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317 lines
23 KiB
317 lines
23 KiB
group_neutralize(zscore(multiply(ts_decay_linear(abs(subtract(ts_regression(bid1_volume, bid1_price, 5), ts_regression(ask1_volume, ask1_price, 5))), 5), divide(subtract(last_closing_price, vec_avg(weighted_avg(bid1_5_price, bid1_5_volume))), vec_avg(weighted_avg(bid1_5_price, bid1_5_volume))))), industry_grouping_level10_top3000_2)
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zscore(multiply(ts_decay_linear(power(abs(subtract(ts_regression(bid2_volume, bid2_price, 5), ts_regression(ask2_volume, ask2_price, 5))), 2), 5), sqrt(abs(divide(subtract(latest_closing_price, vec_avg(weighted_avg(ask1_5_price, ask1_5_volume))), latest_closing_price)))))
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group_neutralize(normalize(multiply(ts_decay_linear(sqrt(abs(subtract(ts_regression(bid3_volume, bid3_price, 5), ts_regression(ask3_volume, ask3_price, 5)))), 5), power(abs(divide(subtract(last_closing_price, vec_sum(weighted_avg(bid1_5_price, bid1_5_volume))/vec_sum(bid1_5_volume))), last_closing_price), 1.5))), pca_industry_grouping_method2_2)
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rank(multiply(ts_decay_linear(log(1+abs(subtract(ts_regression(bid4_volume, bid4_price, 5), ts_regression(ask4_volume, ask4_price, 5)))), 5), inverse(1+abs(divide(subtract(latest_closing_price, vec_sum(weighted_avg(ask1_5_price, ask1_5_volume))/vec_sum(ask1_5_volume))), latest_closing_price))))
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group_zscore(multiply(ts_decay_linear(signed_power(abs(subtract(ts_regression(bid5_volume, bid5_price, 5), ts_regression(ask5_volume, ask5_price, 5))), 0.5), 5), sign(subtract(last_closing_price, vec_avg(weighted_avg(bid1_5_price, bid1_5_volume))))*abs(divide(subtract(last_closing_price, vec_avg(weighted_avg(bid1_5_price, bid1_5_volume))), vec_avg(weighted_avg(bid1_5_price, bid1_5_volume))))), top1500_pca_factor1_grouping5)
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zscore(winsorize(multiply(ts_decay_linear(abs(subtract(ts_regression(vec_sum(bid1_3_volume), vec_avg(bid1_3_price), 5), ts_regression(vec_sum(ask1_3_volume), vec_avg(ask1_3_price), 5))), 5), multiply(abs(divide(subtract(latest_closing_price, vec_sum(weighted_avg(bid1_5_price, bid1_5_volume))/vec_sum(bid1_5_volume))), latest_closing_price), ts_rank(volume, 5))), 3)
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group_neutralize(rank(multiply(ts_decay_linear(abs(subtract(ts_regression(vec_sum(bid3_5_volume), vec_avg(bid3_5_price), 5), ts_regression(vec_sum(ask3_5_volume), vec_avg(ask3_5_price), 5))), 5), divide(1, 1+abs(subtract(latest_closing_price, vec_sum(weighted_avg(ask1_5_price, ask1_5_volume))/vec_sum(ask1_5_volume)))))), top2000_factor3_group50_score)
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normalize(multiply(ts_decay_linear(power(abs(subtract(ts_regression(bid1_volume, bid1_price, 3), ts_regression(ask1_volume, ask1_price, 3))), 3), 5), abs(divide(subtract(last_closing_price, (vec_sum(bid1_5_price*bid1_5_volume)+vec_sum(ask1_5_price*ask1_5_volume))/(vec_sum(bid1_5_volume)+vec_sum(ask1_5_volume))), last_closing_price))))
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zscore(multiply(ts_decay_linear(log(abs(subtract(ts_regression(bid2_volume, bid2_price, 3), ts_regression(ask2_volume, ask2_price, 3)))+1), 5), power(abs(divide(subtract(latest_closing_price, (vec_sum(bid1_5_price*bid1_5_volume)+vec_sum(ask1_5_price*ask1_5_volume))/(vec_sum(bid1_5_volume)+vec_sum(ask1_5_volume))), latest_closing_price)), 0.5)))
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group_zscore(multiply(ts_decay_linear(sqrt(abs(subtract(ts_regression(bid3_volume, bid3_price, 3), ts_regression(ask3_volume, ask3_price, 3)))), 5), ts_zscore(abs(divide(subtract(last_closing_price, vec_avg(weighted_avg(bid1_5_price, bid1_5_volume))), last_closing_price)), 5)), pca_industry_grouping_method4_10)
