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39 lines
1.8 KiB
39 lines
1.8 KiB
subtract(implied_volatility_call_120, implied_volatility_put_90)
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ts_sum(ts_decay_linear(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), 20)
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scale(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), 1)
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winsorize(ts_delta(implied_volatility_call_120, 5), 3)
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normalize(ts_corr(implied_volatility_call_120, implied_volatility_put_90, 10), true)
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rank(add(ts_mean(implied_volatility_call_120, 5), ts_mean(implied_volatility_put_90, 5)))
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if_else(subtract(implied_volatility_call_120, implied_volatility_put_90) > 0, ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), 0)
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group_neutralize(ts_zscore(subtract(implied_volatility_call_120, implied_volatility_put_90), 20), sector)
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ts_scale(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), 20)
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multiply(subtract(implied_volatility_call_120, implied_volatility_put_90), power(fscore_bfl_total, 0.5))
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divide(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), ts_std_dev(implied_volatility_call_120, 10))
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vec_avg(bucket(subtract(implied_volatility_call_120, implied_volatility_put_90)))
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ts_av_diff(subtract(implied_volatility_call_120, implied_volatility_put_90), 15)
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sign(ts_delta(subtract(implied_volatility_call_120, implied_volatility_put_90), 3))
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abs(ts_regression(implied_volatility_call_120, implied_volatility_put_90, 10, 0, 1))
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hump(subtract(implied_volatility_call_120, implied_volatility_put_90), 0.02)
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last_diff_value(ts_sum(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), 5)
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kth_element(subtract(implied_volatility_call_120, implied_volatility_put_90), 10, 3)
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quantile(ts_rank(subtract(implied_volatility_call_120, implied_volatility_put_90), 10), gaussian, 1.0)
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group_zscore(subtract(implied_volatility_call_120, implied_volatility_put_90), industry) |