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171 lines
12 KiB
171 lines
12 KiB
group_neutralize(rank(log(ts_mean(divide(fnd6_newa2v1300_revt, fnd6_newa2v1300_oancf), 63))), industry)
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group_zscore(rank(ts_corr(ts_delta(fnd6_newa2v1300_oancf, 5), ts_delta(ts_mean(fnd6_newa2v1300_revt, 20), 5), 63)), industry)
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ts_rank(signed_power(ts_delta(fnd6_newa2v1300_oancf, 1), 2) * ts_rank(ts_scale(ts_sum(ts_delta(ts_mean(fnd6_newa2v1300_revt, 20), 5), 20), 5), 5), 5)
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group_neutralize(ts_zscore(divide(fnd6_newa2v1300_oancf, fnd6_newa2v1300_revt), 252), industry)
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rank(multiply(ts_rank(ts_mean(fnd6_newa2v1300_revt, 5), 5), ts_rank(ts_delta(fnd6_newa2v1300_oancf, 1), 20)))
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group_neutralize(ts_rank(divide(ts_sum(fnd6_newa2v1300_oancf, 63), ts_sum(fnd6_newa2v1300_revt, 63)), 20), industry)
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rank(subtract(ts_mean(ts_delta(fnd6_newa2v1300_oancf, 1), 5), ts_std_dev(ts_delta(fnd6_newa2v1300_revt, 1), 20)))
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group_zscore(rank(divide(ts_sum(ts_backfill(fnd6_newa2v1300_oancf, 5), 20), ts_sum(ts_backfill(fnd6_newa2v1300_revt, 5), 20))), industry)
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ts_rank(ts_corr(ts_delay(fnd6_newa2v1300_oancf, 5), ts_delay(fnd6_newa2v1300_revt, 5), 20), 5)
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group_neutralize(rank(ts_scale(ts_sum(fnd6_newa2v1300_oancf, 63), 63) * ts_scale(ts_sum(fnd6_newa2v1300_revt, 63), 63)), industry)
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rank(multiply(ts_rank(ts_delta(fnd6_newa2v1300_oancf, 2), 10), ts_zscore(ts_sum(fnd6_newa2v1300_revt, 20), 20)))
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group_zscore(ts_rank(divide(ts_delta(ts_mean(fnd6_newa2v1300_oancf, 10), 5), ts_delta(ts_mean(fnd6_newa2v1300_revt, 10), 5)), 20), industry)
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ts_rank(ts_sum(ts_delta(signed_power(fnd6_newa2v1300_oancf, 3), 1), 5) - ts_sum(ts_delta(signed_power(fnd6_newa2v1300_revt, 3), 1), 5), 20)
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group_neutralize(rank(divide(ts_sum(ts_delta(fnd6_newa2v1300_oancf, 1), 63), ts_sum(ts_mean(fnd6_newa2v1300_revt, 5), 63))), industry)
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rank(subtract(ts_mean(fnd6_newa2v1300_oancf, 10), ts_mean(ts_zscore(fnd6_newa2v1300_revt, 20), 10)))
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group_zscore(ts_rank(ts_corr(ts_av_diff(fnd6_newa2v1300_oancf, 20), ts_av_diff(fnd6_newa2v1300_revt, 20), 10), 5), industry)
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rank(multiply(ts_rank(ts_decay_linear(fnd6_newa2v1300_oancf, 5), 5), ts_rank(ts_decay_linear(fnd6_newa2v1300_revt, 5), 5)))
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group_neutralize(ts_zscore(divide(ts_product(fnd6_newa2v1300_oancf, 5), ts_product(fnd6_newa2v1300_revt, 5)), 20), industry)
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rank(ts_sum(ts_delta(divide(fnd6_newa2v1300_oancf, ts_delay(fnd6_newa2v1300_oancf, 1)), 1), 10) - ts_sum(ts_delta(divide(fnd6_newa2v1300_revt, ts_delay(fnd6_newa2v1300_revt, 1)), 1), 10))
