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384 lines
34 KiB
384 lines
34 KiB
group_neutralize(ts_zscore(divide(ts_std_dev(returns, 20), group_mean(ts_std_dev(returns, 20), industry)), 20), industry)
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zscore(multiply(ts_rank(divide(daily_volume_percent_shares_out, group_mean(daily_volume_percent_shares_out, industry)), 20), reverse(ts_zscore(pv173_rawratiosbondreturn20deqwt, 20))))
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rank(add(ts_scale(anl14_high_revenue_fy2, 20), reverse(ts_scale(anl14_low_ebit_fy5, 20))))
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group_scale(multiply(ts_av_diff(anl14_high_ebit_fy2, 20), sign(ts_delta(pv173_zscoresbondreturn20deqwt, 5))), industry)
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normalize(multiply(ts_quantile(anl14_low_eps_fy5, 20), inverse(ts_mean(twelve_month_high_price, 20))))
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winsorize(ts_corr(anl14_high_revenue_fp2, pv173_rawratiosmt5yzspreadchg60d, 20), 3)
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ts_decay_linear(group_zscore(divide(anl14_high_ebit_fp4, anl14_low_ntprep_fp4), industry), 20)
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zscore(add(ts_sum(short_term_net_cash_balance, 20), reverse(ts_sum(other_off_balance_liabilities, 20))))
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group_neutralize(multiply(ts_rank(anl14_low_ndebt_fy1, 20), ts_rank(fnd31_devnorthamericaadditionalfactor4_pbdwf, 20)), industry)
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rank(divide(ts_std_dev(anl14_high_ntp_fy1, 20), ts_std_dev(resampled_pca_factor_1, 20)))
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ts_zscore(multiply(group_rank(anl14_high_ntp_fy1, industry), sign(ts_delta(daily_volume_percent_shares_out, 10))), 20)
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normalize(subtract(ts_mean(fnd72_pit_or_cf_q_cf_other_non_cash_adj_less, 20), ts_mean(fnd72_s_pit_or_cf_q_cf_incr_cap_stock, 20)))
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group_scale(add(ts_av_diff(industry_grouping_level2_top1500, 20), ts_av_diff(anl14_low_ntprep_fp4, 20)), industry)
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zscore(multiply(ts_quantile(fnd31_qsg5additionalfactor3_monthly_pcdwf, 20, "uniform"), inverse(ts_mean(anl14_low_ndebt_fy1, 20))))
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ts_regression(anl14_high_ebit_fp4, pv173_zscoresatlas_unit_name, 20, 0, 1)
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group_zscore(subtract(ts_rank(anl14_high_ntp_fy1, 20), ts_rank(anl14_low_eps_fy5, 20)), industry)
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rank(multiply(ts_covariance(returns, pv173_rawratiosbondreturn20deqwt, 20), sign(ts_delta(anl14_high_revenue_fy2, 5))))
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ts_backfill(group_neutralize(divide(anl14_high_nav_fy2, anl14_low_ndebt_fy5), industry), 20)
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normalize(add(ts_product(anl14_high_eps_fp1, 10), ts_product(anl14_low_roe_fy1, 10)))
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zscore(multiply(ts_arg_max(anl14_high_revenue_fy1, 20), ts_arg_min(anl14_low_ebit_fy4, 20)))
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group_neutralize(ts_scale(multiply(anl14_high_revenue_fp1, fnd31_qsg5additionalfactor3_monthly_pcdwf), 20), industry)
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rank(subtract(ts_count_nans(anl14_high_ebit_fy2, 20), ts_count_nans(anl14_low_eps_fy5, 20)))
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ts_zscore(divide(group_mean(anl14_high_ntp_fy1, industry, industry), ts_mean(anl14_high_ntp_fy1, 20)), 20)
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normalize(multiply(signed_power(ts_delta(returns, 5), 2), sign(ts_delta(pv173_zscoresbondreturn20deqwt, 5))))
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group_scale(add(ts_quantile(daily_volume_percent_shares_out, 20), ts_quantile(anl14_low_ndebt_fy1, 20)), industry)
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zscore(ts_corr(anl14_high_ebit_fp4, daily_volume_percent_shares_out, 20))
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ts_decay_linear(subtract(ts_mean(anl14_high_ntp_fy1, 20), group_mean(anl14_high_ntp_fy1, industry, industry)), 20)
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rank(multiply(ts_std_dev(anl14_high_revenue_fy2, 20), inverse(ts_std_dev(anl14_low_ebit_fy5, 20))))
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group_neutralize(ts_av_diff(multiply(anl14_high_eps_fp1, fnd31_devnorthamericaadditionalfactor4_pbdwf), 20), industry)
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normalize(add(ts_rank(anl14_high_revenue_fp1, 20), reverse(ts_rank(anl14_low_ntprep_fp4, 20))))
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zscore(divide(ts_sum(anl14_high_ebit_fy2, 20), ts_sum(anl14_low_eps_fy5, 20)))
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ts_zscore(group_rank(multiply(ts_delay(returns, 5), daily_volume_percent_shares_out), industry), 20)
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group_scale(multiply(ts_arg_min(anl14_high_revenue_fy1, 20), sign(ts_delta(anl14_low_ebit_fy4, 5))), industry)
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rank(subtract(ts_quantile(anl14_high_ebit_fp4, 20), ts_quantile(pv173_rawratiosmt5yzspreadchg60d, 20)))
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normalize(ts_covariance(anl14_high_ntp_fy1, daily_volume_percent_shares_out, 20))
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zscore(multiply(ts_regression(returns, pv173_zscoresbondreturn20deqwt, 20), sign(ts_delta(anl14_high_revenue_fy2, 5))))
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ts_backfill(divide(group_zscore(anl14_high_nav_fy2, industry), ts_mean(anl14_low_ndebt_fy5, 20)), 20)
