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223 lines
9.0 KiB
223 lines
9.0 KiB
ts_delta(close, 20) * group_mean(ts_delta(close, 5), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_std_dev(returns, 20) > 0.02, ts_delta(close, 5), ts_delta(close, 60))
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multiply(ts_corr(ts_delta(close,5), ts_delta(volume,5), 30), ts_delta(close,20))
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reverse(ts_rank(volume/ts_mean(volume,20), 10)) * ts_delta(close,20)
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ts_regression(close, ts_step(1), 30, 0, 1) * group_rank(ts_delta(close,10), industry)
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ts_decay_linear(returns, 20) + if_else(ts_rank(ts_std_dev(returns,60), 120) > 0.7, ts_delta(close,5), ts_delta(close,30))
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group_mean(ts_mean(returns, 10), 1, bucket(rank(volume), range="0,3,0.4")) * ts_std_dev(returns, 20)
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ts_delta(ts_delta(close, 10), 5) * group_zscore(ts_delta(close,20), industry)
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ts_corr(ts_delta(close,5), ts_delta(volume,5), 20) * ts_rank(ts_mean(returns,20), 60)
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ts_mean(returns, 30) * if_else(ts_std_dev(returns,20) > 0.015, 1, -1)
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group_neutralize(ts_delta(close, 20), industry) * ts_zscore(volume, 60)
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ts_regression(close, ts_step(1), 20, 0, 1) / ts_std_dev(returns, 20)
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multiply(ts_std_dev(group_rank(returns, industry), 20), ts_delta(close, 10))
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if_else(rank(volume) > 0.7, ts_delta(close, 60), ts_delta(close, 20))
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ts_decay_linear(ts_delta(close,5), 10) * group_scale(ts_delta(close,10), industry)
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ts_corr(group_mean(returns,1,industry), group_mean(returns,1,sector), 30) * ts_delta(close, 20)
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ts_mean(ts_delta(close,5), 10) * group_rank(ts_delta(close,5), sector)
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ts_delta(close, 5) / ts_std_dev(returns, 20) * ts_rank(ts_mean(returns,20), 60)
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group_mean(ts_regression(close, ts_step(1), 10, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_rank(ts_std_dev(returns,20), 60) > 0.7, ts_delta(close,5), ts_delta(close,120))
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ts_regression(close, ts_step(1), 60, 0, 1) * ts_mean(returns, 30)
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multiply(ts_zscore(ts_delta(close,20), industry), volume/ts_mean(volume,30))
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group_mean(ts_delta(close,20), 1, bucket(rank(volume), range="0,3,0.4")) + ts_avg_diff(returns, 20)
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ts_corr(ts_delta(close,10), ts_delta(volume,10), 30) * ts_rank(volume, 60)
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ts_delta(close, 30) * ts_mean(rank(returns), 20)
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if_else(bucket(rank(volume), range="0,3,0.4") == 0, ts_delta(close,10), ts_delta(close,60))
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ts_decay_linear(ts_mean(returns,5), 20) * group_zscore(ts_delta(close,20), sector)
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ts_regression(close, ts_step(1), 30, 0, 1) + ts_std_dev(returns, 20)
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group_rank(ts_mean(returns,20), industry) * ts_delta(close, 10)
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ts_delta(close, 60) * group_mean(ts_std_dev(returns,20), 1, bucket(rank(volume), range="0,3,0.4"))
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multiply(ts_rank(ts_mean(returns,20), 60), ts_delta(close,30))
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ts_mean(returns, 10) * group_neutralize(ts_delta(close,20), industry)
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ts_corr(ts_delta(close,5), ts_delta(volume,5), 60) * ts_regression(close, ts_step(1), 20, 0, 1)
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if_else(ts_rank(ts_std_dev(returns,20), 30) > 0.8, ts_delta(close,5), ts_delta(close,30))
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ts_delta(ts_delta(close, 20), 5) * group_scale(ts_mean(returns,10), sector)
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group_mean(ts_delta(close,10), 1, bucket(rank(volume), range="0,3,0.4")) / ts_std_dev(returns,20)
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ts_regression(close, ts_step(1), 10, 0, 1) * ts_sum(returns, 20)
