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203 lines
8.6 KiB
203 lines
8.6 KiB
group_neutralize(ts_sum(if_else(implied_volatility_mean_10 > implied_volatility_mean_20, returns, -returns), 5), sector)
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group_neutralize(ts_delta(log(volume), 10) * ts_rank(close, 20), sector)
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group_neutralize(ts_corr(returns, scl12_sentiment, 30) * ts_std_dev(returns, 60), sector)
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if_else(volume > ts_mean(volume, 30), ts_rank(returns, 10), -ts_rank(returns, 10))
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ts_sum(if_else(ts_rank(close, 5) > ts_rank(close, 20), ts_delta(close, 1), -ts_delta(close, 1)), 10)
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group_neutralize(ts_rank(ts_corr(vwap, volume, 20), 5), sector)
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ts_av_diff(implied_volatility_mean_180, 30) * ts_zscore(returns, 60)
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group_neutralize(ts_rank(pcr_oi_30, 10) * ts_delta(close, 5), sector)
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ts_sum(signed_power(ts_delta(log(close), 2), sign(ts_delta(volume, 2))), 5)
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scale(ts_rank(close, 10) - ts_rank(vwap, 10))
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if_else(ts_std_dev(returns, 30) > ts_mean(ts_std_dev(returns, 5), 30), ts_rank(close, 5), ts_rank(-close, 5))
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group_neutralize(ts_rank(ts_delta(close, 2), 10) * ts_sum(volume, 5), sector)
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ts_delta(ts_corr(close, volume, 10), 5) * ts_scale(close, 20)
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group_neutralize(ts_rank(fscore_momentum, 60) * ts_zscore(returns, 30), sector)
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ts_sum(if_else(ts_rank(close, 20) > ts_rank(vwap, 20), log(volume), -log(volume)), 15)
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if_else(historical_volatility_60 > ts_mean(historical_volatility_60, 60), ts_rank(returns, 10), ts_rank(-returns, 10))
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ts_regression(returns, ts_delta(scl12_sentiment, 1), 30, 0, 0)
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group_neutralize(ts_sum(signed_power(ts_delta(close, 1), sign(ts_delta(pcr_vol_10, 1))), 5), sector)
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ts_av_diff(implied_volatility_mean_skew_30, 20) * ts_zscore(close, 50)
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if_else(ts_mean(volume, 10) > ts_mean(volume, 30), ts_rank(close, 5), -ts_rank(close, 10))
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group_neutralize(ts_rank(ts_corr(fscore_value, returns, 40), 10), sector)
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ts_sum(if_else(ts_delta(log(volume), 5) > 0, ts_delta(close, 1), -ts_delta(close, 1)), 8)
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ts_corr(ts_rank(close, 5), ts_rank(volume, 20), 10)
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group_neutralize(ts_rank(ts_delta(vwap, 3), 15) * ts_std_dev(returns, 20), sector)
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if_else(pcr_oi_90 > ts_mean(pcr_oi_90, 30), ts_rank(returns, 10), -ts_rank(returns, 10))
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ts_av_diff(fscore_growth, 20) * ts_zscore(ts_delta(close, 2), 40)
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group_neutralize(ts_rank(ts_corr(implied_volatility_call_30, returns, 30), 10), sector)
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ts_sum(signed_power(ts_delta(vwap, 1), sign(ts_delta(fscore_profitability, 5))), 10)
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scale(ts_rank(ts_sum(returns, 5), 20) - ts_rank(ts_sum(volume, 5), 20))
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if_else(beta_last_30_days_spy > ts_mean(beta_last_30_days_spy, 60), ts_rank(close, 5), ts_rank(-close, 10))
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group_neutralize(ts_rank(ts_delta(fscore_quality, 10), 20) * ts_zscore(returns, 30), sector)
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ts_delta(ts_corr(close, parkinson_volatility_30, 20), 5) * ts_scale(close, 15)
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group_neutralize(ts_rank(rp_css_earnings, 40) * ts_delta(close, 3), sector)
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ts_sum(if_else(ts_rank(close, 15) > ts_rank(volume, 15), ts_delta(close, 1), -ts_delta(close, 1)), 10)
