++
This commit is contained in:
jack
@@ -1,112 +0,0 @@
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{
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"ts_zscore(divide(avg_pct_change_estimate_12m_earnings_7d, add(count_analysts_lower_curr_qtr_earnings_30d, 0.0001)), 126)": {
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"template_explanation": "This template applies a 126-day rolling z-score normalization to the original earnings confidence ratio. By standardizing the signal relative to its own historical distribution, it captures whether current earnings optimism (vs. near-term pessimism) is unusually strong or weak compared to historical norms, enabling mean-reversion or momentum trading around historical equilibrium points.",
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"seed_alpha_settings": {
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"instrumentType": "EQUITY",
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"region": "IND",
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"universe": "TOP500",
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"delay": 1,
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"decay": 6,
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"neutralization": "SLOW_AND_FAST",
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"truncation": 0.02,
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||||
"pasteurization": "ON",
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"unitHandling": "VERIFY",
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"nanHandling": "ON",
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"maxTrade": "OFF",
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||||
"maxPosition": "OFF",
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||||
"language": "FASTEXPR",
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"visualization": false,
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"startDate": "2014-01-01",
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"endDate": "2023-12-31"
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},
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"placeholder_candidates": {}
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},
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"group_zscore(ts_mean(avg_pct_change_estimate_12m_earnings_7d, 66), industry)": {
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"template_explanation": "This template calculates the 66-day mean of the 12-month earnings estimate change and then performs industry-relative z-score normalization. It extracts pure earnings momentum by removing sector-wide trends, identifying stocks within each industry that have stronger or weaker earnings revisions than their peer group average.",
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"seed_alpha_settings": {
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"instrumentType": "EQUITY",
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"region": "IND",
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"universe": "TOP500",
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"delay": 1,
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"decay": 6,
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"neutralization": "SLOW_AND_FAST",
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"truncation": 0.02,
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"pasteurization": "ON",
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"unitHandling": "VERIFY",
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"nanHandling": "ON",
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"maxTrade": "OFF",
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"maxPosition": "OFF",
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"language": "FASTEXPR",
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"visualization": false,
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"startDate": "2014-01-01",
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"endDate": "2023-12-31"
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},
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"placeholder_candidates": {}
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},
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"ts_decay_linear(avg_pct_change_estimate_12m_earnings_7d, 20)": {
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"template_explanation": "This template applies exponential decay weighting to the 12-month earnings estimate changes over a 20-day window. Recent earnings revisions receive higher weight than older ones, creating a smoothed momentum signal that responds quickly to new information while filtering out short-term noise\u2014a refined version focusing purely on the numerator's forward-looking signal.",
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"seed_alpha_settings": {
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"instrumentType": "EQUITY",
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"region": "IND",
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"universe": "TOP500",
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"delay": 1,
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"decay": 6,
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"neutralization": "SLOW_AND_FAST",
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"truncation": 0.02,
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"pasteurization": "ON",
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"unitHandling": "VERIFY",
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"nanHandling": "ON",
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"maxTrade": "OFF",
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"maxPosition": "OFF",
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"language": "FASTEXPR",
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"visualization": false,
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"startDate": "2014-01-01",
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"endDate": "2023-12-31"
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},
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"placeholder_candidates": {}
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},
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"regression_neut(ts_mean(avg_pct_change_estimate_12m_earnings_7d, 66), log(cap))": {
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"template_explanation": "This template removes the market cap factor exposure from the earnings momentum signal using regression neutralization. By stripping out size bias (larger companies may have more analyst coverage and different revision patterns), this alpha isolates the pure earnings-specific component, reducing unintended factor tilts.",
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"seed_alpha_settings": {
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"instrumentType": "EQUITY",
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"region": "IND",
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"universe": "TOP500",
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"delay": 1,
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"decay": 6,
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"neutralization": "SLOW_AND_FAST",
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"truncation": 0.02,
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"pasteurization": "ON",
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"unitHandling": "VERIFY",
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"nanHandling": "ON",
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"maxTrade": "OFF",
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"maxPosition": "OFF",
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"language": "FASTEXPR",
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"visualization": false,
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"startDate": "2014-01-01",
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"endDate": "2023-12-31"
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},
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"placeholder_candidates": {}
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},
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"divide(ts_rank(avg_pct_change_estimate_12m_earnings_7d, 252), add(ts_rank(count_analysts_lower_curr_qtr_earnings_30d, 126), 0.1))": {
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"template_explanation": "This template converts both earnings estimate change and analyst cut counts into percentile ranks before taking their ratio. The 252-day rank for earnings captures long-term earnings momentum, while the 126-day rank for analyst cuts captures recent bearishness. Ranking before division creates a more robust, distribution-invariant signal that is comparable across different market regimes.",
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"seed_alpha_settings": {
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"instrumentType": "EQUITY",
