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46 lines
3.1 KiB
46 lines
3.1 KiB
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group_neutralize(multiply(ts_corr(ts_delta(close, 10), ts_delta(close, 60), 30), ts_zscore(volume, 20)), sector)
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multiply(if_else(ts_rank(divide(volume, ts_mean(volume, 20)), 60) > 0.8, ts_delta(close, 5), divide(ts_delta(close, 10), ts_mean(abs(returns), 10))), group_rank(ts_corr(group_mean(returns, 1, industry), returns, 20), sector))
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multiply(ts_rank(divide(volume, ts_mean(volume, 20)), 30), group_neutralize(ts_corr(ts_delay(group_mean(returns, 1, industry), 3), returns, 20), industry))
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multiply(ts_rank(ts_std_dev(returns, 20), 60), if_else(ts_corr(ts_mean(close, 5), ts_mean(close, 60), 30) > 0.7, ts_delta(close, 10), reverse(ts_delta(close, 10))))
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multiply(group_neutralize(divide(ts_delta(close, 10), ts_std_dev(returns, 20)), industry), ts_rank(ts_zscore(volume, 20), 60))
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if_else(ts_rank(ts_mean(divide(volume, ts_mean(volume, 20)), 30), 120) > 0.7, ts_corr(ts_delay(group_mean(returns, 1, sector), 2), returns, 20), reverse(ts_delta(close, 20)))
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group_neutralize(multiply(ts_regression(close, ts_step(1), 30, 0, 1), divide(volume, ts_mean(volume, 60))), subindustry)
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multiply(ts_rank(ts_corr(close, ts_mean(close, 60), 20), 60), divide(group_neutralize(ts_delta(close, 20), industry), ts_std_dev(returns, 20)))
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multiply(if_else(rank(volume) > 0.7, group_mean(ts_delta(close, 10), 1, bucket(rank(volume), range="0,3,0.4")), ts_delta(close, 5)), ts_zscore(volume, 30))
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multiply(group_neutralize(ts_corr(ts_delta(close, 20), ts_delay(group_mean(returns, 1, industry), 1), 30), industry), ts_rank(divide(volume, ts_mean(volume, 10)), 60))
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if_else(ts_rank(ts_std_dev(returns, 20), 120) > 0.8, ts_rank(ts_delta(close, 5), 30), divide(ts_delta(close, 30), ts_mean(abs(returns), 30)))
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group_neutralize(multiply(ts_zscore(volume, 20), sign(ts_corr(ts_mean(close, 5), ts_mean(close, 20), 20))), sector)
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multiply(ts_rank(ts_corrrank(close, ts_mean(close, 60), 30), 60), reverse(divide(volume, ts_mean(volume, 10))))
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divide(multiply(ts_regression(close, ts_step(1), 30, 0, 1), ts_zscore(volume, 20)), ts_std_dev(returns, 60))
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group_neutralize(multiply(ts_corr(group_mean(returns, 1, industry), returns, 20), if_else(ts_rank(volume, 30) > 0.8, ts_delta(close, 5), ts_delta(close, 20))), industry)
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multiply(ts_rank(divide(volume, ts_mean(volume, 60)), 60), group_rank(ts_delta(close, 20), industry))
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multiply(if_else(ts_corr(ts_mean(close, 5), ts_mean(close, 30), 20) > 0.5, 1, -1), divide(ts_delta(close, 10), ts_std_dev(returns, 20)))
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group_neutralize(multiply(ts_rank(ts_zscore(volume, 20), 60), ts_delta(close, 10)), sector)
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multiply(ts_corr(ts_delta(close, 10), ts_delay(ts_delta(close, 10), 5), 60), rank(volume))
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multiply(if_else(ts_rank(ts_std_dev(returns, 30), 60) > 0.7, ts_delta(close, 10), ts_delta(close, 60)), group_zscore(volume, subindustry))
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multiply(ts_rank(group_mean(ts_delta(close, 10), 1, sector), 30), ts_corr(close, ts_delay(close, 30), 60))
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group_neutralize(multiply(ts_rank(ts_mean(divide(volume, ts_mean(volume, 20)), 30), 60), ts_regression(close, ts_step(1), 20, 0, 1)), industry)
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multiply(reverse(ts_rank(divide(volume, ts_mean(volume, 20)), 30)), divide(ts_delta(close, 10), group_mean(abs(ts_delta(close, 10)), 1, industry))) |