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109 lines
5.7 KiB
109 lines
5.7 KiB
ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60)
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rank(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60))
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reverse(rank(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60)))
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ts_zscore(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 60)
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normalize(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), true, 0.0)
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ts_rank(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 60)
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group_zscore(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), bucket(rank(returns), buckets="2,5,6,7,10"))
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winsorize(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 4)
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scale(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 1, 1, 1)
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ts_scale(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 60, 0)
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ts_av_diff(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 60)
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ts_delta(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 5)
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ts_mean(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 30)
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ts_max(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 60)
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ts_min(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 60)
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ts_sum(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 60)
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ts_product(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 60)
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ts_decay_linear(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 60, false)
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ts_backfill(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 60, 1, "NAN")
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ts_corr(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), returns, 60)
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ts_covariance(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), returns, 60)
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ts_regression(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), returns, 60, 0, 0)
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ts_arg_max(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 60)
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ts_arg_min(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 60)
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ts_count_nans(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 60)
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ts_delay(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 5)
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ts_quantile(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 60, "gaussian")
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ts_rank(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 60, 0)
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ts_scale(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 60, 0)
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ts_step(1)
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ts_target_tvr_decay(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 0, 1, 0.1)
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ts_target_tvr_delta_limit(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), returns, 0, 1, 0.1)
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group_neutralize(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), bucket(rank(returns), buckets="2,5,6,7,10"))
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group_rank(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), bucket(rank(returns), buckets="2,5,6,7,10"))
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group_scale(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), bucket(rank(returns), buckets="2,5,6,7,10"))
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group_mean(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), returns, bucket(rank(returns), buckets="2,5,6,7,10"))
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group_backfill(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), bucket(rank(returns), buckets="2,5,6,7,10"), 60, 4.0)
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vec_avg(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60))
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vec_sum(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60))
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vec_max(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60))
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vec_min(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60))
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reduce_avg(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 0)
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reduce_max(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60))
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reduce_min(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60))
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reduce_stddev(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 0)
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reduce_sum(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60))
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reduce_range(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60))
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reduce_skewness(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60))
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reduce_kurtosis(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60))
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reduce_ir(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60))
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reduce_norm(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60))
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reduce_powersum(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 2, false)
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reduce_percentage(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 0.5)
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reduce_choose(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 1, true)
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reduce_count(ts_std_dev(if_else(returns < ts_quantile(returns, 60, "gaussian"), returns, 0), 60), 0) |