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"region": "IND",
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"universe": "TOP500",
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"delay": 1,
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"decay": 6,
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"neutralization": "SLOW_AND_FAST",
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"truncation": 0.02,
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"pasteurization": "ON",
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"unitHandling": "VERIFY",
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"nanHandling": "ON",
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"maxTrade": "OFF",
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||||
"maxPosition": "OFF",
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"language": "FASTEXPR",
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"visualization": false,
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"startDate": "2014-01-01",
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"endDate": "2023-12-31"
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},
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"placeholder_candidates": {}
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}
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}
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@@ -1,654 +0,0 @@
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{
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"group_rank(ts_mean(ts_delta(ts_backfill(<fundamental_field/>, <backfill_days/>), <delta_days/>), <mean_days/>) / ts_std_dev(ts_delta(ts_backfill(<fundamental_field/>, <backfill_days/>), <delta_days/>), <std_days/>), <group_field/>)": {
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"template_explanation": "Generalized risk-adjusted fundamental momentum: replaces EPS with any quarterly fundamental, keeps the Sharpe-like score and intra-group ranking to isolate smooth, persistent trends while neutralizing structural differences across groups.",
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"seed_alpha_settings": {
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"instrumentType": "EQUITY",
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"region": "GLB",
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"universe": "TOPDIV3000",
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"delay": 1,
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"decay": 0,
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"neutralization": "STATISTICAL",
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"truncation": 0.01,
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"pasteurization": "ON",
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"unitHandling": "VERIFY",
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"nanHandling": "ON",
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"maxTrade": "OFF",
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"language": "FASTEXPR",
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"visualization": false,
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"startDate": "2013-01-20",
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"endDate": "2023-01-20"
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},
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"placeholder_candidates": {
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"<fundamental_field/>": {
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"type": "data_field",
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"candidates": [
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{
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"id": "fnd23_icsm_m_vers",
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"description": "[Quarterly] Revenue"
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},
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{
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"id": "fnd72_s_pit_or_is_q_net_income",
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"description": "Net Income"
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},
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{
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"id": "mdl219_1_ocfmargin",
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"description": "Operating cash flow margin calculated as operating cash flow divided by sales."
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},
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{
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"id": "fnd23_tangible_bvps",
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"description": "tangible book value per share."
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},
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{
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"id": "ebitda_per_share_trailing_twelve_months",
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"description": "EBITDA per share for the trailing twelve months."
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}
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]
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},
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"<backfill_days/>": {
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"type": "integer_parameter",
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"candidates": [
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{
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"value": 252
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},
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{
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"value": 504
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},
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{
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"value": 756
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},
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{
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"value": 1008
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},
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{
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"value": 1260
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}
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]
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},
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"<delta_days/>": {
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"type": "integer_parameter",
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"candidates": [
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{
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"value": 42
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},
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{
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"value": 63
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},
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{
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"value": 84
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},
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{
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"value": 126
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},
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{
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"value": 252
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}
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]
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},
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"<mean_days/>": {
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"type": "integer_parameter",
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"candidates": [
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{
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"value": 20
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},
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{
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"value": 40
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||||
},
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{
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||||
"value": 60
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||||
},
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||||
{
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"value": 80
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},
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{
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"value": 120
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||||
}
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]
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},
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"<std_days/>": {
