(close, 10) * reversible_condition
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group_mean(reverse(ts_delta(close, 10)), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_delta(close, 5) / ts_mean(returns, 20)
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if_else(ts_rank(ts_mean(returns, 30), 60) > 0.5, ts_delta(close, 5), ts_delta(close, 120))
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group_mean(multiply(ts_zscore(volume, 20), ts_delta(close, 5)), 1, bucket(rank(volume), range="0,3,0.4"))
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sign(group_mean(ts_delta(close, 10), 1, industry))
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ts_regression(ts_delta(close, 1), ts_step(1), 30, 0, 1)
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group_mean(ts_corr(returns, group_mean(returns, 1, sector), 20), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_delta(close, 20) * if_else(ts_rank(ts_std_dev(returns, 20), 60) > 0.7, 1.1, 0.9)
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group_mean(ts_regression(close, ts_step(1), 60, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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winsorize(group_mean(rank(returns), 1, industry))
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ts_delta(close, 10) / ts_std_dev(returns, 20)
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if_else(ts_rank(ts_std_dev(returns, 20), 60) > 0.7, ts_delta(close, 5), ts_delta(close, 20))
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group_mean(ts_corr(ts_delta(close, 5), ts_delta(volume, 5), 20), 1, bucket(rank(volume), range="0,3,0.4"))
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sign(ts_delta(close, 30)) * group_mean(ts_delta(close, 10), 1, industry)
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ts_decay_linear(returns, 20)
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group_mean(reverse(ts_rank(volume/ts_mean(volume, 20), 10)), 1, bucket(rank(volume), range="0,3,0.4"))
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group_mean(ts_corr(group_mean(returns, 1, industry), group_mean(returns, 1, market), 30), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_delta(close, 5) / if_else(ts_rank(ts_mean(returns, 20), 60) > 0.5, 1.05, 0.95)
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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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winsorize(group_mean(ts_delta(close, 20), 1, industry))
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ts_zscore(multiply(ts_delta(close, 10), volume), 20)
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group_mean(ts_corr(returns, volume, 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, 20))
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ts_delta(close, 10) * group_rank(returns, industry)
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group_mean(ts_mean(returns, 20), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_regression(close, ts_step(1), 20, 0, 1)
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group_mean(ts_corr(group_mean(returns, 1, sector), group_mean(returns, 1, market), 20), 1, bucket(rank(volume), range="0,3,0.4"))
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sign(group_mean(ts_delta(close, 10), 1, industry))
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ts_decay_linear(ts_delta(close, 1), 30)
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group_mean(reverse(ts_rank(volume/ts_mean(volume, 30), 10)), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_delta(close, 5) / ts_mean(returns, 60)
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if_else(ts_rank(ts_mean(returns, 20), 60) > 0.5, ts_delta(close, 5), ts_delta(close, 120))
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group_mean(multiply(ts_zscore(volume, 10), ts_delta(close, 5)), 1, bucket(rank(volume), range="0,3,0.4"))
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norma
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lize(group_mean(ts_delta(close, 10), 1, industry))
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ts_corr(ts_delta(close, 10), ts_delta(volume, 10), 30)
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if_else(ts_rank(ts_std_dev(returns, 20), 60) > 0.7, ts_delta(close, 5), ts_delta(close, 20))
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group_mean(ts_regression(close, ts_step(1), 60, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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winsorize(sign(ts_delta(close, 10)))
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ts_zscore(multiply(ts_delta(close, 5), volume), 20)
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group_mean(ts_corr(returns, group_mean(returns, 1, sector), 20), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_rank(ts_len
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g(volume), 30) > 0.8, ts_delta(close, 5), ts_delta(close, 30))
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sign(ts_delta(close, 20)) * group_mean(ts_delta(close, 10), 1, industry)
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ts_decay_linear(returns, 30)
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group_mean(reverse(ts_rank(volume/ts_mean(volume, 20), 10)), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_delta(close, 10) / ts_std_dev(returns, 20)
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if_else(ts_rank(ts_mean(returns, 20), 60) > 0.5, ts_delta(close, 5), ts_delta(close, 60))
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group_mean(multiply(ts_zscore(volume, 20), ts_delta(close, 5)), 1, bucket(rank(volume), range="0,3,0.4"))
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norma
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lize(group_mean(rank(returns), 1, industry))
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ts_corr(ts_delta(close, 5), ts_delta(volume, 5), 20)
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if_else(ts_rank(volume, 30) > 0.7, ts_delta(close, 5), ts_delta(close, 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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winsorize(group_mean(ts_mean(returns, 20), 1, industry))
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ts_zscore(group_mean(volume, 1, sector), 20)
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group_mean(ts_corr(returns, volume, 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, 20))
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sign(group_mean(ts_delta(close, 10), 1, industry))