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group_neutralize(add(ts_product(anl14_high_eps_fp1, 10), reverse(ts_product(anl14_low_roe_fy1, 10))), industry)
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rank(multiply(ts_arg_max(anl14_high_revenue_fy1, 20), inverse(ts_arg_min(anl14_low_ebit_fy4, 20))))
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ts_scale(subtract(group_mean(anl14_high_revenue_fp1, industry, industry), ts_mean(fnd31_qsg5additionalfactor3_monthly_pcdwf, 20)), 20)
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normalize(multiply(ts_count_nans(anl14_high_ebit_fy2, 20), sign(ts_delta(anl14_low_eps_fy5, 5))))
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zscore(group_zscore(add(ts_std_dev(anl14_high_ntp_fy1, 20), ts_std_dev(resampled_pca_factor_1, 20)), industry))
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ts_decay_linear(multiply(signed_power(ts_delta(returns, 5), 2), daily_volume_percent_shares_out), 20)
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group_scale(subtract(ts_quantile(daily_volume_percent_shares_out, 20), ts_quantile(anl14_low_ndebt_fy1, 20)), industry)
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rank(ts_corr(anl14_high_ebit_fp4, pv173_rawratiosmt5yzspreadchg60d, 20))
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normalize(divide(ts_mean(anl14_high_ntp_fy1, 20), group_mean(anl14_high_ntp_fy1, industry, industry)))
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zscore(add(ts_rank(anl14_high_revenue_fy2, 20), reverse(ts_rank(anl14_low_ebit_fy5, 20))))
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ts_zscore(multiply(ts_delay(returns, 5), ts_rank(daily_volume_percent_shares_out, 20)), 20)
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group_neutralize(multiply(ts_arg_min(anl14_high_revenue_fy1, 20), ts_delta(pv173_zscoresbondreturn20deqwt, 5)), industry)
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rank(subtract(ts_sum(anl14_high_ebit_fp4, 20), ts_sum(pv173_rawratiosmt5yzspreadchg60d, 20)))
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normalize(ts_regression(anl14_high_ntp_fy1, daily_volume_percent_shares_out, 20))
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zscore(divide(group_rank(anl14_high_nav_fy2, industry), ts_std_dev(anl14_low_ndebt_fy5, 20)))
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ts_backfill(add(ts_product(anl14_high_eps_fp1, 10), ts_product(anl14_low_roe_fy1, 10)), 20)
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group_neutralize(ts_delta(returns, 20), industry_grouping_level2_top2000)
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group_neutralize(ts_zscore(ts_std_dev(returns, 20), 60), industry_grouping_level2_top2000)
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group_neutralize(ts_zscore(daily_volume_to_shares_outstanding, 60), industry_grouping_level2_top2000)
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group_neutralize(ts_corr(returns, daily_volume_to_shares_outstanding, 20), industry_grouping_level2_top2000)
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group_neutralize(ts_rank(pv37_high_global2, 20), industry_grouping_level2_top2000)
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group_neutralize(ts_rank(pv37_low_global, 20), industry_grouping_level2_top2000)
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group_neutralize(ts_delta(pv37_high_global2h, 5), industry_grouping_level2_top2000)
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group_neutralize(ts_delta(pv37_low_global1h, 5), industry_grouping_level2_top2000)
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group_neutralize(ts_mean(pv37_volume_global, 20), industry_grouping_level2_top2000)
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group_neutralize(ts_std_dev(pv37_volume_global, 20), industry_grouping_level2_top2000)
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group_neutralize(divide(ts_sum(pv37_volume_global, 5), ts_sum(pv37_volume_global, 20)), industry_grouping_level2_top2000)
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group_neutralize(ts_corr(pv37_volume_global, returns, 20), industry_grouping_level2_top2000)
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group_neutralize(ts_regression(returns, pv37_volume_global, 20, 0, 1), industry_grouping_level2_top2000)
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group_neutralize(signed_power(ts_delta(log(pv37_volume_global), 5), 2), industry_grouping_level2_top2000)
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group_neutralize(ts_decay_linear(ts_zscore(pv37_volume_global, 20), 10), industry_grouping_level2_top2000)
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group_neutralize(ts_rank(ts_delta(pv37_volume_global, 3), 20), industry_grouping_level2_top2000)
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group_neutralize(ts_arg_max(pv37_volume_global, 10), industry_grouping_level2_top2000)
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group_neutralize(ts_arg_min(pv37_volume_global, 10), industry_grouping_level2_top2000)
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group_neutralize(ts_av_diff(pv37_volume_global, 20), industry_grouping_level2_top2000)
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group_neutralize(ts_quantile(pv37_volume_global, 20, "gaussian"), industry_grouping_level2_top2000)
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group_neutralize(subtract(ts_max(pv37_volume_global, 5), ts_min(pv37_volume_global, 5)), industry_grouping_level2_top2000)
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group_neutralize(divide(ts_mean(pv37_volume_global, 5), ts_std_dev(pv37_volume_global, 5)), industry_grouping_level2_top2000)