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"type": "integer_parameter",
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"candidates": [
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{
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"value": 20
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||||
},
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||||
{
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||||
"value": 40
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||||
},
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||||
{
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||||
"value": 60
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||||
},
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||||
{
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||||
"value": 120
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},
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{
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"value": 252
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}
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]
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},
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"<group_field/>": {
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"type": "group_data_field",
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"candidates": [
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{
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"name": "industry"
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},
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{
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||||
"name": "sector"
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||||
},
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{
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"name": "subindustry"
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||||
}
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||||
]
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||||
}
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||||
}
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},
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"group_rank(ts_mean(ts_delta(<price_field/>, <short_delta/>), <medium_mean/>) / ts_std_dev(ts_delta(<price_field/>, <short_delta/>), <medium_std/>), <group_field/>)": {
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||||
"template_explanation": "Price-momentum version of the seed: uses returns instead of EPS change, still rewards consistent momentum within each sector/industry, producing a cleaner trend signal that is not distorted by industry-wide volatility regimes.",
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"seed_alpha_settings": {
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||||
"instrumentType": "EQUITY",
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||||
"region": "GLB",
|
||||
"universe": "TOPDIV3000",
|
||||
"delay": 1,
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||||
"decay": 0,
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||||
"neutralization": "STATISTICAL",
|
||||
"truncation": 0.01,
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||||
"pasteurization": "ON",
|
||||
"unitHandling": "VERIFY",
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||||
"nanHandling": "ON",
|
||||
"maxTrade": "OFF",
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||||
"language": "FASTEXPR",
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||||
"visualization": false,
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||||
"startDate": "2013-01-20",
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||||
"endDate": "2023-01-20"
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||||
},
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||||
"placeholder_candidates": {
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||||
"<price_field/>": {
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"type": "data_field",
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"candidates": [
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||||
{
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"id": "close",
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"description": "Daily close price"
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},
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{
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"id": "open",
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"description": "Daily open price"
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},
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{
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"id": "vwap",
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"description": "Daily volume weighted average price"
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},
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{
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"id": "oth463_adjust_close",
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"description": "Adjusted close price"
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||||
},
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||||
{
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"id": "high",
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"description": "Daily high price"
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||||
}
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||||
]
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||||
},
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"<short_delta/>": {
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||||
"type": "integer_parameter",
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"candidates": [
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||||
{
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||||
"value": 5
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||||
},
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||||
{
|
||||
"value": 10
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||||
},
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||||
{
|
||||
"value": 21
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||||
},
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||||
{
|
||||
"value": 42
|
||||
}
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||||
]
|
||||
},
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||||
"<medium_mean/>": {
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||||
"type": "integer_parameter",
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||||
"candidates": [
|
||||
{
|
||||
"value": 10
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||||
},
|
||||
{
|
||||
"value": 21
|
||||
},
|
||||
{
|
||||
"value": 42
|
||||
},
|
||||
{
|
||||
"value": 63
|
||||
},
|
||||
{
|
||||
"value": 126
|
||||
}
|
||||
]
|
||||
},
|
||||
"<medium_std/>": {
|
||||
"type": "integer_parameter",
|
||||
"candidates": [
|
||||
{
|
||||
"value": 20
|
||||
},
|
||||
{
|
||||
"value": 40
|
||||
},
|
||||
{
|
||||
"value": 60
|
||||
},
|
||||
{
|
||||
"value": 80
|
||||
},
|
||||
{
|
||||
"value": 120
|
||||
}
|
||||
]
|
||||
},
|
||||
"<group_field/>": {
|
||||
"type": "group_data_field",
|
||||
"candidates": [
|
||||
{
|
||||
"name": "industry"
|
||||
},
|
||||
{
|
||||
"name": "subindustry"
|
||||
},
|
||||
{
|
||||
"name": "sector"
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
},
|
||||
"group_rank((<fundamental_field/> - ts_delay(<fundamental_field/>, <lag_quarters/>)) / ts_std_dev(<fundamental_field/> - ts_delay(<fundamental_field/>, <lag_quarters/>), <std_quarters/>), <group_field/>)": {
|
||||
"template_explanation": "SUE-style surprise on any quarterly metric: standardizes the YoY (or QoQ) jump by its own historical volatility, then ranks within peer groups to highlight genuine outliers while canceling systematic industry drift.",
|
||||
"seed_alpha_settings": {
|
||||
"instrumentType": "EQUITY",
|
||||
"region": "GLB",
|
||||
"universe": "TOPDIV3000",
|
||||
"delay": 1,
|
||||
"decay": 0,
|
||||
"neutralization": "STATISTICAL",
|
||||
"truncation": 0.01,
|
||||
"pasteurization": "ON",
|
||||
"unitHandling": "VERIFY",
|
||||
"nanHandling": "ON",
|
||||
"maxTrade": "OFF",
|
||||
"language": "FASTEXPR",
|
||||
"visualization": false,
|
||||
"startDate": "2013-01-20",
|
||||
"endDate": "2023-01-20"
|
||||
},
|
||||
"placeholder_candidates": {
|
||||
"<fundamental_field/>": {
|
||||
"type": "data_field",
|
||||
"candidates": [
|
||||
{
|
||||
"id": "fnd72_s_pit_or_is_q_net_income",
|
||||
"description": "Net Income"
|
||||
},
|
||||
{
|
||||
"id": "star_rev_surprise_prediction_fy2",
|
||||
"description": "Revenue predicted surprise pct - forward 2 years"
|
||||
},
|
||||
{
|
||||
"id": "star_eps_smart_estimate_12m",
|
||||
"description": "SmartEstimate F12M EPS"
|
||||
},
|
||||
{
|
||||
"id": "ebitda_per_share_trailing_twelve_months",
|
||||
"description": "EBITDA per share for the trailing twelve months."