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ts_decay_linear(ts_delta(close,5), 30) * group_rank(ts_delta(close,10), subindustry)
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ts_corr(group_mean(returns,1,industry), group_mean(returns,1,sector), 20) * ts_mean(returns, 10)
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ts_delta(close, 20) * ts_std_dev(group_rank(returns, industry), 20)
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if_else(rank(volume) > 0.8, ts_regression(close, ts_step(1), 30, 0, 1), ts_regression(close, ts_step(1), 60, 0, 1))
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ts_mean(ts_delta(close,5), 30) * group_zscore(ts_delta(close,20), industry)
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multiply(ts_rank(ts_std_dev(returns,20), 60), ts_delta(close,10))
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ts_regression(close, ts_step(1), 60, 0, 1) * if_else(ts_rank(ts_std_dev(returns,60), 120) > 0.7, 1, -1)
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group_mean(ts_mean(returns,5), 1, bucket(rank(volume), range="0,3,0.4")) * ts_delta(close, 20)
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ts_delta(close, 5) * ts_zscore(ts_delta(close,20), sector)
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ts_corr(ts_delta(close,5), ts_delta(volume,5), 20) + ts_mean(returns, 30)
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if_else(ts_std_dev(returns,20) > 0.02, ts_delta(close,10), ts_delta(close,60))
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ts_decay_linear(ts_mean(returns,5), 10) * group_neutralize(ts_delta(close,20), industry)
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ts_regression(close, ts_step(1), 30, 0, 1) / ts_std_dev(returns,20)
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multiply(group_rank(ts_delta(close,5), industry), ts_delta(close,30))
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ts_delta(close, 20) * ts_mean(rank(returns), 30)
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if_else(bucket(rank(volume), range="0,3,0.4") == 2, ts_delta(close,60), ts_delta(close,10))
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ts_mean(returns, 20) * group_scale(ts_regression(close, ts_step(1), 20, 0, 1), sector)
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ts_corr(ts_delta(close,10), ts_delta(volume,10), 60) * ts_rank(ts_mean(returns,20), 60)
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ts_delta(ts_delta(close, 10), 5) * group_mean(ts_delta(close,5), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_regression(close, ts_step(1), 20, 0, 1) * ts_sum(returns, 30)
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multiply(ts_std_dev(group_rank(returns, industry), 20), ts_mean(returns, 5))
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group_neutralize(ts_delta(close, 30), sector) * ts_zscore(volume, 120)
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ts_delta(close, 60) * ts_rank(volume, 30)
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if_else(ts_rank(ts_std_dev(returns,20), 60) > 0.7, ts_delta(close,5), ts_delta(close,120))
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ts_decay_linear(ts_delta(close,5), 20) * group_mean(ts_mean(returns,5), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_regression(close, ts_step(1), 60, 0, 1) + ts_mean(returns, 20)
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ts_corr(group_mean(returns,1,industry), group_mean(returns,1,sector), 60) * ts_delta(close, 20)
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group_rank(ts_delta(close,20), sector) * ts_delta(close, 10)
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ts_mean(returns, 30) * ts_std_dev(returns, 20)
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if_else(rank(volume) > 0.7, ts_delta(close, 60), ts_delta(close, 20))
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ts_delta(close, 5) / ts_std_dev(returns, 20) * group_zscore(ts_delta(close,20), industry)
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ts_regression(close, ts_step(1), 30, 0, 1) * if_else(ts_std_dev(returns,20) > 0.015, 1, -1)
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multiply(ts_rank(ts_mean(returns,20), 60), ts_delta(close,60))
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ts_corr(ts_delta(close,5), ts_delta(volume,5), 10) * ts_mean(returns, 20)
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ts_delta(close, 20) * group_mean(ts_regression(close, ts_step(1), 10, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_rank(ts_std_dev(returns,60), 120) > 0.8, ts_delta(close,5), ts_delta(close,30))
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ts_mean(ts_delta(close,5), 20) * group_scale(ts_delta(close,10), industry)
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ts_decay_linear(ts_mean(returns,10), 30) * ts_rank(ts_mean(returns,20), 60)
