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211 lines
6.3 KiB
211 lines
6.3 KiB
multiply(ts_corr(ts_delay(group_mean(returns, 1, industry), 1), group_mean(returns, 1, industry), 20), ts_delta(close, 10))
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group_neutralize(multiply(ts_rank(ts_delta(close, 20), 60), bucket(rank(volume), range="0,3,0.4")), industry)
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if_else(ts_std_dev(returns, 20) > 0.02, ts_delta(close, 5), ts_delta(close, 20))
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multiply(reverse(ts_rank(divide(volume, ts_mean(volume, 20)), 10)), 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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ts_corr(ts_delay(ts_delta(close, 5), 1), ts_delta(close, 5), 10)
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group_zscore(ts_delta(close, 20), industry)
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multiply(ts_std_dev(returns, 60), ts_rank(ts_delta(close, 20), 60))
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ts_regression(ts_delta(close, 20), ts_step(1), 30, 0, 1)
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group_rank(ts_delta(close, 20), industry)
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ts_decay_linear(ts_delta(close, 20), 30)
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multiply(ts_zscore(volume, 20), ts_delta(close, 20))
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group_scale(ts_rank(ts_delta(close, 20), 60), industry)
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ts_av_diff(ts_delta(close, 20), 60)
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if_else(ts_rank(ts_std_dev(returns, 60), 120) > 0.7, ts_delta(close, 5), ts_delta(close, 20))
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ts_corr(group_mean(ts_delta(close, 10), 1, industry), group_mean(ts_delta(close, 10), 1, industry), 30)
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ts_mean(ts_delta(close, 20), 20)
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ts_scale(ts_delta(close, 20), 20)
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ts_quantile(ts_delta(close, 20), 60)
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winsorize(ts_delta(close, 20), std=4)
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hump(ts_delta(close, 20), hump=0.01)
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ts_count_nans(ts_delta(close, 20), 60)
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ts_backfill(ts_delta(close, 20), lookback=30, k=1)
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ts_product(ts_delta(close, 20), 20)
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ts_sum(ts_delta(close, 20), 20)
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ts_arg_max(ts_delta(close, 20), 60)
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ts_arg_min(ts_delta(close, 20), 60)
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ts_covariance(ts_delta(close, 20), ts_delta(close, 20), 30)
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ts_decay_linear(ts_zscore(volume, 20), 30)
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group_backfill(ts_delta(close, 20), industry, 30, std=4.0)
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ts_rank(ts_zscore(volume, 20), 60)
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normalize(ts_delta(close, 20), useStd=true, limit=0.0)
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quantile(ts_delta(close, 20), driver="gaussian", sigma=1.0)
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rank(ts_delta(close, 20), rate=2)
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scale(ts_delta(close, 20), scale=1, longscale=1, shortscale=1)
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zscore(ts_delta(close, 20))
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vec_avg(ts_delta(close, 20))
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vec_sum(ts_delta(close, 20))
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bucket(rank(ts_delta(close, 20)), range="0,3,0.4")
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trade_when(ts_delta(close, 20), ts_std_dev(returns, 20) > 0.02, ts_delta(close, 5))
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multiply(ts_corr(ts_delay(ts_delta(close, 5), 1), ts_delta(close, 5), 10), ts_delta(close, 20))
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group_mean(ts_delta(close, 20), 1, industry)
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group_neutralize(ts_delta(close, 20), industry)
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group_rank(ts_delta(close, 20), industry)
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group_scale(ts_delta(close, 20), industry)
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group_zscore(ts_delta(close, 20), industry)
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ts_regression(ts_delta(close, 20), ts_step(1), 30, 0, 1)
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ts_std_dev(ts_delta(close, 20), 20)
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ts_mean(ts_delta(close, 20), 20)
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ts_sum(ts_delta(close, 20), 20)
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ts_product(ts_delta(close, 20), 20)
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ts_corr(ts_delta(close, 20), ts_delta(close, 20), 30)
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ts_covariance(ts_delta(close, 20), ts_delta(close, 20), 30)
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ts_decay_linear(ts_delta(close, 20), 30)
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ts_delay(ts_delta(close, 20), 1)
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ts_delta(ts_delta(close, 5), 5)
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ts_av_diff(ts_delta(close, 20), 60)