|
||||
},
|
||||
{
|
||||
"id": "mdl219_1_ocfmargin",
|
||||
"description": "Operating cash flow margin calculated as operating cash flow divided by sales."
|
||||
}
|
||||
]
|
||||
},
|
||||
"<lag_quarters/>": {
|
||||
"type": "integer_parameter",
|
||||
"candidates": [
|
||||
{
|
||||
"value": 1
|
||||
},
|
||||
{
|
||||
"value": 4
|
||||
},
|
||||
{
|
||||
"value": 8
|
||||
}
|
||||
]
|
||||
},
|
||||
"<std_quarters/>": {
|
||||
"type": "integer_parameter",
|
||||
"candidates": [
|
||||
{
|
||||
"value": 8
|
||||
},
|
||||
{
|
||||
"value": 12
|
||||
},
|
||||
{
|
||||
"value": 16
|
||||
},
|
||||
{
|
||||
"value": 20
|
||||
}
|
||||
]
|
||||
},
|
||||
"<group_field/>": {
|
||||
"type": "group_data_field",
|
||||
"candidates": [
|
||||
{
|
||||
"name": "industry"
|
||||
},
|
||||
{
|
||||
"name": "sector"
|
||||
},
|
||||
{
|
||||
"name": "subindustry"
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
},
|
||||
"group_rank(ts_mean(ts_delta(ts_backfill(<alternative_field/>, <backfill_days/>), <delta_days/>), <mean_days/>) / ts_std_dev(ts_delta(ts_backfill(<alternative_field/>, <backfill_days/>), <delta_days/>), <std_days/>), <group_field/>)": {
|
||||
"template_explanation": "Alternative-data momentum clone: applies the same risk-adjusted change logic to non-traditional data (web-traffic, sentiment, etc.), yielding a smooth, comparable signal that is industry-neutral and robust to data gaps.",
|
||||
"seed_alpha_settings": {
|
||||
"instrumentType": "EQUITY",
|
||||
"region": "GLB",
|
||||
"universe": "TOPDIV3000",
|
||||
"delay": 1,
|
||||
"decay": 0,
|
||||
"neutralization": "STATISTICAL",
|
||||
"truncation": 0.01,
|
||||
"pasteurization": "ON",
|
||||
"unitHandling": "VERIFY",
|
||||
"nanHandling": "ON",
|
||||
"maxTrade": "OFF",
|
||||
"language": "FASTEXPR",
|
||||
"visualization": false,
|
||||
"startDate": "2013-01-20",
|
||||
"endDate": "2023-01-20"
|
||||
},
|
||||
"placeholder_candidates": {
|
||||
"<alternative_field/>": {
|
||||
"type": "data_field",
|
||||
"candidates": [
|
||||
{
|
||||
"id": "fnd23_intfvalld1_qkim",
|
||||
"description": "Traffic acquisition costs (TAC) represent the cost for a company to acquire traffic to their site."
|
||||
},
|
||||
{
|
||||
"id": "snt22pos_min_377",
|
||||
"description": "minimum positive sentiment score."