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group_neutralize(ts_backfill(pv37_volume_global, 20, 1, "NAN"), industry_grouping_level2_top2000)
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group_neutralize(ts_count_nans(pv37_volume_global, 20), industry_grouping_level2_top2000)
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group_neutralize(ts_covariance(returns, pv37_volume_global, 20), industry_grouping_level2_top2000)
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group_neutralize(ts_product(ts_zscore(pv37_volume_global, 5), 5), industry_grouping_level2_top2000)
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group_neutralize(ts_sum(if_else(ts_delta(pv37_volume_global, 1) > 0, 1, -1), 10), industry_grouping_level2_top2000)
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group_neutralize(multiply(ts_rank(pv37_volume_global, 20), ts_rank(returns, 20)), industry_grouping_level2_top2000)
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group_neutralize(divide(ts_delay(pv37_volume_global, 5), ts_delay(pv37_volume_global, 10)), industry_grouping_level2_top2000)
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group_neutralize(ts_scale(pv37_volume_global, 20), industry_grouping_level2_top2000)
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group_neutralize(subtract(ts_mean(pv37_volume_global, 5), ts_mean(pv37_volume_global, 20)), industry_grouping_level2_top2000)
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group_neutralize(add(ts_zscore(pv37_volume_global, 20), ts_zscore(returns, 20)), industry_grouping_level2_top2000)
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group_neutralize(sign(ts_delta(pv37_volume_global, 1)), industry_grouping_level2_top2000)
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group_neutralize(ts_sum(divide(ts_delta(pv37_volume_global, 1), ts_delay(pv37_volume_global, 1)), 10), industry_grouping_level2_top2000)
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group_neutralize(abs(ts_delta(log(pv37_volume_global), 5)), industry_grouping_level2_top2000)
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group_neutralize(winsorize(ts_zscore(pv37_volume_global, 20), 3), industry_grouping_level2_top2000)
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group_neutralize(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), industry_grouping_level2_top2000)
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group_neutralize(group_rank(pv37_volume_global, industry_grouping_level2_top2000), industry_grouping_level2_top2000)
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group_neutralize(ts_delta(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 5), industry_grouping_level2_top2000)
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group_neutralize(ts_rank(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20), industry_grouping_level2_top2000)
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group_neutralize(ts_corr(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), returns, 20), industry_grouping_level2_top2000)
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group_neutralize(subtract(ts_mean(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 10), ts_mean(returns, 10)), industry_grouping_level2_top2000)
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group_neutralize(multiply(ts_std_dev(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20), ts_std_dev(returns, 20)), industry_grouping_level2_top2000)
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group_neutralize(divide(ts_sum(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 5), ts_sum(returns, 5)), industry_grouping_level2_top2000)
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group_neutralize(ts_decay_linear(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 10), industry_grouping_level2_top2000)
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group_neutralize(ts_regression(returns, group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20, 0, 0), industry_grouping_level2_top2000)
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group_neutralize(if_else(ts_delta(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 1) > 0, ts_zscore(returns, 20), ts_zscore(returns, 20) * -1), industry_grouping_level2_top2000)
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group_neutralize(signed_power(ts_delta(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 3), 2), industry_grouping_level2_top2000)
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group_neutralize(ts_backfill(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20, 1, "NAN"), industry_grouping_level2_top2000)
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group_neutralize(ts_count_nans(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20), industry_grouping_level2_top2000)
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group_neutralize(ts_covariance(returns, group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20), industry_grouping_level2_top2000)
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group_neutralize(ts_product(ts_zscore(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 5), 5), industry_grouping_level2_top2000)
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group_neutralize(ts_arg_max(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 10), industry_grouping_level2_top2000)
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group_neutralize(ts_arg_min(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 10), industry_grouping_level2_top2000)
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group_neutralize(ts_av_diff(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20), industry_grouping_level2_top2000)
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group_neutralize(ts_quantile(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20, "gaussian"), industry_grouping_level2_top2000)
