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20 lines
907 B
20 lines
907 B
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Here are the five industry factors using WebSim functions:
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```python
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group_mean(ts_return(close, 252), industry) # Industry Momentum Factor
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group_mean((close / ts_mean(close, 252) - 1), industry) # Valuation Repair Factor
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group_mean(ts_sum((close - ts_lag(close, 1)) * volume, 21), industry) # Capital Flow Factor
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group_mean(ts_std(ts_return(close, 1), 21), industry) # Volatility Adjustment Factor
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group_mean(ts_rank(close, 252), industry) # Relative Strength Factor
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```
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These factors:
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1. Measure industry momentum using 12-month returns
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2. Evaluate valuation through 200-day mean reversion
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3. Track capital flow with 1-month price-volume accumulation
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4. Assess volatility risk with 21-day standard deviation
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5. Gauge cross-sectional strength via 12-month price ranking
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Each is calculated by averaging stock-level metrics within industry groups using `group_mean()` for industry-specific signals. |