|
||||
},
|
||||
{
|
||||
"id": "mdl106_tre",
|
||||
"description": "earnings revenue trend"
|
||||
},
|
||||
{
|
||||
"id": "fnd23_intfvalld1_liim",
|
||||
"description": "Click Rate, Total - %. It shows the frequency an advertisement downloaded with a webpage is clicked on. This is obtained using the number of clicks on an ad on a webpage, divided by the total number of times that the ad was downloaded with a page."
|
||||
},
|
||||
{
|
||||
"id": "headline_sentiment_value",
|
||||
"description": "Aggregate sentiment value computed for the news headline."
|
||||
}
|
||||
]
|
||||
},
|
||||
"<backfill_days/>": {
|
||||
"type": "integer_parameter",
|
||||
"candidates": [
|
||||
{
|
||||
"value": 5
|
||||
},
|
||||
{
|
||||
"value": 14
|
||||
},
|
||||
{
|
||||
"value": 30
|
||||
},
|
||||
{
|
||||
"value": 60
|
||||
}
|
||||
]
|
||||
},
|
||||
"<delta_days/>": {
|
||||
"type": "integer_parameter",
|
||||
"candidates": [
|
||||
{
|
||||
"value": 5
|
||||
},
|
||||
{
|
||||
"value": 10
|
||||
},
|
||||
{
|
||||
"value": 21
|
||||
},
|
||||
{
|
||||
"value": 42
|
||||
},
|
||||
{
|
||||
"value": 63
|
||||
}
|
||||
]
|
||||
},
|
||||
"<mean_days/>": {
|
||||
"type": "integer_parameter",
|
||||
"candidates": [
|
||||
{
|
||||
"value": 5
|
||||
},
|
||||
{
|
||||
"value": 10
|
||||
},
|
||||
{
|
||||
"value": 21
|
||||
},
|
||||
{
|
||||
"value": 42
|
||||
},
|
||||
{
|
||||
"value": 63
|
||||
}
|
||||
]
|
||||
},
|
||||
"<std_days/>": {
|
||||
"type": "integer_parameter",
|
||||
"candidates": [
|
||||
{
|
||||
"value": 5
|
||||
},
|
||||
{
|
||||
"value": 10
|
||||
},
|
||||
{
|
||||
"value": 20
|
||||
},
|
||||
{
|
||||
"value": 40
|
||||
},
|
||||
{
|
||||
"value": 60
|
||||
}
|
||||
]
|
||||
},
|
||||
"<group_field/>": {
|
||||
"type": "group_data_field",
|
||||
"candidates": [
|
||||
{
|
||||
"name": "industry"
|
||||
},
|
||||
{
|
||||
"name": "sector"
|
||||
},
|
||||
{
|
||||
"name": "subindustry"
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
},
|
||||
"group_rank(ts_corr(ts_delta(ts_backfill(<fundamental_field/>, <bf/>), <d1/>), ts_delta(<price_field/>, <d2/>), <corr_win/>), <group_field/>)": {
|
||||
"template_explanation": "Earnings-to-price alignment factor: measures how tightly fundamental momentum co-moves with price momentum; high correlation within group flags firms where the market promptly rewards improving fundamentals, suggesting continued follow-through.",
|
||||
"seed_alpha_settings": {
|
||||
"instrumentType": "EQUITY",
|
||||
"region": "GLB",
|
||||
"universe": "TOPDIV3000",
|
||||
"delay": 1,
|
||||
"decay": 0,
|
||||
"neutralization": "STATISTICAL",
|
||||
"truncation": 0.01,
|
||||
"pasteurization": "ON",
|
||||
"unitHandling": "VERIFY",
|
||||
"nanHandling": "ON",
|
||||
"maxTrade": "OFF",
|
||||
"language": "FASTEXPR",
|
||||
"visualization": false,
|
||||
"startDate": "2013-01-20",
|
||||
"endDate": "2023-01-20"
|
||||
},
|
||||
"placeholder_candidates": {
|
||||
"<fundamental_field/>": {
|
||||
"type": "data_field",
|
||||
"candidates": [
|
||||
{
|
||||
"id": "ern3_all_delay_1_next_reptime",
|
||||
"description": "next report time"
|
||||
},
|
||||
{
|
||||
"id": "star_rev_surprise_prediction_fy2",
|
||||
"description": "Revenue predicted surprise pct - forward 2 years"
|
||||
},
|
||||
{
|
||||
"id": "fnd72_s_pit_or_is_q_net_income",
|
||||
"description": "Net Income"
|
||||
},
|
||||
{
|
||||
"id": "ebitda_per_share_trailing_twelve_months",
|
||||
"description": "EBITDA per share for the trailing twelve months."