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subtract(ts_std_dev(returns, 20), group_mean(ts_std_dev(returns, 20), 1, industry_grouping_level2_top2000))
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subtract(ts_zscore(ts_std_dev(returns, 20), 60), group_mean(ts_zscore(ts_std_dev(returns, 20), 60), 1, industry_grouping_level2_top2000))
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subtract(ts_zscore(daily_volume_to_shares_outstanding, 60), group_mean(ts_zscore(daily_volume_to_shares_outstanding, 60), 1, industry_grouping_level2_top2000))
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subtract(ts_corr(returns, daily_volume_to_shares_outstanding, 20), group_mean(ts_corr(returns, daily_volume_to_shares_outstanding, 20), 1, industry_grouping_level2_top2000))
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subtract(ts_rank(pv37_high_global2, 20), group_mean(ts_rank(pv37_high_global2, 20), 1, industry_grouping_level2_top2000))
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subtract(ts_rank(pv37_low_global, 20), group_mean(ts_rank(pv37_low_global, 20), 1, industry_grouping_level2_top2000))
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subtract(ts_delta(pv37_high_global2h, 5), group_mean(ts_delta(pv37_high_global2h, 5), 1, industry_grouping_level2_top2000))
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subtract(ts_delta(pv37_low_global1h, 5), group_mean(ts_delta(pv37_low_global1h, 5), 1, industry_grouping_level2_top2000))
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subtract(ts_mean(pv37_volume_global, 20), group_mean(ts_mean(pv37_volume_global, 20), 1, industry_grouping_level2_top2000))
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subtract(ts_std_dev(pv37_volume_global, 20), group_mean(ts_std_dev(pv37_volume_global, 20), 1, industry_grouping_level2_top2000))
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subtract(divide(ts_sum(pv37_volume_global, 5), ts_sum(pv37_volume_global, 20)), group_mean(divide(ts_sum(pv37_volume_global, 5), ts_sum(pv37_volume_global, 20)), 1, industry_grouping_level2_top2000))
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subtract(ts_corr(pv37_volume_global, returns, 20), group_mean(ts_corr(pv37_volume_global, returns, 20), 1, industry_grouping_level2_top2000))
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subtract(ts_regression(returns, pv37_volume_global, 20, 0, 1), group_mean(ts_regression(returns, pv37_volume_global, 20, 0, 1), 1, industry_grouping_level2_top2000))
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subtract(signed_power(ts_delta(log(pv37_volume_global), 5), 2), group_mean(signed_power(ts_delta(log(pv37_volume_global), 5), 2), 1, industry_grouping_level2_top2000))
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subtract(ts_decay_linear(ts_zscore(pv37_volume_global, 20), 10), group_mean(ts_decay_linear(ts_zscore(pv37_volume_global, 20), 10), 1, industry_grouping_level2_top2000))
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subtract(ts_rank(ts_delta(pv37_volume_global, 3), 20), group_mean(ts_rank(ts_delta(pv37_volume_global, 3), 20), 1, industry_grouping_level2_top2000))
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subtract(ts_arg_max(pv37_volume_global, 10), group_mean(ts_arg_max(pv37_volume_global, 10), 1, industry_grouping_level2_top2000))
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subtract(ts_arg_min(pv37_volume_global, 10), group_mean(ts_arg_min(pv37_volume_global, 10), 1, industry_grouping_level2_top2000))
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subtract(ts_av_diff(pv37_volume_global, 20), group_mean(ts_av_diff(pv37_volume_global, 20), 1, industry_grouping_level2_top2000))
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subtract(ts_quantile(pv37_volume_global, 20, "gaussian"), group_mean(ts_quantile(pv37_volume_global, 20, "gaussian"), 1, industry_grouping_level2_top2000))
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subtract(subtract(ts_max(pv37_volume_global, 5), ts_min(pv37_volume_global, 5)), group_mean(subtract(ts_max(pv37_volume_global, 5), ts_min(pv37_volume_global, 5)), 1, industry_grouping_level2_top2000))
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subtract(divide(ts_mean(pv37_volume_global, 5), ts_std_dev(pv37_volume_global, 5)), group_mean(divide(ts_mean(pv37_volume_global, 5), ts_std_dev(pv37_volume_global, 5)), 1, industry_grouping_level2_top2000))
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subtract(ts_backfill(pv37_volume_global, 20, 1, "NAN"), group_mean(ts_backfill(pv37_volume_global, 20, 1, "NAN"), 1, industry_grouping_level2_top2000))
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subtract(ts_count_nans(pv37_volume_global, 20), group_mean(ts_count_nans(pv37_volume_global, 20), 1, industry_grouping_level2_top2000))
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subtract(ts_covariance(returns, pv37_volume_global, 20), group_mean(ts_covariance(returns, pv37_volume_global, 20), 1, industry_grouping_level2_top2000))
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subtract(ts_product(ts_zscore(pv37_volume_global, 5), 5), group_mean(ts_product(ts_zscore(pv37_volume_global, 5), 5), 1, industry_grouping_level2_top2000))
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subtract(ts_sum(if_else(ts_delta(pv37_volume_global, 1) > 0, 1, -1), 10), group_mean(ts_sum(if_else(ts_delta(pv37_volume_global, 1) > 0, 1, -1), 10), 1, industry_grouping_level2_top2000))
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subtract(multiply(ts_rank(pv37_volume_global, 20), ts_rank(returns, 20)), group_mean(multiply(ts_rank(pv37_volume_global, 20), ts_rank(returns, 20)), 1, industry_grouping_level2_top2000))