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group_zscore(rank(ts_mean(ts_delta(log(fnd6_newa2v1300_oancf), 2), 10) * ts_mean(ts_delta(log(fnd6_newa2v1300_revt), 2), 10)), industry)
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ts_rank(ts_corr(ts_backfill(fnd6_newa2v1300_oancf, 5), ts_backfill(fnd6_newa2v1300_revt, 5), 15), 5)
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group_neutralize(rank(divide(ts_sum(fnd6_newa2v1300_oancf, 20), ts_sum(ts_delay(fnd6_newa2v1300_revt, 5), 20))), industry)
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rank(ts_mean(ts_delta(ts_scale(fnd6_newa2v1300_oancf, 10), 5), 10) - ts_mean(ts_delta(ts_scale(fnd6_newa2v1300_revt, 10), 5), 10))
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group_zscore(ts_rank(divide(ts_sum(ts_zscore(fnd6_newa2v1300_oancf, 10), 5), ts_sum(ts_zscore(fnd6_newa2v1300_revt, 10), 5)), 10), industry)
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rank(multiply(ts_rank(ts_sum(fnd6_newa2v1300_oancf, 10), 10), ts_rank(ts_sum(fnd6_newa2v1300_revt, 10), 10)))
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group_neutralize(ts_zscore(divide(ts_delta(ts_mean(fnd6_newa2v1300_oancf, 5), 5), ts_delta(ts_mean(fnd6_newa2v1300_revt, 5), 5)), 20), industry)
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rank(subtract(ts_mean(divide(fnd6_newa2v1300_oancf, ts_delay(fnd6_newa2v1300_oancf, 1)), 10), ts_mean(divide(fnd6_newa2v1300_revt, ts_delay(fnd6_newa2v1300_revt, 1)), 10)))
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group_zscore(rank(ts_corr(ts_rank(fnd6_newa2v1300_oancf, 5), ts_rank(fnd6_newa2v1300_revt, 5), 10)), industry)
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ts_rank(ts_sum(ts_delta(signed_power(ts_mean(fnd6_newa2v1300_oancf, 5), 2), 1), 5) * ts_sum(ts_delta(signed_power(ts_mean(fnd6_newa2v1300_revt, 5), 2), 1), 5), 10)
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group_neutralize(rank(divide(ts_product(ts_delta(fnd6_newa2v1300_oancf, 2), 5), ts_product(ts_delta(fnd6_newa2v1300_revt, 2), 5))), industry)
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rank(ts_mean(ts_av_diff(fnd6_newa2v1300_oancf, 10), 5) - ts_mean(ts_av_diff(fnd6_newa2v1300_revt, 10), 5))
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group_zscore(ts_rank(divide(ts_sum(ts_backfill(fnd6_newa2v1300_oancf, 3), 10), ts_sum(ts_backfill(fnd6_newa2v1300_revt, 3), 10)), 20), industry)
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rank(multiply(ts_rank(ts_decay_linear(ts_delta(fnd6_newa2v1300_oancf, 1), 5), 5), ts_rank(ts_decay_linear(ts_delta(fnd6_newa2v1300_revt, 1), 5), 5)))
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group_neutralize(ts_zscore(divide(ts_scale(ts_sum(fnd6_newa2v1300_oancf, 20), 20), ts_scale(ts_sum(fnd6_newa2v1300_revt, 20), 20)), 10), industry)
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rank(subtract(ts_sum(ts_delta(log(fnd6_newa2v1300_oancf), 2), 10), ts_sum(ts_delta(log(fnd6_newa2v1300_revt), 2), 10)))
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group_zscore(rank(ts_corr(ts_delay(fnd6_newa2v1300_oancf, 10), ts_delay(fnd6_newa2v1300_revt, 10), 20)), industry)
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ts_rank(ts_sum(ts_delta(ts_mean(fnd6_newa2v1300_oancf, 5), 1), 5) * ts_sum(ts_delta(ts_mean(fnd6_newa2v1300_revt, 5), 1), 5), 10)