|
||||
},
|
||||
{
|
||||
"id": "fnd7_ointfund_qfcnif",
|
||||
"description": "Quarterly Fundamental Item: Financing Activities -> Net Cash Flow (Statement of Cash Flows)"
|
||||
}
|
||||
]
|
||||
},
|
||||
"<bf/>": {
|
||||
"type": "integer_parameter",
|
||||
"candidates": [
|
||||
{
|
||||
"value": 1
|
||||
},
|
||||
{
|
||||
"value": 5
|
||||
},
|
||||
{
|
||||
"value": 10
|
||||
},
|
||||
{
|
||||
"value": 21
|
||||
}
|
||||
]
|
||||
},
|
||||
"<d1/>": {
|
||||
"type": "integer_parameter",
|
||||
"candidates": [
|
||||
{
|
||||
"value": 5
|
||||
},
|
||||
{
|
||||
"value": 10
|
||||
},
|
||||
{
|
||||
"value": 21
|
||||
},
|
||||
{
|
||||
"value": 63
|
||||
},
|
||||
{
|
||||
"value": 126
|
||||
}
|
||||
]
|
||||
},
|
||||
"<price_field/>": {
|
||||
"type": "data_field",
|
||||
"candidates": [
|
||||
{
|
||||
"id": "close",
|
||||
"description": "Daily close price"
|
||||
},
|
||||
{
|
||||
"id": "pv37_volume_13",
|
||||
"description": "Trading volume"
|
||||
},
|
||||
{
|
||||
"id": "srp_average_score",
|
||||
"description": "Average score"
|
||||
},
|
||||
{
|
||||
"id": "pv37_open_13",
|
||||
"description": "Open price"
|
||||
},
|
||||
{
|
||||
"id": "open",
|
||||
"description": "Daily open price"
|
||||
}
|
||||
]
|
||||
},
|
||||
"<d2/>": {
|
||||
"type": "integer_parameter",
|
||||
"candidates": [
|
||||
{
|
||||
"value": 5
|
||||
},
|
||||
{
|
||||
"value": 10
|
||||
},
|
||||
{
|
||||
"value": 21
|
||||
},
|
||||
{
|
||||
"value": 42
|
||||
},
|
||||
{
|
||||
"value": 63
|
||||
}
|
||||
]
|
||||
},
|
||||
"<corr_win/>": {
|
||||
"type": "integer_parameter",
|
||||
"candidates": [
|
||||
{
|
||||
"value": 20
|
||||
},
|
||||
{
|
||||
"value": 40
|
||||
},
|
||||
{
|
||||
"value": 60
|
||||
},
|
||||
{
|
||||
"value": 120
|
||||
},
|
||||
{
|
||||
"value": 252
|
||||
}
|
||||
]
|
||||
},
|
||||
"<group_field/>": {
|
||||
"type": "group_data_field",
|
||||
"candidates": [
|
||||
{
|
||||
"name": "industry"
|
||||
},
|
||||
{
|
||||
"name": "subindustry"
|
||||
},
|
||||
{
|
||||
"name": "sector"
|
||||
}
|
||||
]
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1 +0,0 @@
|
||||
[]
|
||||
@@ -1,7 +0,0 @@
|
||||
[
|
||||
"divide(ts_rank(avg_pct_change_estimate_12m_earnings_7d, 252), add(ts_rank(count_analysts_lower_curr_qtr_earnings_30d, 126), 0.1))",
|
||||
"regression_neut(ts_mean(avg_pct_change_estimate_12m_earnings_7d, 66), log(cap))",
|
||||
"ts_decay_linear(avg_pct_change_estimate_12m_earnings_7d, 20)",
|
||||
"ts_zscore(divide(avg_pct_change_estimate_12m_earnings_7d, add(count_analysts_lower_curr_qtr_earnings_30d, 0.0001)), 126)",
|
||||
"group_zscore(ts_mean(avg_pct_change_estimate_12m_earnings_7d, 66), industry)"
|
||||
]
|
||||
Reference in New Issue
Block a user