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137 lines
7.0 KiB
137 lines
7.0 KiB
rank(ts_mean(if_else(returns < ts_quantile(returns,60,uniform),returns,0),60))
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rank(group_neutralize(ts_mean(if_else(returns < ts_quantile(returns,45,gaussian),returns,0),45),sector))
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zscore(ts_mean(if_else(returns < ts_quantile(returns,90,cauchy),returns,0),90))
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normalize(group_zscore(ts_mean(if_else(returns < ts_quantile(returns,30,uniform),returns,0),30),industry))
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rank(ts_mean(if_else(subtract(returns,ts_quantile(returns,60)) < 0,returns,0),60))
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group_rank(ts_mean(if_else(returns < ts_quantile(returns,75,gaussian),returns,0),75),subindustry)
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zscore(group_neutralize(ts_mean(if_else(returns < ts_quantile(returns,50,cauchy),returns,0),50),country))
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rank(abs(ts_mean(if_else(returns < ts_quantile(returns,60,uniform),returns,0),60)))
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normalize(ts_mean(if_else(returns < ts_quantile(returns,80,gaussian),signed_power(returns,2),0),80))
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rank(group_zscore(abs(ts_mean(if_else(returns < ts_quantile(returns,60,cauchy),returns,0),60)),sector))
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zscore(ts_mean(if_else(returns < ts_quantile(returns,40,uniform),power(abs(returns),1.5),0),40))
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rank(group_rank(ts_mean(if_else(returns < ts_quantile(returns,60,gaussian),signed_power(returns,3),0),60),industry))
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normalize(ts_mean(if_else(returns < ts_quantile(returns,70,cauchy),log(abs(returns)+1),0),70))
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rank(group_neutralize(abs(ts_mean(if_else(returns < ts_quantile(returns,60,uniform),returns,0),60)),subindustry))
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zscore(ts_mean(if_else(returns < ts_quantile(returns,55,gaussian),sqrt(abs(returns)),0),55))
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rank(ts_mean(if_else(returns < ts_quantile(returns,60,cauchy),inverse(abs(returns)+1),0),60))
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group_zscore(rank(ts_mean(if_else(returns < ts_quantile(returns,65,uniform),returns,0),65)),sector)
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normalize(group_rank(abs(ts_mean(if_else(returns < ts_quantile(returns,70,gaussian),returns,0),70)),country))
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rank(zscore(ts_mean(if_else(returns < ts_quantile(returns,60,cauchy),signed_power(returns,1.2),0),60)))
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group_neutralize(rank(ts_mean(if_else(returns < ts_quantile(returns,50,uniform),returns,0),50)),industry)
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rank(ts_mean(if_else(returns < ts_quantile(returns,85,gaussian),multiply(returns,100),0),85))
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zscore(group_rank(ts_mean(if_else(returns < ts_quantile(returns,60,cauchy),divide(returns,100),0),60),subindustry))
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normalize(abs(ts_mean(if_else(returns < ts_quantile(returns,60,uniform),add(returns,1),0),60)))
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rank(ts_mean(if_else(returns < ts_quantile(returns,95,gaussian),subtract(0,returns),0),95))
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group_zscore(zscore(ts_mean(if_else(returns < ts_quantile(returns,60,cauchy),returns,0),60)),sector)
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rank(ts_mean(if_else(returns < ts_quantile(returns,35,uniform),sign(returns)*power(abs(returns),2),0),35))
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normalize(group_neutralize(ts_mean(if_else(returns < ts_quantile(returns,60,gaussian),sqrt(abs(returns))*sign(returns),0),60),industry))
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zscore(abs(ts_mean(if_else(returns < ts_quantile(returns,45,cauchy),signed_power(returns,0.5),0),45)))
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rank(group_rank(ts_mean(if_else(returns < ts_quantile(returns,60,uniform),log(abs(returns)+2),0),60),subindustry))
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group_neutralize(zscore(ts_mean(if_else(returns < ts_quantile(returns,75,gaussian),inverse(abs(returns)+2),0),75)),country)
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rank(ts_mean(if_else(returns < ts_quantile(returns,60,cauchy),max(returns,-0.5),0),60))
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zscore(normalize(ts_mean(if_else(returns < ts_quantile(returns,50,uniform),min(returns,-0.1),0),50)))
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rank(group_zscore(ts_mean(if_else(returns < ts_quantile(returns,60,gaussian),ts_zscore(returns,20),0),60)),sector)
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normalize(rank(abs(ts_mean(if_else(returns < ts_quantile(returns,80,cauchy),ts_std_dev(returns,10),0),80))))