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subtract(divide(ts_delay(pv37_volume_global, 5), ts_delay(pv37_volume_global, 10)), group_mean(divide(ts_delay(pv37_volume_global, 5), ts_delay(pv37_volume_global, 10)), 1, industry_grouping_level2_top2000))
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subtract(ts_scale(pv37_volume_global, 20), group_mean(ts_scale(pv37_volume_global, 20), 1, industry_grouping_level2_top2000))
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subtract(subtract(ts_mean(pv37_volume_global, 5), ts_mean(pv37_volume_global, 20)), group_mean(subtract(ts_mean(pv37_volume_global, 5), ts_mean(pv37_volume_global, 20)), 1, industry_grouping_level2_top2000))
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subtract(add(ts_zscore(pv37_volume_global, 20), ts_zscore(returns, 20)), group_mean(add(ts_zscore(pv37_volume_global, 20), ts_zscore(returns, 20)), 1, industry_grouping_level2_top2000))
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subtract(sign(ts_delta(pv37_volume_global, 1)), group_mean(sign(ts_delta(pv37_volume_global, 1)), 1, industry_grouping_level2_top2000))
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subtract(ts_sum(divide(ts_delta(pv37_volume_global, 1), ts_delay(pv37_volume_global, 1)), 10), group_mean(ts_sum(divide(ts_delta(pv37_volume_global, 1), ts_delay(pv37_volume_global, 1)), 10), 1, industry_grouping_level2_top2000))
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subtract(abs(ts_delta(log(pv37_volume_global), 5)), group_mean(abs(ts_delta(log(pv37_volume_global), 5)), 1, industry_grouping_level2_top2000))
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subtract(winsorize(ts_zscore(pv37_volume_global, 20), 3), group_mean(winsorize(ts_zscore(pv37_volume_global, 20), 3), 1, industry_grouping_level2_top2000))
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|
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|
subtract(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), group_mean(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 1, industry_grouping_level2_top2000))
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|
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|
subtract(group_rank(pv37_volume_global, industry_grouping_level2_top2000), group_mean(group_rank(pv37_volume_global, industry_grouping_level2_top2000), 1, industry_grouping_level2_top2000))
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|
|
|
subtract(ts_delta(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 5), group_mean(ts_delta(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 5), 1, industry_grouping_level2_top2000))
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|
|
|
subtract(ts_rank(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20), group_mean(ts_rank(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20), 1, industry_grouping_level2_top2000))
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|
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|
subtract(ts_corr(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), returns, 20), group_mean(ts_corr(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), returns, 20), 1, industry_grouping_level2_top2000))
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|
|
|
subtract(subtract(ts_mean(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 10), ts_mean(returns, 10)), group_mean(subtract(ts_mean(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 10), ts_mean(returns, 10)), 1, industry_grouping_level2_top2000))
|
|
|
|
subtract(multiply(ts_std_dev(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20), ts_std_dev(returns, 20)), group_mean(multiply(ts_std_dev(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20), ts_std_dev(returns, 20)), 1, industry_grouping_level2_top2000))
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|
|
|
subtract(divide(ts_sum(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 5), ts_sum(returns, 5)), group_mean(divide(ts_sum(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 5), ts_sum(returns, 5)), 1, industry_grouping_level2_top2000))
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|
|
|
subtract(ts_decay_linear(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 10), group_mean(ts_decay_linear(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 10), 1, industry_grouping_level2_top2000))
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|
|
|
subtract(ts_regression(returns, group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20, 0, 0), group_mean(ts_regression(returns, group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20, 0, 0), 1, industry_grouping_level2_top2000))
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|
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|
subtract(if_else(ts_delta(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 1) > 0, ts_zscore(returns, 20), ts_zscore(returns, 20) * -1), group_mean(if_else(ts_delta(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 1) > 0, ts_zscore(returns, 20), ts_zscore(returns, 20) * -1), 1, industry_grouping_level2_top2000))
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|
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subtract(signed_power(ts_delta(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 3), 2), group_mean(signed_power(ts_delta(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 3), 2), 1, industry_grouping_level2_top2000))
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|
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|
subtract(ts_backfill(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20, 1, "NAN"), group_mean(ts_backfill(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20, 1, "NAN"), 1, industry_grouping_level2_top2000))
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|
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|