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rank(multiply(ts_decay_linear(abs(subtract(ts_regression(bid4_volume, bid4_price, 3), ts_regression(ask4_volume, ask4_price, 3))), 5), multiply(abs(divide(subtract(latest_closing_price, vec_avg(weighted_avg(ask1_5_price, ask1_5_volume))), latest_closing_price)), ts_mean(volume, 5))))
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group_neutralize(normalize(multiply(ts_decay_linear(signed_power(abs(subtract(ts_regression(bid5_volume, bid5_price, 3), ts_regression(ask5_volume, ask5_price, 3))), 2), 5), inverse(1+ts_std_dev(abs(divide(subtract(last_closing_price, vec_sum(weighted_avg(bid1_5_price, bid1_5_volume))/vec_sum(bid1_5_volume))), last_closing_price), 5)))), industry_grouping_level5_top1500)
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zscore(multiply(ts_decay_linear(power(abs(subtract(ts_regression(vec_sum(bid1_2_volume), vec_avg(bid1_2_price), 5), ts_regression(vec_sum(ask1_2_volume), vec_avg(ask1_2_price), 5))), 0.5), 5), abs(divide(subtract(last_closing_price, vec_sum(weighted_avg(bid1_5_price, bid1_5_volume))/vec_sum(bid1_5_volume))), latest_closing_price)*sign(ts_delta(last_closing_price, 1))))
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group_rank(multiply(ts_decay_linear(abs(subtract(ts_regression(vec_sum(bid4_5_volume), vec_avg(bid4_5_price), 5), ts_regression(vec_sum(ask4_5_volume), vec_avg(ask4_5_price), 5))), 5), divide(abs(divide(subtract(latest_closing_price, vec_sum(weighted_avg(ask1_5_price, ask1_5_volume))/vec_sum(ask1_5_volume))), latest_closing_price), 1+ts_quantile(volume, 5))), top1500_pca_factor1_grouping50)
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normalize(multiply(ts_decay_linear(log(abs(subtract(ts_regression(bid1_volume, bid1_price, 4), ts_regression(ask1_volume, ask1_price, 4)))+2), 5), power(abs(divide(subtract(last_closing_price, (vec_sum(bid1_5_price*bid1_5_volume))/vec_sum(bid1_5_volume))), last_closing_price), 2)))
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zscore(winsorize(multiply(ts_decay_linear(sqrt(abs(subtract(ts_regression(bid2_volume, bid2_price, 4), ts_regression(ask2_volume, ask2_price, 4)))), 5), multiply(abs(divide(subtract(latest_closing_price, (vec_sum(ask1_5_price*ask1_5_volume))/vec_sum(ask1_5_volume))), latest_closing_price), ts_rank(last_closing_price, 5))), 4)
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group_neutralize(zscore(multiply(ts_decay_linear(abs(subtract(ts_regression(bid3_volume, bid3_price, 4), ts_regression(ask3_volume, ask3_price, 4))), 5), inverse(1+abs(subtract(latest_closing_price, (vec_sum(bid1_5_price*bid1_5_volume)+vec_sum(ask1_5_price*ask1_5_volume))/(vec_sum(bid1_5_volume)+vec_sum(ask1_5_volume))))))), top2000_factor2_group10_score)
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rank(multiply(ts_decay_linear(power(abs(subtract(ts_regression(bid4_volume, bid4_price, 4), ts_regression(ask4_volume, ask4_price, 4))), 1.5), 5), abs(divide(subtract(last_closing_price, (vec_sum(bid1_5_price*bid1_5_volume)+vec_sum(ask1_5_price*ask1_5_volume))/(vec_sum(bid1_5_volume)+vec_sum(ask1_5_volume))), latest_closing_price)*ts_mean(volume, 3))))
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group_zscore(normalize(multiply(ts_decay_linear(signed_power(abs(subtract(ts_regression(bid5_volume, bid5_price, 4), ts_regression(ask5_volume, ask5_price, 4))), 0.5), 5), ts_zscore(abs(divide(subtract(last_closing_price, vec_avg(weighted_avg(bid1_5_price, bid1_5_volume))), last_closing_price)), 3))), resampled_pca_factor_9)
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zscore(multiply(ts_decay_linear(log(abs(subtract(ts_regression(vec_sum(bid1_4_volume), vec_avg(bid1_4_price), 5), ts_regression(vec_sum(ask1_4_volume), vec_avg(ask1_4_price), 5)))+1), 5), divide(1, 1+ts_std_dev(abs(divide(subtract(latest_closing_price, vec_avg(weighted_avg(ask1_5_price, ask1_5_volume))), latest_closing_price), 3))))
