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60 lines
2.5 KiB
60 lines
2.5 KiB
gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
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industry_zscore = group_zscore(gross_margin, swsector)
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slope = ts_decay_linear(industry_zscore, 4)
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alpha_raw = if_else(industry_zscore > 0, reverse(slope), slope)
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gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
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industry_zscore = group_zscore(gross_margin, swsector)
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slope = ts_decay_linear(industry_zscore, 4)
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alpha_raw = multiply(slope, reverse(industry_zscore))
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alpha = rank(alpha_raw)
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gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
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industry_zscore = group_zscore(gross_margin, swsector)
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slope = ts_decay_linear(industry_zscore, 4)
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signal = if_else(slope > 0, 1, if_else(slope < 0, -1, 0))
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alpha = multiply(signal, industry_zscore)
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gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
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industry_zscore = group_zscore(gross_margin, swsector)
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slope = ts_decay_linear(industry_zscore, 4)
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alpha_raw = ts_zscore(slope, 8)
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alpha = reverse(alpha_raw)
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gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
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industry_zscore = group_zscore(gross_margin, swsector)
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slope = ts_decay_linear(industry_zscore, 4)
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combined_score = add(industry_zscore, slope)
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alpha = rank(combined_score)
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gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
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industry_zscore = group_zscore(gross_margin, swsector)
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slope = ts_decay_linear(industry_zscore, 4)
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alpha_raw = multiply(industry_zscore, slope)
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alpha_rank = rank(alpha_raw)
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alpha = subtract(alpha_rank, 0.5)
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gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
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industry_zscore = group_zscore(gross_margin, swsector)
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slope = ts_decay_linear(industry_zscore, 4)
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trend_strength = ts_std_dev(slope, 4)
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alpha = multiply(slope, trend_strength)
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gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
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industry_zscore = group_zscore(gross_margin, swsector)
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slope = ts_decay_linear(industry_zscore, 4)
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baseline = ts_mean(industry_zscore, 8)
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alpha_raw = subtract(slope, baseline)
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alpha = rank(alpha_raw)
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gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
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industry_zscore = group_zscore(gross_margin, swsector)
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slope = ts_decay_linear(industry_zscore, 4)
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pos_alpha = if_else(industry_zscore <= 0, reverse(slope), multiply(slope, -1))
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alpha = rank(pos_alpha)
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gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
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industry_zscore = group_zscore(gross_margin, swsector)
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slope = ts_decay_linear(industry_zscore, 4)
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raw_signal = if_else(industry_zscore > 0, if_else(slope < 0, 1, -1), if_else(slope > 0, 1, -1))
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alpha = multiply(raw_signal, industry_zscore) |