subtract(ts_count_nans(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20), group_mean(ts_count_nans(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20), 1, industry_grouping_level2_top2000))
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|
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subtract(ts_covariance(returns, group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20), group_mean(ts_covariance(returns, group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20), 1, industry_grouping_level2_top2000))
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|
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subtract(ts_product(ts_zscore(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 5), 5), group_mean(ts_product(ts_zscore(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 5), 5), 1, industry_grouping_level2_top2000))
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|
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subtract(ts_arg_max(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 10), group_mean(ts_arg_max(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 10), 1, industry_grouping_level2_top2000))
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|
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subtract(ts_arg_min(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 10), group_mean(ts_arg_min(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 10), 1, industry_grouping_level2_top2000))
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|
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|
subtract(ts_av_diff(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20), group_mean(ts_av_diff(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20), 1, industry_grouping_level2_top2000))
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|
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|
subtract(ts_quantile(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20, "gaussian"), group_mean(ts_quantile(group_zscore(pv37_volume_global, industry_grouping_level2_top2000), 20, "gaussian"), 1, industry_grouping_level2_top2000))
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sign(subtract(ts_sum(fnd72_pit_or_cf_a_cf_net_inc, 250), ts_sum(fnd72_pit_or_is_a_is_net_inc_avail_com_shrhldrs, 250)))
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rank(ts_corr(ts_delta(fnd72_pit_or_bs_q_bs_accrued_income_taxes, 60), ts_delta(fnd72_pit_or_is_q_is_tot_cash_com_dvd, 60), 250))
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subtract(rank(ts_mean(fnd72_pit_or_cf_q_cf_cash_from_oper, 20)), rank(ts_mean(fnd72_pit_or_cf_q_cf_other_fnc_act, 20)))
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|
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ts_decay_linear(rank(subtract(ts_sum(fnd72_pit_or_bs_q_bs_other_cur_asset, 60), ts_sum(fnd72_pit_or_bs_q_bs_other_cur_liab, 60))), 5)
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multiply(sign(ts_delta(fnd72_pit_or_is_q_net_income, 10)), ts_rank(fnd72_pit_or_is_q_is_invest_income, 30))
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ts_zscore(ts_sum(subtract(fnd72_pit_or_is_q_is_abnormal_item, fnd72_pit_or_is_q_is_net_non_oper_loss), 60))
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|
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|
rank(ts_covariance(ts_mean(fnd72_pit_or_bs_q_bs_future_min_oper_lease_oblig, 30), ts_mean(fnd72_pit_or_is_q_is_eqy_earn_from_invest_assoc, 30), 60))
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|
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subtract(ts_rank(fnd72_pit_or_cf_a_cf_cash_from_fnc_act, 20), ts_rank(fnd72_pit_or_cf_a_cf_other_fnc_act, 20))
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|
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|
ts_scale(ts_sum(subtract(fnd72_pit_or_bs_q_bs_total_avail_line_of_credit, fnd72_pit_or_bs_q_bs_options_outstanding), 20))
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|
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multiply(rank(ts_delta(fnd72_s_pit_or_is_q_is_invest_income, 5)), ts_rank(fnd72_s_pit_or_is_q_net_income, 10))
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|
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|
ts_arg_max(ts_sum(fnd72_s_pit_or_bs_q_bs_accrued_income_taxes, 30), 60)
|
|
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|
ts_arg_min(ts_sum(fnd72_s_pit_or_bs_q_bs_future_min_oper_lease_oblig, 30), 60)
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|
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|
rank(ts_corr(ts_mean(fnd72_s_pit_or_cf_q_cf_cash_from_oper, 20), ts_mean(fnd72_s_pit_or_cf_q_cf_other_non_cash_adjust, 20), 50))
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|
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|
subtract(ts_rank(fnd72_s_pit_or_bs_q_bs_sh_cap_and_apic, 30), ts_rank(fnd72_s_pit_or_bs_q_bs_total_avail_line_of_credit, 30))
|
|
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|
ts_decay_linear(rank(ts_delta(fnd72_s_pit_or_is_q_is_net_non_oper_loss, 10)), 5)
|
|
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|
multiply(sign(ts_sum(fnd31_devnorthamericaadditionalfactor4_apg, 20)), ts_rank(fnd31_devnorthamericaadditionalfactor4_mpg, 30))
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|
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|
ts_zscore(ts_sum(subtract(fnd31_devnorthamericaadditionalfactor4_pbdwf, fnd31_devnorthamericaadditionalfactor4_pcwt), 60))
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|
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|
rank(ts_covariance(ts_mean(fnd31_devnorthamericaadditionalfactor4_rev6fy2, 30), ts_mean(fnd31_devnorthamericaadditionalfactor4_tw_ebitdaev, 30), 60))
|
|
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|