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group_neutralize(rank(multiply(ts_decay_linear(abs(subtract(ts_regression(vec_sum(bid2_5_volume), vec_avg(bid2_5_price), 5), ts_regression(vec_sum(ask2_5_volume), vec_avg(ask2_5_price), 5))), 5), multiply(abs(divide(subtract(last_closing_price, vec_sum(weighted_avg(bid1_5_price, bid1_5_volume))/vec_sum(bid1_5_volume))), last_closing_price), ts_count_nans(volume, 5)))), pca_industry_grouping_method2_5)
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normalize(multiply(ts_decay_linear(sqrt(abs(subtract(ts_regression(bid1_volume, bid1_price, 2), ts_regression(ask1_volume, ask1_price, 2)))), 5), power(abs(divide(subtract(latest_closing_price, vec_sum(weighted_avg(ask1_5_price, ask1_5_volume))/vec_sum(ask1_5_volume))), latest_closing_price), 3)))
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zscore(multiply(ts_decay_linear(power(abs(subtract(ts_regression(bid2_volume, bid2_price, 2), ts_regression(ask2_volume, ask2_price, 2))), 2), 5), abs(divide(subtract(last_closing_price, (vec_sum(bid1_5_price*bid1_5_volume)+vec_sum(ask1_5_price*ask1_5_volume))/(vec_sum(bid1_5_volume)+vec_sum(ask1_5_volume))), last_closing_price)*sign(ts_delta(volume, 1))))
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group_rank(multiply(ts_decay_linear(abs(subtract(ts_regression(bid3_volume, bid3_price, 2), ts_regression(ask3_volume, ask3_price, 2))), 5), inverse(1+ts_quantile(abs(divide(subtract(latest_closing_price, vec_avg(weighted_avg(bid1_5_price, bid1_5_volume))), latest_closing_price)), 5))), top1500_pca_factor2_grouping50)
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group_neutralize(normalize(multiply(ts_decay_linear(log(abs(subtract(ts_regression(bid4_volume, bid4_price, 2), ts_regression(ask4_volume, ask4_price, 2)))+2), 5), multiply(abs(divide(subtract(last_closing_price, vec_avg(weighted_avg(ask1_5_price, ask1_5_volume))), last_closing_price), ts_sum(volume, 3))))), industry_grouping_level50_top2000)
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zscore(winsorize(multiply(ts_decay_linear(signed_power(abs(subtract(ts_regression(bid5_volume, bid5_price, 2), ts_regression(ask5_volume, ask5_price, 2))), 3), 5), ts_zscore(abs(divide(subtract(latest_closing_price, vec_sum(weighted_avg(bid1_5_price, bid1_5_volume))/vec_sum(bid1_5_volume))), latest_closing_price)), 4)), 2)
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rank(multiply(ts_decay_linear(abs(subtract(ts_regression(vec_sum(bid1_5_volume), vec_avg(bid1_5_price), 4), ts_regression(vec_sum(ask1_5_volume), vec_avg(ask1_5_price), 4))), 5), divide(abs(divide(subtract(last_closing_price, vec_sum(weighted_avg(ask1_5_price, ask1_5_volume))/vec_sum(ask1_5_volume))), latest_closing_price), 1+ts_mean(last_closing_price, 3))))
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group_zscore(zscore(multiply(ts_decay_linear(power(abs(subtract(ts_regression(bid1_volume, bid1_price, 6), ts_regression(ask1_volume, ask1_price, 6))), 0.5), 5), abs(divide(subtract(last_closing_price, (vec_sum(bid1_5_price*bid1_5_volume))/vec_sum(bid1_5_volume))), last_closing_price))), resampled_pca_factor_2)
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normalize(multiply(ts_decay_linear(sqrt(abs(subtract(ts_regression(bid2_volume, bid2_price, 6), ts_regression(ask2_volume, ask2_price, 6)))), 5), power(abs(divide(subtract(latest_closing_price, (vec_sum(ask1_5_price*ask1_5_volume))/vec_sum(ask1_5_volume))), latest_closing_price), 1.5)))
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group_neutralize(rank(multiply(ts_decay_linear(log(abs(subtract(ts_regression(bid3_volume, bid3_price, 6), ts_regression(ask3_volume, ask3_price, 6)))+1), 5), inverse(1+abs(subtract(latest_closing_price, (vec_sum(bid1_5_price*bid1_5_volume)+vec_sum(ask1_5_price*ask1_5_volume))/(vec_sum(bid1_5_volume)+vec_sum(ask1_5_volume))))))), top2000_factor4_group10_score)