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group_neutralize(rank(divide(ts_sum(ts_zscore(fnd6_newa2v1300_oancf, 5), 10), ts_sum(ts_zscore(fnd6_newa2v1300_revt, 5), 10))), industry)
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rank(ts_mean(ts_delta(divide(fnd6_newa2v1300_oancf, ts_mean(fnd6_newa2v1300_oancf, 5)), 1), 10) - ts_mean(ts_delta(divide(fnd6_newa2v1300_revt, ts_mean(fnd6_newa2v1300_revt, 5)), 1), 10))
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group_zscore(ts_rank(divide(ts_product(ts_backfill(fnd6_newa2v1300_oancf, 2), 5), ts_product(ts_backfill(fnd6_newa2v1300_revt, 2), 5)), 15), industry)
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rank(multiply(ts_rank(ts_sum(ts_delta(fnd6_newa2v1300_oancf, 1), 10), 10), ts_rank(ts_sum(ts_delta(fnd6_newa2v1300_revt, 1), 10), 10)))
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group_neutralize(ts_zscore(divide(ts_av_diff(fnd6_newa2v1300_oancf, 20), ts_av_diff(fnd6_newa2v1300_revt, 20)), 10), industry)
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rank(subtract(ts_sum(ts_decay_linear(fnd6_newa2v1300_oancf, 5), 10), ts_sum(ts_decay_linear(fnd6_newa2v1300_revt, 5), 10)))
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group_zscore(rank(ts_corr(ts_rank(ts_delta(fnd6_newa2v1300_oancf, 2), 5), ts_rank(ts_delta(fnd6_newa2v1300_revt, 2), 5), 10)), industry)
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ts_rank(ts_sum(ts_delta(signed_power(ts_backfill(fnd6_newa2v1300_oancf, 3), 3), 1), 5) - ts_sum(ts_delta(signed_power(ts_backfill(fnd6_newa2v1300_revt, 3), 3), 1), 5), 20)
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group_neutralize(rank(divide(ts_mean(ts_scale(fnd6_newa2v1300_oancf, 10), 5), ts_mean(ts_scale(fnd6_newa2v1300_revt, 10), 5))), industry)
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rank(ts_mean(ts_delta(ts_zscore(fnd6_newa2v1300_oancf, 10), 5), 10) - ts_mean(ts_delta(ts_zscore(fnd6_newa2v1300_revt, 10), 5), 10))
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group_zscore(ts_rank(divide(ts_sum(ts_av_diff(fnd6_newa2v1300_oancf, 5), 10), ts_sum(ts_av_diff(fnd6_newa2v1300_revt, 5), 10)), 20), industry)
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rank(multiply(ts_rank(ts_product(fnd6_newa2v1300_oancf, 5), 5), ts_rank(ts_product(fnd6_newa2v1300_revt, 5), 5)))
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group_neutralize(ts_zscore(divide(ts_delay(fnd6_newa2v1300_oancf, 5), ts_delay(fnd6_newa2v1300_revt, 5)), 20), industry)
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rank(subtract(ts_sum(ts_delta(ts_mean(fnd6_newa2v1300_oancf, 10), 2), 10), ts_sum(ts_delta(ts_mean(fnd6_newa2v1300_revt, 10), 2), 10)))
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group_zscore(rank(ts_corr(ts_backfill(ts_delta(fnd6_newa2v1300_oancf, 1), 5), ts_backfill(ts_delta(fnd6_newa2v1300_revt, 1), 5), 15)), industry)
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ts_rank(ts_sum(ts_delta(ts_decay_linear(fnd6_newa2v1300_oancf, 5), 1), 5) * ts_sum(ts_delta(ts_decay_linear(fnd6_newa2v1300_revt, 5), 1), 5), 10)
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group_neutralize(rank(divide(ts_sum(ts_zscore(ts_delta(fnd6_newa2v1300_oancf, 2), 10), 5), ts_sum(ts_zscore(ts_delta(fnd6_newa2v1300_revt, 2), 10), 5))), industry)