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if_else(implied_volatility_mean_360 > ts_mean(implied_volatility_mean_360, 90), ts_rank(returns, 15), ts_rank(-returns, 15))
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ts_regression(returns, ts_delta(rp_nip_price, 1), 25, 0, 0)
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group_neutralize(ts_sum(signed_power(ts_delta(close, 1), sign(ts_delta(call_breakeven_30, 1))), 5), sector)
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ts_av_diff(implied_volatility_mean_skew_120, 30) * ts_zscore(returns, 50)
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if_else(ts_mean(adv20, 10) > ts_mean(adv20, 30), ts_rank(close, 8), -ts_rank(close, 12))
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group_neutralize(ts_rank(ts_corr(forward_price_60, returns, 35), 10), sector)
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ts_sum(if_else(ts_delta(log(adv20), 5) > 0, ts_delta(close, 1), -ts_delta(close, 1)), 12)
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ts_corr(ts_rank(vwap, 8), ts_rank(pcr_vol_20, 25), 15)
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group_neutralize(ts_rank(ts_delta(put_breakeven_30, 5), 20) * ts_std_dev(returns, 25), sector)
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if_else(pcr_vol_30 > ts_mean(pcr_vol_30, 30), ts_rank(returns, 10), -ts_rank(returns, 10))
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ts_av_diff(fscore_total, 25) * ts_zscore(ts_delta(close, 3), 60)
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group_neutralize(ts_rank(ts_corr(implied_volatility_call_90, returns, 40), 10), sector)
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ts_sum(signed_power(ts_delta(close, 2), sign(ts_delta(fscore_surface_accel, 7))), 8)
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scale(ts_rank(ts_sum(returns, 7), 25) - ts_rank(ts_sum(adv20, 7), 25))
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if_else(beta_last_90_days_spy > ts_mean(beta_last_90_days_spy, 90), ts_rank(close, 10), ts_rank(-close, 15))
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group_neutralize(ts_rank(ts_delta(systematic_risk_last_30_days, 15), 30) * ts_zscore(returns, 40), sector)
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ts_delta(ts_corr(close, nws18_nip, 25), 7) * ts_scale(close, 20)
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group_neutralize(ts_rank(rp_css_ptg, 50) * ts_delta(close, 4), sector)
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ts_sum(if_else(ts_rank(vwap, 20) > ts_rank(adv20, 20), ts_delta(close, 1), -ts_delta(close, 1)), 15)
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if_else(implied_volatility_mean_720 > ts_mean(implied_volatility_mean_720, 120), ts_rank(returns, 20), ts_rank(-returns, 20))
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ts_regression(returns, ts_delta(scl12_buzz, 1), 20, 0, 0)
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group_neutralize(ts_sum(signed_power(ts_delta(close, 1), sign(ts_delta(option_breakeven_90, 1))), 6), sector)
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ts_av_diff(implied_volatility_mean_skew_10, 15) * ts_zscore(returns, 30)
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if_else(ts_mean(volume, 15) > ts_mean(volume, 45), ts_rank(close, 10), -ts_rank(close, 20))
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group_neutralize(ts_rank(ts_corr(forward_price_180, returns, 45), 10), sector)
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ts_sum(if_else(ts_delta(log(volume), 7) > 0, ts_delta(close, 2), -ts_delta(close, 2)), 10)
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ts_corr(ts_rank(close, 10), ts_rank(pcr_oi_120, 30), 20)
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group_neutralize(ts_rank(ts_delta(call_breakeven_180, 7), 25) * ts_std_dev(returns, 30), sector)
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if_else(pcr_vol_270 > ts_mean(pcr_vol_270, 30), ts_rank(returns, 12), -ts_rank(returns, 12))
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ts_av_diff(fscore_surface, 30) * ts_zscore(ts_delta(close, 4), 70)
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group_neutralize(ts_rank(ts_corr(implied_volatility_call_270, returns, 50), 10), sector)
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ts_sum(signed_power(ts_delta(vwap, 2), sign(ts_delta(fscore_momentum, 10))), 12)
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scale(ts_rank(ts_sum(returns, 10), 30) - ts_rank(ts_sum(pcr_oi_20, 10), 30))
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if_else(unsystematic_risk_last_60_days > ts_mean(unsystematic_risk_last_60_days, 120), ts_rank(close, 12), ts_rank(-close, 18))