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zscore(multiply(ts_decay_linear(abs(subtract(ts_regression(bid4_volume, bid4_price, 6), ts_regression(ask4_volume, ask4_price, 6))), 5), multiply(abs(divide(subtract(last_closing_price, vec_avg(weighted_avg(bid1_5_price, bid1_5_volume))), last_closing_price), ts_rank(volume, 3))))
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group_rank(normalize(multiply(ts_decay_linear(signed_power(abs(subtract(ts_regression(bid5_volume, bid5_price, 6), ts_regression(ask5_volume, ask5_price, 6))), 2), 5), ts_std_dev(abs(divide(subtract(latest_closing_price, vec_avg(weighted_avg(ask1_5_price, ask1_5_volume))), latest_closing_price)), 5))), pca_industry_grouping_method4_20)
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winsorize(zscore(multiply(ts_decay_linear(power(abs(subtract(ts_regression(vec_sum(bid2_4_volume), vec_avg(bid2_4_price), 5), ts_regression(vec_sum(ask2_4_volume), vec_avg(ask2_4_price), 5))), 3), 5), abs(divide(subtract(last_closing_price, vec_sum(weighted_avg(bid1_5_price, bid1_5_volume))/vec_sum(bid1_5_volume))), latest_closing_price)*ts_delta(last_closing_price, 2))), 3)
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group_neutralize(zscore(multiply(ts_decay_linear(abs(subtract(ts_regression(vec_sum(bid1_3_volume), vec_avg(bid1_3_price, 4), ts_regression(vec_sum(ask1_3_volume), vec_avg(ask1_3_price), 4))), 5), divide(1, 1+ts_quantile(abs(divide(subtract(latest_closing_price, vec_sum(weighted_avg(ask1_5_price, ask1_5_volume))/vec_sum(ask1_5_volume))), latest_closing_price)), 3)))), pca_industry_grouping_method2_50)
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rank(multiply(ts_decay_linear(log(abs(subtract(ts_regression(vec_sum(bid3_5_volume), vec_avg(bid3_5_price, 3), ts_regression(vec_sum(ask3_5_volume), vec_avg(ask3_5_price, 3)))+2), 5), multiply(abs(divide(subtract(last_closing_price, (vec_sum(bid1_5_price*bid1_5_volume)+vec_sum(ask1_5_price*ask1_5_volume))/(vec_sum(bid1_5_volume)+vec_sum(ask1_5_volume))), last_closing_price), ts_sum(volume, 5)))))
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normalize(multiply(ts_decay_linear(sqrt(abs(subtract(ts_regression(bid1_volume, bid1_price, 1), ts_regression(ask1_volume, ask1_price, 1)))), 5), power(abs(divide(subtract(latest_closing_price, vec_avg(weighted_avg(bid1_5_price, bid1_5_volume))), latest_closing_price), 0.5)))
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group_zscore(rank(multiply(ts_decay_linear(abs(subtract(ts_regression(bid2_volume, bid2_price, 1), ts_regression(ask2_volume, ask2_price, 1))), 5), inverse(1+ts_mean(abs(divide(subtract(last_closing_price, vec_avg(weighted_avg(ask1_5_price, ask1_5_volume))), latest_closing_price)), 5)))), top2000_factor3_group2_score)
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zscore(multiply(ts_decay_linear(signed_power(abs(subtract(ts_regression(bid3_volume, bid3_price, 1), ts_regression(ask3_volume, ask3_price, 1))), 0.5), 5), ts_zscore(abs(divide(subtract(last_closing_price, vec_sum(weighted_avg(bid1_5_price, bid1_5_volume))/vec_sum(bid1_5_volume))), last_closing_price)), 2)))
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group_neutralize(normalize(multiply(ts_decay_linear(power(abs(subtract(ts_regression(bid4_volume, bid4_price, 1), ts_regression(ask4_volume, ask4_price, 1))), 2), 5), multiply(abs(divide(subtract(latest_closing_price, vec_sum(weighted_avg(ask1_5_price, ask1_5_volume))/vec_sum(ask1_5_volume))), latest_closing_price), ts_count_nans(last_closing_price, 3))))), top1500_pca_factor1_grouping10)
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rank(winsorize(multiply(ts_decay_linear(log(abs(subtract(ts_regression(bid5_volume, bid5_price, 1), ts_regression(ask5_volume, ask5_price, 1)))+1), 5), abs(divide(subtract(last_closing_price, (vec_sum(bid1_5_price*bid1_5_volume))/vec_sum(bid1_5_volume))), latest_closing_price)*sign(ts_delta(volume, 2))), 4))