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ts_regression(close, ts_step(1), 20, 0, 1) * group_rank(ts_delta(close,5), sector)
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multiply(ts_std_dev(group_rank(returns, industry), 20), ts_delta(close,30))
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group_neutralize(ts_delta(close, 10), industry) * ts_zscore(ts_delta(close,20), sector)
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ts_delta(close, 60) * ts_mean(rank(returns), 20)
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if_else(bucket(rank(volume), range="0,3,0.4") == 1, ts_delta(close,20), ts_delta(close,60))
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ts_mean(returns, 5) * group_zscore(ts_regression(close, ts_step(1), 30, 0, 1), industry)
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ts_corr(ts_delta(close,10), ts_delta(volume,10), 30) + ts_regression(close, ts_step(1), 60, 0, 1)
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ts_delta(ts_delta(close, 20), 5) * group_mean(ts_delta(close,10), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_regression(close, ts_step(1), 10, 0, 1) / ts_std_dev(returns,20)
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multiply(group_rank(ts_delta(close,5), industry), ts_delta(close,60))
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ts_delta(close, 30) * ts_std_dev(returns, 20)
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if_else(ts_std_dev(returns,20) > 0.02, ts_delta(close,10), ts_delta(close,60))
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ts_decay_linear(ts_delta(close,5), 30) * group_mean(ts_mean(returns,10), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_regression(close, ts_step(1), 60, 0, 1) * ts_mean(returns, 30)
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ts_corr(group_mean(returns,1,industry), group_mean(returns,1,sector), 20) * ts_delta(close, 20)
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group_rank(ts_delta(close,20), sector) * ts_delta(close, 10)
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ts_mean(returns, 20) * ts_std_dev(group_rank(returns, industry), 20)
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if_else(rank(volume) > 0.7, ts_regression(close, ts_step(1), 30, 0, 1), ts_regression(close, ts_step(1), 60, 0, 1))
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ts_delta(close, 5) * ts_zscore(ts_delta(close,20), industry)
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ts_corr(ts_delta(close,5), ts_delta(volume,5), 60) * ts_rank(ts_mean(returns,20), 60)
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ts_delta(close, 20) * group_mean(ts_regression(close, ts_step(1), 10, 0, 1), 1, bucket(rank(volume), range="0,3,0.4"))
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if_else(ts_rank(ts_std_dev(returns,60), 120) > 0.7, ts_delta(close,5), ts_delta(close,30))
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ts_mean(ts_delta(close,5), 30) * group_scale(ts_delta(close,10), sector)
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ts_decay_linear(ts_mean(returns,5), 20) * group_neutralize(ts_delta(close,20), industry)
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ts_regression(close, ts_step(1), 30, 0, 1) + ts_sum(returns, 20)
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multiply(ts_rank(ts_std_dev(returns,20), 60), ts_delta(close,30))
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group_mean(ts_delta(close,20), 1, bucket(rank(volume), range="0,3,0.4")) * ts_std_dev(returns, 20)
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ts_delta(close, 60) * ts_mean(rank(returns), 30)
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if_else(bucket(rank(volume), range="0,3,0.4") == 0, ts_delta(close,10), ts_delta(close,60))
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ts_mean(returns, 10) * group_zscore(ts_delta(close,20), sector)
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ts_regression(close, ts_step(1), 20, 0, 1) * ts_corr(ts_delta(close,5), ts_delta(volume,5), 20)
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ts_corr(group_mean(returns,1,industry), group_mean(returns,1,sector), 30) * ts_delta(close, 20)
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ts_delta(ts_delta(close, 10), 5) * group_mean(ts_delta(close,5), 1, bucket(rank(volume), range="0,3,0.4"))
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ts_regression(close, ts_step(1), 60, 0, 1) * if_else(ts_std_dev(returns,20) > 0.015, 1, -1)
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multiply(ts_std_dev(group_rank(returns, industry), 20), ts_mean(returns, 5))
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group_neutralize(ts_delta(close, 30), sector) * ts_zscore(volume, 60)
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ts_delta(close, 20) * ts_rank(volume, 30) |