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20 lines
1.9 KiB
20 lines
1.9 KiB
ts_sum(winsorize(subtract(implied_volatility_call_120, implied_volatility_put_90), std=3), 10)
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ts_zscore(subtract(implied_volatility_call_120, implied_volatility_put_90), 10)
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group_neutralize(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), "subindustry")
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rank(ts_sum(winsorize(subtract(implied_volatility_call_120, implied_volatility_put_90), std=4), 10))
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ts_rank(subtract(implied_volatility_call_120, implied_volatility_put_90), 10)
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ts_scale(subtract(implied_volatility_call_120, implied_volatility_put_90), 10)
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ts_av_diff(subtract(implied_volatility_call_120, implied_volatility_put_90), 10)
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hump(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), hump=0.02)
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ts_decay_linear(subtract(implied_volatility_call_120, implied_volatility_put_90), 10)
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group_zscore(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), "subindustry")
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normalize(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), useStd=true)
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ts_std_dev(subtract(implied_volatility_call_120, implied_volatility_put_90), 10)
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multiply(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), sign(ts_delta(implied_volatility_call_120, 1)))
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rank(ts_zscore(subtract(implied_volatility_call_120, implied_volatility_put_90), 10))
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ts_quantile(subtract(implied_volatility_call_120, implied_volatility_put_90), 10, driver="uniform")
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winsorize(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), std=3.5)
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group_scale(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), "subindustry")
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ts_correlation(subtract(implied_volatility_call_120, implied_volatility_put_90), implied_volatility_call_60, 10)
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ts_arg_max(subtract(implied_volatility_call_120, implied_volatility_put_90), 10)
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ts_delta(ts_sum(winsorize(subtract(implied_volatility_call_120, implied_volatility_put_90), std=4), 10), 1) |