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zscore(multiply(ts_decay_linear(abs(subtract(ts_regression(vec_sum(bid1_2_volume), vec_avg(bid1_2_price, 6), ts_regression(vec_sum(ask1_2_volume), vec_avg(ask1_2_price, 6))), 5), power(abs(divide(subtract(last_closing_price, (vec_sum(ask1_5_price*ask1_5_volume))/vec_sum(ask1_5_volume))), last_closing_price), 3)))
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group_rank(zscore(multiply(ts_decay_linear(sqrt(abs(subtract(ts_regression(vec_sum(bid4_5_volume), vec_avg(bid4_5_price, 4), ts_regression(vec_sum(ask4_5_volume), vec_avg(ask4_5_price, 4))), 5), inverse(1+ts_std_dev(abs(divide(subtract(latest_closing_price, (vec_sum(bid1_5_price*bid1_5_volume)+vec_sum(ask1_5_price*ask1_5_volume))/(vec_sum(bid1_5_volume)+vec_sum(ask1_5_volume))), latest_closing_price)), 2))), top1500_pca_factor2_grouping10)
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group_neutralize(normalize(multiply(ts_decay_linear(signed_power(abs(subtract(ts_regression(bid1_volume, bid1_price, 5), ts_regression(ask1_volume, ask1_price, 5))), 3), 5), multiply(abs(divide(subtract(last_closing_price, vec_avg(weighted_avg(bid1_5_price, bid1_5_volume))), last_closing_price), ts_rank(last_closing_price, 2))))), top2000_factor4_group2_score)
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winsorize(rank(multiply(ts_decay_linear(power(abs(subtract(ts_regression(bid2_volume, bid2_price, 5), ts_regression(ask2_volume, ask2_price, 5))), 1.5), 5), ts_quantile(abs(divide(subtract(latest_closing_price, vec_avg(weighted_avg(ask1_5_price, ask1_5_volume))), latest_closing_price)), 2))), 3)
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zscore(multiply(ts_decay_linear(abs(subtract(ts_regression(vec_sum(bid1_5_volume), vec_avg(bid1_5_price, 6), ts_regression(vec_sum(ask1_5_volume), vec_avg(ask1_5_price, 6))), 5), divide(abs(divide(subtract(last_closing_price, vec_sum(weighted_avg(bid1_5_price, bid1_5_volume))/vec_sum(bid1_5_volume))), latest_closing_price), 1+ts_delta(volume, 5))))
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group_neutralize(zscore(multiply(ts_decay_linear(log(abs(subtract(ts_regression(bid3_volume, bid3_price, 5), ts_regression(ask3_volume, ask3_price, 5)))+2), 5), abs(divide(subtract(latest_closing_price, vec_sum(weighted_avg(ask1_5_price, ask1_5_volume))/vec_sum(ask1_5_volume))), last_closing_price)*ts_mean(last_closing_price, 2)))), resampled_pca_factor_5)
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rank(divide(anl69_best_eps_chg_pct,quarterly_eps_excluding_extraordinary))
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zscore(multiply(anl14_mean_eps_fy1,market_capitalization_latest))
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normalize(add(anl69_eps_best_eeps_cur_yr,anl69_eps_best_eeps_nxt_yr))
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scale(group_mean(anl14_median_eps_fy1,quarterly_cash_per_share,industry_grouping_level2_top1500))
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bucket(rank(divide(anl69_best_eps_median,anl14_numofests_eps_fp1)),range="0,1,0.2")
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vec_avg(array(anl69_eps_best_eps_4wk_chg,anl69_epss_best_eps_gaap_4wk_chg))
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vec_sum(array(quarterly_eps_excl_extraordinary_2,quarterly_eps_incl_extraordinary))
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group_scale(anl14_stddev_eps_fy5,sta2_top500_fact1_c5)
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abs(subtract(anl69_net_best_eeps_cur_yr,anl69_net_best_eeps_nxt_yr))
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log(max(anl14_high_eps_fy1,anl14_low_eps_fy1))