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ts_delta(close, 5) / ts_mean(returns, 30)
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group_mean(reverse(ts_rank(volume/ts_mean(volume, 10), 10)), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_regression(close, ts_step(1), 20, 0, 1)
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if_else(ts_rank(ts_std_dev(returns, 20), 120) > 0.6, ts_delta(close, 5), ts_delta(close, 120))
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group_mean(ts_delta(close, 20), 1, bucket(rank(returns), range="0,3,0.4"))
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winsorize(group_mean(ts_delta(close, 10), 1, industry))
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ts_zscore(
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multiply(ts_delta(close, 10), ts_delta(volume, 10)), 20)
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group_mean(ts_corr(group_mean(returns, 1, industry), group_mean(returns, 1, market), 20), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_rank(ts_mean(returns, 20), 60) > 0.5, ts_delta(close, 5), ts_delta(close, 60))
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sign(group_mean(rank(returns), 1, industry))
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ts_decay_linear(returns, 20)
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group_mean(reverse(ts_rank(volume/ts_mean(volume, 30), 10)), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_delta(close, 10) / ts_std_dev(returns, 30)
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if_else(ts_rank(ts_std_dev(returns, 20), 60) > 0.7, ts_delta(close, 5), ts_delta(close, 20))
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group_mean(ts_regression(close, ts_step(1), 60, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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winsorize(group_mean(rank(returns), 1, industry))
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ts_zscore(multiply(ts_delta(close, 5), volume), 20)
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group_mean(ts_corr(returns, group_mean(returns, 1, sector), 20), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_rank(ts_mean(returns, 20), 60) > 0.5, ts_delta(close, 5), ts_delta(close, 120))
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group_mean(ts_delta(close, 5), 1, bucket(rank(volume), range="0,3,0.4"))
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sign(group_mean(ts_delta(close, 10), 1, industry))
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ts_decay_linear(ts_delta(close, 1), 30)
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group_mean(reverse(ts_rank(volume/ts_mean(volume, 20), 10)), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_delta(close, 20) / ts_mean(returns, 20)
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if_else(ts_rank(ts_std_dev(returns, 20), 60) > 0.7, ts_delta(close, 5), ts_delta(close, 30))
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group_mean(ts_corr(ts_delta(close, 10), ts_delta(volume, 10), 20), 1, bucket(rank(volume), range="0,3,0.4"))
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winsorize(sign(ts_delta(close, 10)))
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ts_zscore(group_mean(volume, 1, industry), 20)
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if_else(ts_rank(ts_std_dev(returns, 20), 60) > 0.7, ts_delta(close, 5), ts_delta(close, 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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winsorize(group_mean(ts_mean(returns, 20), 1, industry))
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ts_zscore(group_mean(multiply(ts_delta(close, 5), volume), 1, sector), 20)
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group_mean(ts_corr(returns, group_mean(returns, 1, industry), 20), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_rank(ts_mean(returns, 20), 60) > 0.5, ts_delta(close, 5), ts_delta(close, 120))
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group_mean(reverse(ts_rank(volume/ts_mean(volume, 10), 10)), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_delta(close, 10) / ts_std_dev(returns, 20)
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if_else(ts_rank(ts_std_dev(returns, 20), 60) > 0.7, ts_delta(close, 5), ts_delta(close, 20))
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group_mean(ts_regression(close, ts_step(1), 20, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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winsorize(group_mean(rank(returns), 1, industry))
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ts_zscore(multiply(ts_delta(close, 5), ts_delta(volume, 5)), 20)
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group_mean(ts_corr(returns, volume, 20), 1, bucket(rank(volume), range="0,3,0.4"))
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multiply(if_else(ts_rank(ts_std_dev(returns, 20), 60) > 0.7, 1.1, 0.9), ts_delta(close, 20))
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group_mean(ts_corr(group_mean(returns, 1, sector), group_mean(returns, 1, market), 20), 1, bucket(rank(returns), range="0,3,0.4"))
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if_else(ts_rank(ts_mean(returns, 20), 60) > 0.5, ts_delta(close, 5), ts_delta(close, 60))
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sign(group_mean(ts_delta(close, 10), 1, industry))
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ts_decay_linear(returns, 20)
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group_mean(reverse(ts_rank(volume/ts_mean(volume, 30), 10)), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_delta(close, 5) / ts_mean(returns, 60)
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if_else(ts_rank(ts_std_dev(returns, 20), 60) > 0.7, ts_delta(close, 5), ts_delta(close, 20))
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group_mean(ts_corr(ts_delta(close, 10), ts_delta(volume, 10), 20), 1, bucket(rank(volume), range="0,3,0.4"))
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winsorize(sign(group_mean(ts_delta(close, 10), 1, industry)))
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ts_zscore(group_mean(volume, 1, sector), 20)
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group_mean(ts_corr(returns, group_mean(returns, 1, industry), 20), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_rank(ts_mean(returns, 20), 60) > 0.5, ts_delta(close, 5), ts_delta(close, 60))
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group_mean(reverse(ts_rank(volume/ts_mean(volume, 20), 10)), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_delta(close, 20) / ts_std_dev(returns, 20) |