subtract(ts_rank(fnd31_devnorthamericaadditionalfactor4_y5speq4vc, 20), ts_rank(fnd31_devnorthamericaadditionalfactor4_divgp, 20))
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|
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|
ts_scale(ts_sum(subtract(fnd31_qsg5additionalfactor3_monthly_earningstorpedo, fnd31_qsg5additionalfactor3_monthly_pcdwf), 20))
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|
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|
multiply(rank(ts_delta(fnd31_qsg5additionalfactor3_monthly_fwdebitdaev, 5)), ts_rank(fnd31_qsg5additionalfactor3_monthly_pbwt, 10))
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|
|
|
ts_arg_max(ts_sum(fnd31_qsg5additionalfactor3_monthly_rev6fy2, 30), 60)
|
|
|
|
ts_arg_min(ts_sum(fnd31_qsg5additionalfactor3_monthly_tw_ebitdaev, 30), 60)
|
|
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|
rank(ts_corr(ts_mean(fnd31_qsg5additionalfactor3_monthly_y5speq4rqsr, 20), ts_mean(fnd31_qsg5additionalfactor3_monthly_yoychgroepct, 20), 50))
|
|
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|
subtract(ts_rank(fnd31_qsg5additionalfactor3_monthly_mpgghcy3, 30), ts_rank(fnd31_qsg5additionalfactor3_monthly_numrevy2, 30))
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|
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|
ts_decay_linear(rank(ts_delta(fnd44_perc_accruals, 10)), 5)
|
|
|
|
multiply(sign(ts_sum(fnd44_probability_restatement, 20)), ts_rank(fnd44_working_capital_accruals, 30))
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|
|
|
ts_zscore(ts_sum(subtract(quarterly_net_income_3, quarterly_total_revenue_3), 60))
|
|
|
|
rank(ts_covariance(ts_mean(quarterly_cash_flow_per_share_2, 30), ts_mean(quarterly_free_cash_flow_per_share_2, 30), 60))
|
|
|
|
subtract(ts_rank(quarterly_long_term_debt_to_equity_ratio, 20), ts_rank(quarterly_total_debt_to_equity_2, 20))
|
|
|
|
ts_scale(ts_sum(subtract(quarterly_total_assets_change_yoy, quarterly_total_liabilities_5), 20))
|
|
|
|
multiply(rank(ts_delta(quarterly_pe_ratio_high, 5)), ts_rank(quarterly_price_to_sales_ratio_3, 10))
|
|
|
|
ts_arg_max(ts_sum(quarterly_quick_ratio_2, 30), 60)
|
|
|
|
ts_arg_min(ts_sum(quarterly_receivables_turnover_2, 30), 60)
|
|
|
|
rank(ts_corr(ts_mean(quarterly_sga_to_sales_ratio, 20), ts_mean(quarterly_working_capital_per_share_to_price_2, 20), 50))
|
|
|
|
subtract(ts_rank(quarterly_book_value_per_share_5, 30), ts_rank(quarterly_tangible_book_value_per_share_3, 30))
|
|
|
|
ts_decay_linear(rank(ts_delta(annual_net_income_incl_extraordinary, 10)), 5)
|
|
|
|
multiply(sign(ts_sum(annual_total_revenue, 20)), ts_rank(annual_debt_to_total_capital, 30))
|
|
|
|
ts_zscore(ts_sum(subtract(book_value_per_share_quarterly, cash_per_share), 60))
|
|
|
|
rank(ts_covariance(ts_mean(net_income_available_to_common_incl_extraordinary_annual, 30), ts_mean(normalized_net_income_annual, 30), 60))
|
|
|
|
subtract(ts_rank(operating_income_2, 20), ts_rank(sales_revenue_total, 20))
|
|
|
|
ts_scale(ts_sum(subtract(total_current_assets_4, long_term_debt_total), 20))
|
|
|
|
multiply(rank(ts_delta(accounts_receivable_current_assets, 5)), ts_rank(accounts_total_current_assets, 10))
|
|
|
|
ts_arg_max(ts_sum(short_term_debt_issued, 30), 60)
|
|
|
|
ts_arg_min(ts_sum(long_term_secured_debt, 30), 60)
|
|
|
|
rank(ts_corr(ts_mean(investment_contracts_total, 20), ts_mean(value_investment_assets_total, 20), 50))
|
|
|
|
subtract(ts_rank(share_based_awards, 30), ts_rank(share_based_deferred_tax, 30))
|
|
|
|
ts_decay_linear(rank(ts_delta(share_capital_ordinary_quarterly, 10)), 5)
|
|
|
|
multiply(sign(ts_sum(shareholders_other_equity_2, 20)), ts_rank(short_term_bank_debt_amount, 30))
|
|
|
|
ts_zscore(ts_sum(subtract(short_term_loans_debt, short_term_payables_other), 60))
|
|
|
|
rank(ts_covariance(ts_mean(long_term_liabilities_total_3, 30), ts_mean(long_term_minority_interest, 30), 60))
|
|
|
|
subtract(ts_rank(long_term_trade_debt, 20), ts_rank(long_term_other_current_liabilities, 20))
|
|
|
|
ts_scale(ts_sum(subtract(voting_common_shares_total, voting_investment_total), 20))
|
|
|
|
multiply(rank(ts_delta(fnd17_arev, 5)), ts_rank(fnd17_arevps, 10))
|
|
|
|
ts_arg_max(ts_sum(fnd17_apayratio, 30), 60)
|
|
|
|
ts_arg_min(ts_sum(fnd17_qcurratio2, 30), 60)
|
|
|
|
rank(divide(fnd72_pit_or_cf_q_cf_cash_from_oper, fnd72_pit_or_is_q_net_income))
|
|
rank(subtract(1, divide(fnd44_perc_accruals, ts_mean(fnd72_pit_or_is_q_net_income, 12))))
|
|
zscore(multiply(divide(quarterly_cash_flow_per_share_nonannualized, net_income_quarterly_4), inverse(ts_std_dev(normalized_net_income, 24))))
|
|
normalize(add(divide(fnd72_pit_or_cf_a_cf_cash_from_fnc_act, fnd72_pit_or_is_a_is_net_inc_avail_com_shrhldrs), inverse(ts_rank(fnd44_working_capital_accruals, 6))))
|
|
rank(multiply(divide(quarterly_free_cash_flow_per_share, book_value_per_share_quarterly), sign(subtract(ts_mean(quarterly_asset_turnover, 12), ts_mean(quarterly_asset_turnover, 24)))))
|
|
zscore(divide(fnd72_pit_or_cf_q_cf_cash_from_oper, add(fnd72_pit_or_is_q_net_income, abs(fnd44_perc_accruals))))
|
|
rank(subtract(divide(quarterly_cash_per_share_3, net_income_available_to_common_incl_extraordinary_annual), fnd44_probability_restatement))
|
|
normalize(multiply(inverse(ts_std_dev(quarterly_net_income_3, 18)), divide(quarterly_free_cash_flow, quarterly_total_revenue_3)))
|
|
zscore(add(divide(fnd72_s_pit_or_cf_q_cf_cash_from_oper, fnd72_s_pit_or_is_q_net_income), inverse(fnd44_perc_accruals)))
|
|
rank(multiply(divide(quarterly_cash_flow_per_share_2, quarterly_earnings_before_tax_5), inverse(ts_std_dev(quarterly_operating_margin_percent, 12))))
|
|
normalize(subtract(1, divide(fnd44_perc_accruals, ts_mean(fnd72_pit_or_is_a_is_net_inc_avail_com_shrhldrs, 36))))
|
|
zscore(divide(quarterly_free_cash_flow_per_share_non_annualized_2, multiply(net_income_annual, ts_rank(fnd44_working_capital_accruals, 12))))