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sqrt(min(quarterly_cash_flow_per_share_2,quarterly_free_cash_flow_per_share_alt))
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power(anl69_best_eps_chg_pct,2)
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inverse(anl14_numofests_epsrep_fp1)
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sign(divide(anl69_eps_best_eps_gaap,quarterly_book_value_per_share_2))
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signed_power(quarterly_return_on_equity_percent,3)
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reduce_avg(anl14_median_epsrep_fp1)
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reduce_max(anl69_eps_best_eps_numest)
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reduce_min(anl14_stddev_epsrep_fy1)
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reduce_sum(quarterly_total_revenue)
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reduce_stddev(anl14_mean_eps_fy3)
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group_backfill(anl69_cps_best_eeps_cur_yr,exchange,30)
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days_from_last_change(anl69_eps_expected_report_dt)
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hump(anl14_actvalue_epsrep_fp0,0.02)
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kth_element(quarterly_ebit_4,60,3)
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last_diff_value(market_capitalization_latest,30)
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trade_when(anl69_best_eps_chg_pct>0,anl69_eps_best_eeps_nxt_yr,nan)
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is_nan(anl14_low_epsrep_fp1)
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not(anl69_eps_best_fperiod_override==0)
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and(anl14_numofests_eps_fp1>5,anl69_best_eps_chg_pct>0)
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or(anl14_stddev_eps_fp1<0.1,anl69_eps_best_eps_lo>0)
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rank(group_zscore(anl69_roa_best_eeps_nxt_yr,top2000_factor1_group20_score))
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zscore(divide(fnd6_newqus_epspiq,quarterly_common_shares_outstanding_quarter_2))
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normalize(multiply(anl14_mean_epsrep_fy2,quarterly_revenue_per_share))
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scale_down(anl69_sales_best_eeps_nxt_yr,0.1)
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vector_neut(anl69_ebit_best_eeps_nxt_yr,industry_grouping_level50_top2000)
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quantile(anl14_median_eps_fp5,driver="uniform")
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reduce_ir(anl69_best_eps_gaap_4wk_dn)
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reduce_kurtosis(anl14_mean_eps_fp3)
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reduce_skewness(anl69_eps_best_eps_gaap_stddev)
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reduce_range(quarterly_operating_margin_percent)
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reduce_percentage(anl14_numofests_eps_fy5,0.7)
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reduce_powersum(anl69_best_eps_chg_pct,3)
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reduce_norm(anl14_stddev_eps_fp2)
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reduce_choose(anl69_epss_best_eeps_nxt_yr,2)
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reduce_count(anl14_numofests_epsrep_fy5,10)
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self_corr(anl69_eps_best_eps_4wk_chg)
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universe_size
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densify(sta2_top3000_fact1_c20)
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to_nan(anl14_low_eps_fy5,value=0)
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rank(divide(fnd31_coreepsp,anl69_pe_best_eeps_cur_yr))
