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40 lines
2.4 KiB
40 lines
2.4 KiB
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multiply(group_neutralize(ts_corr(ts_delay(group_mean(returns, 1, industry), 5), group_mean(returns, 1, industry), 20), subindustry), ts_delta(close, 10))
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multiply(if_else(rank(volume) > 0.7, ts_delta(close, 5), reverse(ts_delta(close, 20))), ts_zscore(returns, 60))
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multiply(group_neutralize(ts_corr(ts_delay(group_mean(returns, 1, industry), 5), group_mean(returns, 1, industry), 20), subindustry), ts_delta(close, 10))
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multiply(if_else(rank(volume) > 0.7, ts_delta(close, 5), reverse(ts_delta(close, 20))), ts_zscore(returns, 60))
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multiply(ts_corr(group_mean(close, 1, industry), group_mean(close, 1, sector), 30), group_zscore(ts_regression(close, ts_step(1), 20, 0, 1), industry))
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multiply(ts_rank(ts_delta(close, 20), 60), ts_zscore(divide(volume, ts_mean(volume, 60)), 20))
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multiply(reverse(rank(ts_rank(divide(volume, ts_mean(volume, 20)), 10))), ts_delta(close, 20))
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divide(ts_delta(close, 20), if_else(ts_std_dev(returns, 20) > 0.02, ts_std_dev(returns, 5), ts_std_dev(returns, 20)))
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group_neutralize(multiply(ts_corr(ts_delay(group_mean(returns, 1, industry), 5), group_mean(returns, 1, industry), 30), ts_delta(close, 10)), subindustry)
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multiply(ts_rank(ts_delta(close, 20), 60), group_scale(divide(volume, ts_mean(volume, 20)), industry))
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multiply(if_else(rank(volume) > 0.7, ts_delta(close, 5), reverse(ts_delta(close, 20))), ts_zscore(returns, 60))
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divide(ts_delta(close, 20), if_else(ts_std_dev(returns, 20) > 0.02, ts_std_dev(returns, 5), ts_std_dev(returns, 20)))
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multiply(ts_corr(group_mean(close, 1, industry), group_mean(close, 1, sector), 30), group_zscore(ts_regression(close, ts_step(1), 20, 0, 1), industry))
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multiply(ts_rank(ts_delta(close, 20), 60), ts_zscore(divide(volume, ts_mean(volume, 60)), 20))
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multiply(reverse(rank(ts_rank(divide(volume, ts_mean(volume, 20)), 10))), ts_delta(close, 20))
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multiply(ts_corr(rank(volume), ts_rank(close, 60), 20), group_neutralize(ts_delta(close, 20), industry))
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multiply(if_else(ts_rank(ts_std_dev(returns, 60), 120) > 0.8, ts_delta(close, 5), ts_delta(close, 60)), ts_zscore(volume, 20))
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multiply(group_rank(ts_delta(close, 10), industry), divide(volume, ts_mean(volume, 20)))
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multiply(ts_corr(ts_delay(group_mean(returns, 1, industry), 5), group_mean(returns, 1, industry), 20), group_mean(divide(volume, ts_mean(volume, 20)), 1, bucket(rank(volume), range="0,3,0.4")))
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multiply(ts_corr(group_mean(close, 1, industry), close, 20), group_neutralize(ts_regression(close, ts_step(1), 10, 0, 1), industry)) |