|
|
rank(add(divide(fnd72_pit_or_cf_a_cf_net_inc, fnd72_pit_or_is_a_is_net_interest_expense), inverse(ts_std_dev(quarterly_net_income_available_to_common_2, 24))))
|
|
normalize(multiply(divide(quarterly_cash_flow_per_share_alt, normalized_net_income_available_to_common_annual), sign(ts_delta(quarterly_asset_turnover, 6))))
|
|
zscore(subtract(divide(quarterly_free_cash_flow_per_share_alt_2, net_income_after_tax_2), multiply(fnd44_probability_restatement, 0.1)))
|
|
rank(divide(add(fnd72_pit_or_cf_q_cf_cash_from_oper, fnd72_pit_or_cf_a_cf_cash_from_fnc_act), add(fnd72_pit_or_is_q_net_income, abs(fnd44_perc_accruals))))
|
|
normalize(multiply(inverse(ts_std_dev(quarterly_operating_margin_percent, 18)), divide(quarterly_cash, net_income_current_period)))
|
|
zscore(add(divide(quarterly_cash_flow_per_share_non_annualized, book_value_per_share_quarterly), inverse(ts_rank(fnd44_perc_accruals, 24))))
|
|
rank(subtract(divide(quarterly_free_cash_flow_per_share, quarterly_pe_ratio_high), fnd44_probability_restatement))
|
|
normalize(divide(fnd72_s_pit_or_cf_q_cf_cash_from_oper, multiply(fnd72_s_pit_or_is_q_net_income, ts_std_dev(normalized_net_income_annual, 12))))
|
|
zscore(multiply(divide(quarterly_cash_per_share_value, net_income_quarterly_4), inverse(ts_std_dev(quarterly_receivables_turnover_2, 24))))
|
|
rank(add(divide(quarterly_free_cash_flow, quarterly_total_assets_change_percent), inverse(fnd44_working_capital_accruals)))
|
|
normalize(subtract(divide(fnd72_pit_or_cf_a_cf_cash_from_fnc_act, fnd72_pit_or_is_a_is_net_inc_avail_com_shrhldrs), ts_rank(fnd44_perc_accruals, 6)))
|
|
zscore(divide(quarterly_cash_flow_per_share_alt_2, add(net_income_available_to_common_incl_extraordinary_annual, abs(fnd44_perc_accruals))))
|
|
rank(multiply(divide(quarterly_free_cash_flow_per_share_non_annualized, quarterly_book_value_per_share_5), sign(ts_delta(quarterly_asset_turnover, 12))))
|
|
normalize(add(divide(fnd72_pit_or_cf_q_cf_net_inc, fnd72_pit_or_is_q_net_income), inverse(ts_std_dev(quarterly_net_income_3, 36))))
|
|
zscore(subtract(1, divide(fnd44_perc_accruals, ts_mean(quarterly_net_income_available_to_common_2, 24))))
|
|
rank(divide(multiply(quarterly_cash_flow_per_share_2, quarterly_asset_turnover), add(net_income_annual, fnd44_probability_restatement)))
|
|
normalize(multiply(inverse(ts_std_dev(quarterly_operating_margin_percent, 6)), divide(quarterly_free_cash_flow_per_share, quarterly_total_revenue_3)))
|
|
zscore(add(divide(fnd72_s_pit_or_cf_q_cf_cash_from_oper, fnd72_s_pit_or_is_q_net_income), inverse(ts_rank(fnd44_working_capital_accruals, 18))))
|
|
rank(subtract(divide(quarterly_cash_per_share_3, normalized_net_income), fnd44_perc_accruals))
|
|
normalize(divide(quarterly_free_cash_flow_per_share_alt_2, multiply(net_income_after_tax_2, ts_std_dev(quarterly_net_income_3, 12))))
|
|
zscore(multiply(divide(quarterly_cash_flow_per_share_non_annualized_prior, quarterly_earnings_before_tax), inverse(ts_std_dev(quarterly_operating_margin_percent, 36))))
|
|
rank(add(divide(fnd72_pit_or_cf_a_cf_cash_from_fnc_act, fnd72_pit_or_is_a_is_net_interest_expense), inverse(fnd44_probability_restatement)))
|
|
normalize(subtract(divide(quarterly_cash_flow_per_share, net_income_quarterly_4), ts_rank(fnd44_perc_accruals, 24)))
|
|
zscore(divide(quarterly_free_cash_flow, add(fnd72_pit_or_is_q_net_income, abs(fnd44_working_capital_accruals))))
|
|
rank(multiply(divide(quarterly_cash_per_share_value, book_value_per_share_quarterly), sign(ts_delta(quarterly_receivables_turnover_2, 6))))
|
|
normalize(add(inverse(ts_std_dev(normalized_net_income_available_to_common_annual, 18)), divide(quarterly_free_cash_flow_per_share_non_annualized, net_income_annual)))
|
|
zscore(subtract(1, divide(fnd44_perc_accruals, ts_mean(quarterly_net_income_available_to_common_2, 12))))
|
|
rank(divide(add(quarterly_cash_flow_per_share_alt, fnd72_pit_or_cf_q_cf_cash_from_oper), add(net_income_current_period, abs(fnd44_perc_accruals))))
|
|
normalize(multiply(divide(quarterly_free_cash_flow_per_share, quarterly_pe_ratio_maximum), inverse(ts_std_dev(quarterly_asset_turnover, 24))))
|
|
zscore(add(divide(fnd72_pit_or_cf_a_cf_net_inc, fnd72_pit_or_is_a_is_net_inc_avail_com_shrhldrs), inverse(ts_rank(fnd44_working_capital_accruals, 36))))
|
|
rank(subtract(divide(quarterly_cash_per_share_3, quarterly_book_value_per_share_2), multiply(fnd44_probability_restatement, 0.05)))
|
|
normalize(divide(quarterly_cash_flow_per_share_non_annualized, multiply(net_income_available_to_common_incl_extraordinary_annual, ts_std_dev(quarterly_operating_margin_percent, 6))))
|
|
zscore(multiply(divide(quarterly_free_cash_flow_per_share_alt_2, quarterly_earnings_before_tax_5), sign(subtract(ts_mean(quarterly_receivables_turnover_2, 12), ts_mean(quarterly_receivables_turnover_2, 24)))))
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|
rank(add(divide(fnd72_s_pit_or_cf_q_cf_cash_from_oper, fnd72_s_pit_or_is_q_net_income), inverse(fnd44_perc_accruals)))
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normalize(subtract(divide(quarterly_free_cash_flow, quarterly_total_revenue_3), ts_rank(fnd44_probability_restatement, 12)))
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zscore(divide(quarterly_cash_flow_per_share_2, add(normalized_net_income, abs(fnd44_working_capital_accruals))))
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rank(multiply(inverse(ts_std_dev(quarterly_net_income_3, 24)), divide(quarterly_cash, net_income_annual)))
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normalize(add(divide(quarterly_cash_flow_per_share_alt, book_value_per_share_quarterly), inverse(ts_rank(fnd44_perc_accruals, 18))))
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zscore(subtract(1, divide(fnd44_working_capital_accruals, ts_mean(fnd72_pit_or_is_a_is_net_inc_avail_com_shrhldrs, 24)))) |