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rank(subtract(ts_mean(anl14_mean_eps_fy3, 20), ts_mean(anl14_median_eps_fy1, 20)))
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group_neutralize(ts_delta(anl69_eps_best_eps, 5), industry_grouping_level2_top1500)
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ts_rank(divide(anl69_eps_best_eps_gaap, anl69_eps_best_eps_4wk_chg), 10)
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subtract(ts_sum(anl14_numofests_eps_fy2, 60), ts_sum(anl14_numofests_epsrep_fp1, 60))
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ts_corr(anl69_best_eps_chg_pct, quarterly_eps_excluding_extraordinary, 30)
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group_zscore(ts_mean(quarterly_operating_margin_percent, 20), industry_grouping_level10_top2000)
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multiply(sign(ts_delta(anl14_stddev_eps_fy5, 5)), ts_rank(quarterly_asset_turnover, 15))
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ts_regression(anl69_sales_best_eeps_nxt_yr, quarterly_total_revenue, 20, 0, 0)
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if_else(ts_mean(anl14_low_eps_fy1, 10) > ts_mean(anl14_high_eps_fy5, 10), ts_std_dev(quarterly_return_on_equity_percent, 20), ts_std_dev(quarterly_return_on_assets_percent, 20))
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subtract(ts_decay_linear(anl69_pe_best_eeps_cur_yr, 10), ts_decay_linear(quarterly_pe_ratio_high_2, 10))
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ts_av_diff(anl69_roe_best_cur_fiscal_year_period, 5)
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divide(ts_product(anl69_dps_best_eeps_cur_yr, 5), ts_product(quarterly_dividend_per_share, 5))
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ts_backfill(anl69_cps_best_eeps_cur_yr, 5, 1, "NAN")
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signed_power(ts_zscore(quarterly_free_cash_flow_2, 30), 0.5)
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ts_count_nans(anl69_epss_best_eps_gaap, 20)
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ts_covariance(quarterly_ebit_value, quarterly_net_income_to_common, 25)
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group_rank(ts_sum(quarterly_total_debt, 40), industry_grouping_level50_top2000)
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abs(ts_delta(anl14_median_epsrep_fp4, 3))
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winsorize(ts_quantile(quarterly_gross_margin_percent, 20, "gaussian"), 3)
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ts_arg_max(anl69_roa_best_eeps_nxt_yr, 15)
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ts_arg_min(anl69_net_best_eeps_nxt_yr, 15)
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add(ts_mean(quarterly_cash_per_share_amt, 30), ts_mean(quarterly_book_value_per_share_2, 30))
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subtract(rank(anl69_eps_best_eps_lo), rank(anl69_eps_best_eps_gaap))
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ts_scale(quarterly_current_assets, 20, 0.01)
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divide(ts_std_dev(quarterly_long_term_debt_to_equity, 40), ts_std_dev(quarterly_total_debt_to_equity_ratio, 40))
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ts_rank(anl69_best_eps_median, 30)
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multiply(ts_corr(anl14_mean_eps_fp2, anl14_mean_epsrep_fp2, 20), ts_corr(quarterly_asset_turnover_2, quarterly_revenue_per_share, 20))
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if_else(ts_min(anl69_eps_best_eps_gaap_stddev, 10) < 0, ts_max(quarterly_operating_margin_percent_2, 10), ts_min(quarterly_operating_margin_percent_3, 10))
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group_neutralize(ts_delta(quarterly_inventory_turnover_ratio, 5), exchange)