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rank(ts_mean(ts_delta(divide(fnd6_newa2v1300_oancf, ts_sum(fnd6_newa2v1300_oancf, 10)), 1), 10) - ts_mean(ts_delta(divide(fnd6_newa2v1300_revt, ts_sum(fnd6_newa2v1300_revt, 10)), 1), 10))
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group_zscore(ts_rank(divide(ts_product(ts_scale(fnd6_newa2v1300_oancf, 5), 5), ts_product(ts_scale(fnd6_newa2v1300_revt, 5), 5)), 15), industry)
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rank(multiply(ts_rank(ts_sum(ts_av_diff(fnd6_newa2v1300_oancf, 10), 10), 10), ts_rank(ts_sum(ts_av_diff(fnd6_newa2v1300_revt, 10), 10), 10)))
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group_neutralize(ts_zscore(divide(ts_mean(ts_backfill(fnd6_newa2v1300_oancf, 5), 10), ts_mean(ts_backfill(fnd6_newa2v1300_revt, 5), 10)), 20), industry)
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rank(subtract(ts_sum(ts_delta(ts_zscore(fnd6_newa2v1300_oancf, 5), 2), 10), ts_sum(ts_delta(ts_zscore(fnd6_newa2v1300_revt, 5), 2), 10)))
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group_zscore(rank(ts_corr(ts_rank(ts_sum(fnd6_newa2v1300_oancf, 5), 5), ts_rank(ts_sum(fnd6_newa2v1300_revt, 5), 5), 10)), industry)
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ts_rank(ts_sum(ts_delta(signed_power(ts_mean(ts_delta(fnd6_newa2v1300_oancf, 1), 5), 2), 1), 5) - ts_sum(ts_delta(signed_power(ts_mean(ts_delta(fnd6_newa2v1300_revt, 1), 5), 2), 1), 5), 20)
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group_neutralize(rank(divide(ts_mean(ts_delay(fnd6_newa2v1300_oancf, 10), 5), ts_mean(ts_delay(fnd6_newa2v1300_revt, 10), 5))), industry)
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rank(ts_mean(ts_delta(ts_scale(ts_sum(fnd6_newa2v1300_oancf, 10), 10), 5), 10) - ts_mean(ts_delta(ts_scale(ts_sum(fnd6_newa2v1300_revt, 10), 10), 5), 10))
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group_zscore(ts_rank(divide(ts_sum(ts_backfill(ts_delta(fnd6_newa2v1300_oancf, 2), 3), 10), ts_sum(ts_backfill(ts_delta(fnd6_newa2v1300_revt, 2), 3), 10)), 20), industry)
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rank(multiply(ts_rank(ts_sum(ts_decay_linear(ts_delta(fnd6_newa2v1300_oancf, 1), 5), 10), 10), ts_rank(ts_sum(ts_decay_linear(ts_delta(fnd6_newa2v1300_revt, 1), 5), 10), 10)))
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group_neutralize(ts_zscore(divide(ts_av_diff(ts_sum(fnd6_newa2v1300_oancf, 20), 20), ts_av_diff(ts_sum(fnd6_newa2v1300_revt, 20), 20)), 10), industry)
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rank(subtract(ts_sum(ts_delta(log(ts_mean(fnd6_newa2v1300_oancf, 5)), 2), 10), ts_sum(ts_delta(log(ts_mean(fnd6_newa2v1300_revt, 5)), 2), 10)))
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group_zscore(rank(ts_corr(ts_delay(ts_rank(fnd6_newa2v1300_oancf, 5), 10), ts_delay(ts_rank(fnd6_newa2v1300_revt, 5), 10), 20)), industry)
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ts_rank(ts_sum(ts_delta(ts_mean(ts_backfill(fnd6_newa2v1300_oancf, 3), 5), 1), 5) * ts_sum(ts_delta(ts_mean(ts_backfill(fnd6_newa2v1300_revt, 3), 5), 1), 5), 10)
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group_neutralize(rank(divide(ts_sum(ts_zscore(ts_sum(fnd6_newa2v1300_oancf, 10), 5), 10), ts_sum(ts_zscore(ts_sum(fnd6_newa2v1300_revt, 10), 5), 10))), industry)
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rank(ts_mean(ts_delta(divide(fnd6_newa2v1300_oancf, ts_product(fnd6_newa2v1300_oancf, 5)), 1), 10) - ts_mean(ts_delta(divide(fnd6_newa2v1300_revt, ts_product(fnd6_newa2v1300_revt, 5)), 1), 10))
