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9 lines
842 B
9 lines
842 B
ts_delta(close, 20) * group_zscore(ts_delta(close, 20), industry) * hump(ts_volume, hump=0.01)
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ts_rank(ts_std_dev(returns, 20), 60) * if_else(ts_rank(volume, 60) > 0.7, ts_delta(close, 5), ts_delta(close, 20)) * group_neutralize(ts_delta(close, 10), sector)
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ts_corr(group_mean(returns, 1, sector), returns, 30) * ts_delta(close, 10) * bucket(rank(ts_volume), range="0,3,0.4") * hump(ts_delta(close, 60), hump=0.01)
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ts_zscore(ts_delta(close, 20), 60) * group_mean(ts_delta(close, 5), 1, industry) * if_else(ts_std_dev(returns, 20) > 0.02, ts_delta(close, 5), ts_delta(close, 20)) * hump(ts_rank(ts_corr(close, ts_delay(close, 5), 20), 60), hump=0.02)
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ts_delta(group_mean(close, 1, subindustry), 10) * ts_rank(volume, 30) * group_scale(ts_delta(close, 30), sector) * if_else(ts_count_nans(ts_delta(close, 5), 20) > 5, 0, ts_delta(close, 5)) |