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subtract(ts_sum(anl14_numofests_eps_fp4, 50), ts_sum(anl14_numofests_epsrep_fp3, 50))
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ts_regression(anl69_ndebt_best_eeps_cur_yr, quarterly_total_debt_to_assets, 25, 0, 1)
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abs(ts_av_diff(quarterly_quick_ratio_prior, 10))
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divide(ts_product(quarterly_depreciation_expense, 8), ts_product(quarterly_depreciation_expense_2, 8))
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ts_backfill(quarterly_total_liabilities_3, 10, 1, "NAN")
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signed_power(ts_zscore(quarterly_net_loans_change_percent, 35), 0.3)
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ts_count_nans(quarterly_total_share_capital, 15)
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ts_covariance(quarterly_earnings_before_tax_3, quarterly_ebit_4, 20)
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group_rank(ts_sum(quarterly_long_term_debt_3, 30), industry_grouping_level20_top3000_2)
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abs(ts_delta(anl69_cpss_best_eeps_nxt_yr, 4))
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winsorize(ts_quantile(quarterly_return_on_investment_percent, 25, "uniform"), 2.5)
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|
ts_arg_max(quarterly_reinvestment_rate, 12)
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ts_arg_min(quarterly_reinvestment_rate_3, 12)
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|
add(ts_mean(quarterly_cash_flow_per_share_2, 25), ts_mean(quarterly_cash_flow_per_share_3, 25))
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|
subtract(rank(quarterly_price_to_sales_ratio_3), rank(quarterly_price_to_cash_flow_per_share_2))
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|
ts_scale(quarterly_total_assets_db, 15, -0.01)
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divide(ts_std_dev(quarterly_interest_coverage_ratio, 30), ts_std_dev(quarterly_debt_service_to_eps_2, 30))
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|
ts_rank(quarterly_net_income_2, 40)
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multiply(ts_corr(anl69_epss_best_eps, anl69_epss_best_eps_gaap, 15), ts_corr(quarterly_revenue_per_employee_3, quarterly_revenue_per_share_2, 15))
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|
if_else(ts_min(anl69_roe_best_cur_fiscal_qtr_period, 8) > 0, ts_max(quarterly_total_shareholder_equity, 8), ts_min(quarterly_total_liabilities_4, 8))
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|
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|
group_neutralize(ts_delta(quarterly_asset_turnover, 6), industry_grouping_level2_top3000_2)
|
|
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|
subtract(ts_sum(anl14_stddev_eps_fp3, 45), ts_sum(anl14_stddev_epsrep_fy1, 45))
|
|
|
|
ts_regression(anl69_saless_best_eeps_cur_yr, quarterly_sales_best_eeps_nxt_yr, 22, 0, 2)
|
|
|
|
abs(ts_av_diff(quarterly_current_liabilities_2, 12))
|
|
|
|
divide(ts_product(quarterly_cost_of_goods_sold, 7), ts_product(quarterly_cost_of_goods_sold_3, 7))
|
|
|
|
ts_backfill(quarterly_common_equity_value, 9, 1, "NAN")
|
|
|
|
signed_power(ts_zscore(quarterly_free_cash_flow_per_share_prior, 28), 0.4)
|
|
|
|
ts_count_nans(quarterly_total_debt_to_capital_2, 18)
|
|
|
|
ts_covariance(quarterly_return_on_average_assets, quarterly_return_on_investment, 22)
|
|
|
|
group_rank(ts_sum(quarterly_accumulated_depreciation_2, 35), industry_grouping_level50_top2000)
|
|
|
|
abs(ts_delta(anl69_dpss_best_eeps_cur_yr, 6))
|
|
|
|
winsorize(ts_quantile(quarterly_long_term_debt_to_total_capital, 30, "cauchy"), 3.5)
|
|
|
|
ts_arg_max(quarterly_net_loans_2, 18)
|
|
|
|
ts_arg_min(quarterly_net_loans_3, 18) |