{ "group_rank(ts_mean(ts_delta(ts_backfill(, ), ), ) / ts_std_dev(ts_delta(ts_backfill(, ), ), ), )": { "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.", "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": { "": { "type": "data_field", "candidates": [ { "id": "fnd23_icsm_m_vers", "description": "[Quarterly] Revenue" }, { "id": "fnd72_s_pit_or_is_q_net_income", "description": "Net Income" }, { "id": "mdl219_1_ocfmargin", "description": "Operating cash flow margin calculated as operating cash flow divided by sales." }, { "id": "fnd23_tangible_bvps", "description": "tangible book value per share." }, { "id": "ebitda_per_share_trailing_twelve_months", "description": "EBITDA per share for the trailing twelve months." } ] }, "": { "type": "integer_parameter", "candidates": [ { "value": 252 }, { "value": 504 }, { "value": 756 }, { "value": 1008 }, { "value": 1260 } ] }, "": { "type": "integer_parameter", "candidates": [ { "value": 42 }, { "value": 63 }, { "value": 84 }, { "value": 126 }, { "value": 252 } ] }, "": { "type": "integer_parameter", "candidates": [ { "value": 20 }, { "value": 40 }, { "value": 60 }, { "value": 80 }, { "value": 120 } ] }, "": { "type": "integer_parameter", "candidates": [ { "value": 20 }, { "value": 40 }, { "value": 60 }, { "value": 120 }, { "value": 252 } ] }, "": { "type": "group_data_field", "candidates": [ { "name": "industry" }, { "name": "sector" }, { "name": "subindustry" } ] } } }, "group_rank(ts_mean(ts_delta(, ), ) / ts_std_dev(ts_delta(, ), ), )": { "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.", "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": { "": { "type": "data_field", "candidates": [ { "id": "close", "description": "Daily close price" }, { "id": "open", "description": "Daily open price" }, { "id": "vwap", "description": "Daily volume weighted average price" }, { "id": "oth463_adjust_close", "description": "Adjusted close price" }, { "id": "high", "description": "Daily high price" } ] }, "": { "type": "integer_parameter", "candidates": [ { "value": 5 }, { "value": 10 }, { "value": 21 }, { "value": 42 } ] }, "": { "type": "integer_parameter", "candidates": [ { "value": 10 }, { "value": 21 }, { "value": 42 }, { "value": 63 }, { "value": 126 } ] }, "": { "type": "integer_parameter", "candidates": [ { "value": 20 }, { "value": 40 }, { "value": 60 }, { "value": 80 }, { "value": 120 } ] }, "": { "type": "group_data_field", "candidates": [ { "name": "industry" }, { "name": "subindustry" }, { "name": "sector" } ] } } }, "group_rank(( - ts_delay(, )) / ts_std_dev( - ts_delay(, ), ), )": { "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": { "": { "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." } ] }, "": { "type": "integer_parameter", "candidates": [ { "value": 1 }, { "value": 4 }, { "value": 8 } ] }, "": { "type": "integer_parameter", "candidates": [ { "value": 8 }, { "value": 12 }, { "value": 16 }, { "value": 20 } ] }, "": { "type": "group_data_field", "candidates": [ { "name": "industry" }, { "name": "sector" }, { "name": "subindustry" } ] } } }, "group_rank(ts_mean(ts_delta(ts_backfill(, ), ), ) / ts_std_dev(ts_delta(ts_backfill(, ), ), ), )": { "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": { "": { "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." } ] }, "": { "type": "integer_parameter", "candidates": [ { "value": 5 }, { "value": 14 }, { "value": 30 }, { "value": 60 } ] }, "": { "type": "integer_parameter", "candidates": [ { "value": 5 }, { "value": 10 }, { "value": 21 }, { "value": 42 }, { "value": 63 } ] }, "": { "type": "integer_parameter", "candidates": [ { "value": 5 }, { "value": 10 }, { "value": 21 }, { "value": 42 }, { "value": 63 } ] }, "": { "type": "integer_parameter", "candidates": [ { "value": 5 }, { "value": 10 }, { "value": 20 }, { "value": 40 }, { "value": 60 } ] }, "": { "type": "group_data_field", "candidates": [ { "name": "industry" }, { "name": "sector" }, { "name": "subindustry" } ] } } }, "group_rank(ts_corr(ts_delta(ts_backfill(, ), ), ts_delta(, ), ), )": { "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": { "": { "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)" } ] }, "": { "type": "integer_parameter", "candidates": [ { "value": 1 }, { "value": 5 }, { "value": 10 }, { "value": 21 } ] }, "": { "type": "integer_parameter", "candidates": [ { "value": 5 }, { "value": 10 }, { "value": 21 }, { "value": 63 }, { "value": 126 } ] }, "": { "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" } ] }, "": { "type": "integer_parameter", "candidates": [ { "value": 5 }, { "value": 10 }, { "value": 21 }, { "value": 42 }, { "value": 63 } ] }, "": { "type": "integer_parameter", "candidates": [ { "value": 20 }, { "value": 40 }, { "value": 60 }, { "value": 120 }, { "value": 252 } ] }, "": { "type": "group_data_field", "candidates": [ { "name": "industry" }, { "name": "subindustry" }, { "name": "sector" } ] } } } }