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rank(group_neutralize(ts_mean(if_else(returns < ts_quantile(returns,60,uniform),ts_delta(returns,5),0),60),industry))
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zscore(ts_mean(if_else(returns < ts_quantile(returns,65,gaussian),ts_av_diff(returns,15),0),65))
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rank(group_rank(ts_mean(if_else(returns < ts_quantile(returns,60,cauchy),ts_rank(returns,10),0),60),subindustry))
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normalize(zscore(abs(ts_mean(if_else(returns < ts_quantile(returns,70,uniform),returns,0),70))))
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group_zscore(rank(ts_mean(if_else(returns < ts_quantile(returns,60,gaussian),signed_power(returns,2.5),0),60)),country)
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rank(ts_mean(if_else(returns < ts_quantile(returns,50,cauchy),power(abs(returns),0.8),0),50))
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zscore(group_neutralize(ts_mean(if_else(returns < ts_quantile(returns,60,uniform),sqrt(abs(returns))*signed_power(returns,1),0),60),sector))
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rank(normalize(ts_mean(if_else(returns < ts_quantile(returns,90,gaussian),log(abs(returns)+3),0),90)))
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group_rank(zscore(ts_mean(if_else(returns < ts_quantile(returns,60,cauchy),inverse(abs(returns)+3),0),60)),industry)
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normalize(abs(group_zscore(ts_mean(if_else(returns < ts_quantile(returns,65,uniform),returns,0),65),subindustry)))
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rank(ts_mean(if_else(returns < ts_quantile(returns,60,gaussian),multiply(signed_power(returns,2),0.5),0),60))
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zscore(rank(ts_mean(if_else(returns < ts_quantile(returns,70,cauchy),divide(returns,abs(returns)+1),0),70)))
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group_neutralize(normalize(ts_mean(if_else(returns < ts_quantile(returns,60,uniform),add(returns,2),0),60)),country)
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rank(abs(zscore(ts_mean(if_else(returns < ts_quantile(returns,80,gaussian),subtract(0,abs(returns)),0),80))))
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group_zscore(rank(abs(ts_mean(if_else(returns < ts_quantile(returns,60,cauchy),returns,0),60))),sector)
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ts_rank(ts_sum(multiply(returns, returns < ts_quantile(returns, 60, "gaussian")), 60), 60)
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ts_rank(ts_mean(if_else(returns < ts_quantile(returns, 60, "uniform"), returns, 0), 60), 60)
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rank(subtract(ts_mean(returns, 60), ts_mean(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60)))
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rank(ts_sum(if_else(returns < ts_delay(ts_quantile(returns, 60, "gaussian"), 1), returns, 0), 60))
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zscore(ts_sum(multiply(returns, returns < ts_mean(returns, 60)), 60))
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ts_rank(ts_sum(if_else(returns < ts_quantile(returns, 60, "cauchy"), returns, 0), 60), 120)
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rank(ts_mean(if_else(returns < ts_delay(ts_quantile(returns, 60, "uniform"), 5), returns, 0), 60))
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ts_rank(ts_sum(multiply(returns, returns < ts_quantile(returns, 120, "gaussian")), 120), 60)
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rank(subtract(ts_sum(returns, 60), ts_sum(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60)))
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zscore(ts_mean(if_else(returns < ts_delay(ts_mean(returns, 60), 1), returns, 0), 60))
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ts_rank(ts_sum(multiply(returns, returns < ts_quantile(returns, 60, "gaussian")), 30), 60)
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rank(ts_mean(if_else(returns < ts_delay(ts_quantile(returns, 30, "uniform"), 2), returns, 0), 60))
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ts_rank(ts_sum(if_else(returns < ts_quantile(returns, 90, "cauchy"), returns, 0), 90), 60)
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zscore(ts_sum(multiply(returns, returns < ts_quantile(returns, 60, "gaussian")), 60))
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rank(subtract(ts_mean(returns, 90), ts_mean(if_else(returns < ts_quantile(returns, 90, "gaussian"), returns, 0), 90)))
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ts_rank(ts_mean(multiply(returns, returns < ts_delay(ts_quantile(returns, 60, "uniform"), 3)), 60), 60)
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rank(ts_sum(if_else(returns < ts_quantile(returns, 60, "cauchy"), returns, 0), 30))
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zscore(ts_mean(if_else(returns < ts_delay(ts_mean(returns, 30), 5), returns, 0), 60))
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ts_rank(ts_sum(multiply(returns, returns < ts_quantile(returns, 120, "gaussian")), 60), 120)
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rank(subtract(ts_sum(returns, 30), ts_sum(if_else(returns < ts_quantile(returns, 30, "gaussian"), returns, 0), 30))) |