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group_neutralize(ts_rank(ts_delta(beta_last_60_days_spy, 20), 35) * ts_zscore(returns, 45), sector)
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ts_delta(ts_corr(close, rp_ess_price, 30), 10) * ts_scale(close, 25)
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group_neutralize(ts_rank(rp_css_dividends, 60) * ts_delta(close, 5), sector)
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ts_sum(if_else(ts_rank(close, 25) > ts_rank(volume, 25), ts_delta(close, 2), -ts_delta(close, 2)), 20)
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if_else(parkinson_volatility_90 > ts_mean(parkinson_volatility_90, 60), ts_rank(returns, 15), ts_rank(-returns, 15))
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ts_regression(returns, ts_delta(fscore_profitability, 2), 35, 0, 0)
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group_neutralize(ts_sum(signed_power(ts_delta(close, 1), sign(ts_delta(put_breakeven_270, 1))), 7), sector)
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ts_av_diff(implied_volatility_mean_150, 40) * ts_zscore(returns, 60)
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if_else(ts_mean(adv20, 20) > ts_mean(adv20, 60), ts_rank(close, 15), -ts_rank(close, 25))
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group_neutralize(ts_rank(ts_corr(forward_price_720, returns, 60), 10), sector)
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ts_sum(if_else(ts_delta(log(adv20), 10) > 0, ts_delta(close, 3), -ts_delta(close, 3)), 15)
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ts_corr(ts_rank(vwap, 12), ts_rank(pcr_vol_360, 40), 25)
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group_neutralize(ts_rank(ts_delta(option_breakeven_720, 10), 30) * ts_std_dev(returns, 35), sector)
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if_else(pcr_oi_270 > ts_mean(pcr_oi_270, 30), ts_rank(returns, 15), -ts_rank(returns, 15))
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ts_av_diff(fscore_bfl_surface_accel, 35) * ts_zscore(ts_delta(close, 5), 80)
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group_neutralize(ts_rank(ts_corr(implied_volatility_call_1080, returns, 70), 10), sector)
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ts_sum(signed_power(ts_delta(close, 3), sign(ts_delta(analyst_revision_rank_derivative, 15))), 15)
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scale(ts_rank(ts_sum(returns, 12), 35) - ts_rank(ts_sum(pcr_oi_90, 12), 35))
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if_else(correlation_last_90_days_spy > ts_mean(correlation_last_90_days_spy, 180), ts_rank(close, 15), ts_rank(-close, 22))
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group_neutralize(ts_rank(ts_delta(systematic_risk_last_90_days, 25), 40) * ts_zscore(returns, 50), sector)
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ts_delta(ts_corr(close, nws18_acb, 35), 12) * ts_scale(close, 30)
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group_neutralize(ts_rank(rp_css_assets, 70) * ts_delta(close, 6), sector)
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ts_sum(if_else(ts_rank(vwap, 30) > ts_rank(volume, 30), ts_delta(close, 3), -ts_delta(close, 3)), 25)
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if_else(historical_volatility_150 > ts_mean(historical_volatility_150, 90), ts_rank(returns, 18), ts_rank(-returns, 18))
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ts_regression(returns, ts_delta(fscore_growth, 3), 40, 0, 0)
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group_neutralize(ts_sum(signed_power(ts_delta(close, 2), sign(ts_delta(call_breakeven_270, 2))), 8), sector)
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ts_av_diff(implied_volatility_mean_360, 50) * ts_zscore(returns, 70)
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if_else(ts_mean(volume, 25) > ts_mean(volume, 75), ts_rank(close, 20), -ts_rank(close, 30))
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group_neutralize(ts_rank(ts_corr(forward_price_120, returns, 80), 10), sector)
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ts_sum(if_else(ts_delta(log(volume), 12) > 0, ts_delta(close, 4), -ts_delta(close, 4)), 20)
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ts_corr(ts_rank(close, 15), ts_rank(pcr_oi_720, 50), 30)
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group_neutralize(ts_rank(ts_delta(put_breakeven_150, 12), 35) * ts_std_dev(returns, 40), sector)
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if_else(pcr_vol_30 > 1, ts_rank(returns, 18), -ts_rank(returns, 18))
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ts_av_diff(fscore_bfl_total, 40) * ts_zscore(ts_delta(close, 6), 90) |