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group_zscore(ts_rank(divide(ts_product(ts_scale(ts_delta(fnd6_newa2v1300_oancf, 1), 5), 5), ts_product(ts_scale(ts_delta(fnd6_newa2v1300_revt, 1), 5), 5)), 15), industry)
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rank(multiply(ts_rank(ts_sum(ts_av_diff(ts_sum(fnd6_newa2v1300_oancf, 10), 10), 10), 10), ts_rank(ts_sum(ts_av_diff(ts_sum(fnd6_newa2v1300_revt, 10), 10), 10), 10)))
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group_neutralize(ts_zscore(divide(ts_mean(ts_backfill(ts_delta(fnd6_newa2v1300_oancf, 2), 5), 10), ts_mean(ts_backfill(ts_delta(fnd6_newa2v1300_revt, 2), 5), 10)), 20), industry)
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rank(subtract(ts_sum(ts_delta(ts_zscore(ts_sum(fnd6_newa2v1300_oancf, 5), 5), 2), 10), ts_sum(ts_delta(ts_zscore(ts_sum(fnd6_newa2v1300_revt, 5), 5), 2), 10)))
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group_zscore(rank(ts_corr(ts_rank(ts_sum(ts_delta(fnd6_newa2v1300_oancf, 1), 5), 5), ts_rank(ts_sum(ts_delta(fnd6_newa2v1300_revt, 1), 5), 5), 10)), industry)
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ts_rank(ts_sum(ts_delta(signed_power(ts_mean(ts_backfill(fnd6_newa2v1300_oancf, 3), 5), 2), 1), 5) - ts_sum(ts_delta(signed_power(ts_mean(ts_backfill(fnd6_newa2v1300_revt, 3), 5), 2), 1), 5), 20)
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group_neutralize(rank(divide(ts_mean(ts_delay(ts_sum(fnd6_newa2v1300_oancf, 10), 10), 5), ts_mean(ts_delay(ts_sum(fnd6_newa2v1300_revt, 10), 10), 5))), industry)
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rank(ts_mean(ts_delta(ts_scale(ts_product(fnd6_newa2v1300_oancf, 5), 10), 5), 10) - ts_mean(ts_delta(ts_scale(ts_product(fnd6_newa2v1300_revt, 5), 10), 5), 10))
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group_zscore(ts_rank(divide(ts_sum(ts_backfill(ts_zscore(fnd6_newa2v1300_oancf, 10), 3), 10), ts_sum(ts_backfill(ts_zscore(fnd6_newa2v1300_revt, 10), 3), 10)), 20), industry)
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rank(multiply(ts_rank(ts_sum(ts_decay_linear(ts_av_diff(fnd6_newa2v1300_oancf, 10), 5), 10), 10), ts_rank(ts_sum(ts_decay_linear(ts_av_diff(fnd6_newa2v1300_revt, 10), 5), 10), 10)))
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group_neutralize(ts_zscore(divide(ts_av_diff(ts_mean(fnd6_newa2v1300_oancf, 20), 20), ts_av_diff(ts_mean(fnd6_newa2v1300_revt, 20), 20)), 10), industry)
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rank(subtract(ts_sum(ts_delta(log(ts_zscore(fnd6_newa2v1300_oancf, 5)), 2), 10), ts_sum(ts_delta(log(ts_zscore(fnd6_newa2v1300_revt, 5)), 2), 10)))
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group_zscore(rank(ts_corr(ts_delay(ts_scale(fnd6_newa2v1300_oancf, 10), 10), ts_delay(ts_scale(fnd6_newa2v1300_revt, 10), 10), 20)), industry)
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ts_rank(ts_sum(ts_delta(ts_mean(ts_scale(fnd6_newa2v1300_oancf, 5), 5), 1), 5) * ts_sum(ts_delta(ts_mean(ts_scale(fnd6_newa2v1300_revt, 5), 5), 1), 5), 10)
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group_neutralize(rank(divide(ts_sum(ts_zscore(ts_product(fnd6_newa2v1300_oancf, 5), 10), 10), ts_sum(ts_zscore(ts_product(fnd6_newa2v1300_revt, 5), 10), 10))), industry) |