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ts_scale(ts_delta(close, 20), 20)
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ts_quantile(ts_delta(close, 20), 60)
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ts_rank(ts_delta(close, 20), 60)
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ts_zscore(ts_delta(close, 20), 20)
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winsorize(ts_delta(close, 20), std=4)
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hump(ts_delta(close, 20), hump=0.01)
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ts_backfill(ts_delta(close, 20), lookback=30, k=1)
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ts_count_nans(ts_delta(close, 20), 60)
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ts_arg_max(ts_delta(close, 20), 60)
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ts_arg_min(ts_delta(close, 20), 60)
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ts_regression(ts_delta(close, 20), ts_step(1), 30, 0, 1)
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group_mean(ts_regression(close, ts_step(1), 30, 0, 1), 1, industry)
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group_neutralize(ts_regression(close, ts_step(1), 30, 0, 1), industry)
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group_rank(ts_regression(close, ts_step(1), 30, 0, 1), industry)
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group_scale(ts_regression(close, ts_step(1), 30, 0, 1), industry)
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group_zscore(ts_regression(close, ts_step(1), 30, 0, 1), industry)
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ts_corr(ts_delay(group_mean(ts_regression(close, ts_step(1), 30, 0, 1), 1, industry), 1), group_mean(ts_regression(close, ts_step(1), 30, 0, 1), 1, industry), 20)
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multiply(ts_corr(ts_delay(group_mean(ts_regression(close, ts_step(1), 30, 0, 1), 1, industry), 1), group_mean(ts_regression(close, ts_step(1), 30, 0, 1), 1, industry), 20), ts_regression(close, ts_step(1), 30, 0, 1))
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if_else(ts_std_dev(returns, 20) > 0.02, ts_regression(close, ts_step(1), 10, 0, 1), ts_regression(close, ts_step(1), 30, 0, 1))
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multiply(reverse(ts_rank(divide(volume, ts_mean(volume, 20)), 10)), ts_regression(close, ts_step(1), 30, 0, 1))
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ts_mean(ts_regression(close, ts_step(1), 30, 0, 1), 20)
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ts_sum(ts_regression(close, ts_step(1), 30, 0, 1), 20)
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ts_product(ts_regression(close, ts_step(1), 30, 0, 1), 20)
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ts_std_dev(ts_regression(close, ts_step(1), 30, 0, 1), 20)
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ts_zscore(ts_regression(close, ts_step(1), 30, 0, 1), 20)
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ts_rank(ts_regression(close, ts_step(1), 30, 0, 1), 60)
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ts_scale(ts_regression(close, ts_step(1), 30, 0, 1), 20)
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ts_quantile(ts_regression(close, ts_step(1), 30, 0, 1), 60)
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ts_corr(ts_regression(close, ts_step(1), 30, 0, 1), ts_regression(close, ts_step(1), 30, 0, 1), 30)
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ts_covariance(ts_regression(close, ts_step(1), 30, 0, 1), ts_regression(close, ts_step(1), 30, 0, 1), 30)
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ts_decay_linear(ts_regression(close, ts_step(1), 30, 0, 1), 30)
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ts_delay(ts_regression(close, ts_step(1), 30, 0, 1), 1)
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ts_delta(ts_regression(close, ts_step(1), 30, 0, 1), 5)
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ts_av_diff(ts_regression(close, ts_step(1), 30, 0, 1), 60)
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ts_backfill(ts_regression(close, ts_step(1), 30, 0, 1), lookback=30, k=1)
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ts_count_nans(ts_regression(close, ts_step(1), 30, 0, 1), 60)
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ts_arg_max(ts_regression(close, ts_step(1), 30, 0, 1), 60)
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ts_arg_min(ts_regression(close, ts_step(1), 30, 0, 1), 60)
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winsorize(ts_regression(close, ts_step(1), 30, 0, 1), std=4)
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hump(ts_regression(close, ts_step(1), 30, 0, 1), hump=0.01)
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normalize(ts_regression(close, ts_step(1), 30, 0, 1), useStd=true, limit=0.0)
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quantile(ts_regression(close, ts_step(1), 30, 0, 1), driver="gaussian", sigma=1.0)
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rank(ts_regression(close, ts_step(1), 30, 0, 1), rate=2)
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scale(ts_regression(close, ts_step(1), 30, 0, 1), scale=1, longscale=1, shortscale=1)
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zscore(ts_regression(close, ts_step(1), 30, 0, 1))
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vec_avg(ts_regression(close, ts_step(1), 30, 0, 1))
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vec_sum(ts_regression(close, ts_step(1), 30, 0, 1))
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bucket(rank(ts_regression(close, ts_step(1), 30, 0, 1)), range="0,3,0.4")
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trade_when(ts_regression(close, ts_step(1), 30, 0, 1), ts_std_dev(returns, 20) > 0.02, ts_regression(close, ts_step(1), 10, 0, 1)) |