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81 lines
4.5 KiB
81 lines
4.5 KiB
ts_delta(close, 20) * bucket(rank(volume), range="0,3,0.4")
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group_mean(ts_delta(close, 10), 1, industry) * ts_rank(ts_std_dev(returns, 20), 60)
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ts_corr(group_mean(returns, 1, industry_A), group_mean(returns, 1, industry_B), 30) * ts_delta(close, 10)
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multiply(reverse(ts_rank(divide(volume, ts_mean(volume, 20)), 10)), ts_delta(close, 20))
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ts_regression(close, ts_step(1), 60, 0, 1) * group_zscore(ts_delta(close, 5), industry)
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hump(ts_delta(ts_delta(close, 5), 5), hump=0.01) * group_neutralize(ts_rank(volume, 20), industry)
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winsorize(ts_delta(close, 10) / ts_std_dev(returns, 10), std=4) * bucket(rank(ts_std_dev(returns, 60)), range="0,5,0.25")
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if_else(ts_rank(ts_std_dev(returns, 60), 120) > 0.7, ts_delta(close, 5), ts_delta(close, 60)) * group_scale(close, industry)
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ts_delay(group_mean(returns, 1, sector), 10) * ts_zscore(volume, 20)
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ts_delta(group_mean(close, 1, subindustry), 5) * ts_corr(close, ts_mean(close, 60), 30)
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hump(multiply(ts_delta(close, 20), group_rank(volume, industry)), hump=0.01) * ts_rank(ts_std_dev(returns, 20), 60)
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bucket(ts_rank(ts_delta(close, 10), 30), range="0,4,0.25") * group_neutralize(ts_regression(close, ts_step(1), 20, 0, 1), sector)
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ts_product(ts_delta(close, 5), 5) * group_zscore(divide(volume, adv20), subindustry)
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ts_mean(ts_delta(close, 20), 30) * if_else(rank(volume) > 0.8, 1, -1)
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winsorize(group_mean(ts_delta(close, 10), 1, industry), std=3) * ts_rank(ts_std_dev(returns, 60), 120)
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ts_corr(ts_delay(close, 10), group_mean(close, 1, sector), 30) * group_zscore(ts_delta(close, 5), subindustry)
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hump(group_mean(ts_delta(close, 20), 1, industry) - ts_delta(close, 20), hump=0.01) * ts_rank(volume, 20)
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bucket(group_rank(returns, sector), range="0,5,0.2") * multiply(ts_delta(close, 10), ts_std_dev(returns, 10))
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ts_delay(group_mean(returns, 1, industry_A), 5) * ts_corr(group_mean(returns, 1, industry_B), close, 20)
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hump(ts_rank(ts_delta(close, 5), 10) * group_scale(ts_std_dev(returns, 60), industry), hump=0.01) * ts_mean(volume, 20)
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group_zscore(ts_delta(close, 20), sector) * if_else(ts_std_dev(returns, 20) > 0.02, ts_delta(close, 5), ts_delta(close, 60))
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ts_regression(group_mean(close, 1, subindustry), ts_step(1), 60, 0, 1) * bucket(rank(ts_std_dev(returns, 20)), range="0,4,1")
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ts_delta(group_mean(close, 1, sector), 10) * winsorize(ts_rank(volume, 30), std=3)
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multiply(ts_corr(close, ts_mean(close, 60), 30), ts_delta(close, 20)) * group_neutralize(ts_delta(close, 5), industry)
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hump(group_mean(ts_delta(close, 5), 1, industry) * ts_rank(ts_std_dev(returns, 20), 60), hump=0.01) * bucket(rank(volume), range="0,3,0.3")
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ts_delay(group_mean(returns, 1, industry), 5) * group_scale(ts_delta(close, 10), subindustry)
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ts_delta(ts_regression(close, ts_step(1), 30, 0, 1), 5) * bucket(rank(ts_std_dev(returns, 60)), range="0,5,1")
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group_mean(ts_delta(close, 10), 1, sector) * if_else(ts_rank(ts_std_dev(returns, 60), 120) > 0.8, ts_delta(close, 5), ts_delta(close, 20))
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hump(multiply(ts_delta(close, 20), ts_rank(volume, 30)), hump=0.01) * group_rank(ts_std_dev(returns, 20), industry)
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ts_corr(ts_delay(group_mean(returns, 1, industry_A), 5), group_mean(returns, 1, industry_B), 30) * ts_delta(close, 10)
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bucket(group_rank(ts_delta(close, 20), subindustry), range="0,5,0.25") * group_neutralize(ts_zscore(volume, 20), sector)
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ts_delay(group_mean(close, 1, sector), 10) * multiply(ts_delta(close, 5), ts_std_dev(returns, 5))
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group_neutralize(hump(ts_delta(close, 30), hump=0.01), industry) * bucket(rank(ts_mean(volume, 60)), range="0,4,0.25")
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ts_corr(group_mean(returns, 1, industry), close, 20) * if_else(ts_std_dev(returns, 20) > 0.03, ts_delta(close, 5), ts_delta(close, 20))
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winsorize(hump(ts_delta(close, 10), hump=0.01) * ts_rank(volume, 30), std=4) * group_scale(ts_std_dev(returns, 60), subindustry)
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ts_delay(group_mean(close, 1, subindustry), 5) * ts_corr(close, ts_mean(close, 60), 30)
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bucket(group_zscore(ts_delta(close, 10), sector), range="0,5,0.2") * multiply(reverse(ts_rank(volume, 20)), ts_delta(close, 20))
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ts_regression(group_mean(close, 1, industry), ts_step(1), 60, 0, 1) * if_else(ts_rank(ts_std_dev(returns, 60), 120) > 0.7, ts_delta(close, 5), ts_delta(close, 60))
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group_mean(winsorize(ts_delta(close, 20), std=3), 1, sector) * ts_rank(ts_std_dev(returns, 20), 60)
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ts_corr(group_mean(returns, 1, industry_A), group_mean(returns, 1, industry_B), 30) * ts_delta(close, 10)
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hump(group_mean(ts_delta(close, 5), 1, industry) * ts_rank(ts_std_dev(returns, 60), 120), hump=0.01) * bucket(rank(volume), range="0,3,0.4") |