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274 lines
10 KiB
274 lines
10 KiB
{
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"regression_neut(divide(<data_field/>, sqrt(<data_field/>)), log(cap))": {
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"template_explanation": "A direct variation of the seed alpha that transforms a generic investment\u2011quality metric using a square\u2011root compression and then removes any linear size effect via regression neutralization against log market cap. This isolates the residual quality signal that is orthogonal to firm size.",
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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": "NONE",
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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": "ON",
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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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"<data_field/>": {
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"type": "data_field",
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"candidates": []
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}
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}
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},
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"group_neutralize(ts_rank(<data_field/>, <integer_parameter/>), bucket(rank(cap), range=\"0,1,0.1\"))": {
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"template_explanation": "Constructs a time\u2011series rank of a fundamental metric over a short window, then removes the systematic size bias by neutralising against market\u2011cap buckets. The result is a size\u2011adjusted relative strength signal that can be compared across the universe.",
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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": "NONE",
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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": "ON",
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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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"<data_field/>": {
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"type": "data_field",
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"candidates": []
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},
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"<integer_parameter/>": {
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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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{
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"value": 10
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},
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{
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"value": 20
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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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}
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}
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},
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"regression_neut(signed_power(ts_zscore(<data_field/>, <integer_parameter/>), <float_parameter/>), log(cap))": {
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"template_explanation": "Standardises the investment metric with a rolling Z\u2011score, applies a signed power transformation to capture non\u2011linear relationships, and finally neutralises the effect of log market cap. This approach enhances sensitivity to extreme values while controlling for size.",
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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": "NONE",
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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": "ON",
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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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"<data_field/>": {
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"type": "data_field",
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"candidates": []
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},
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"<integer_parameter/>": {
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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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{
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"value": 20
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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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"<float_parameter/>": {
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"type": "float_parameter",
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"candidates": [
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{
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"value": 0.25
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},
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{
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"value": 0.5
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},
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{
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"value": 1.0
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},
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{
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"value": 2.0
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},
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{
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"value": 3.0
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}
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]
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}
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}
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},
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"ts_zscore(ts_delta(<data_field/>, <integer_parameter/>), <integer_parameter/>) - regression_neut(<data_field/>, log(cap))": {
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"template_explanation": "Combines the short\u2011term change of a metric (captured by its rolling delta and Z\u2011score) with the size\u2011neutralised level of the metric. The difference isolates momentum in the metric that is not explained by firm size.",
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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": "NONE",
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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": "ON",
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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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"<data_field/>": {
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"type": "data_field",
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"candidates": [
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{
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"id": "anl39_atanbvps",
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"description": "Book value (tangible) per share - most recent fiscal year"
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},
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{
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"id": "anl39_qtanbvps",
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"description": "Book value (tangible) per share - most recent quarter"
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},
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{
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"id": "anl39_spvba",
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"description": "Book value (Common Equity) per share - most recent fiscal year"
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},
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{
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"id": "anl39_spvbq",
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"description": "Book value (Common Equity) per share - most recent quarter"
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},
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{
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"id": "anl4_bvps_high",
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"description": "Book value - the highest estimation, per share"
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},
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{
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"id": "anl4_bvps_low",
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"description": "Book value - the lowest estimation, per share"
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},
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{
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"id": "anl4_bvps_median",
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"description": "Book value per share - Median value among forecasts"
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},
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{
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"id": "anl4_bvps_number",
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"description": "Book value per share - number of estimations"
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},
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{
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"id": "est_bookvalue_ps",
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"description": "Book value per share - average of estimations"
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}
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]
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},
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"<integer_parameter/>": {
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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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{
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"value": 10
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},
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{
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"value": 20
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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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}
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}
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},
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"group_rank(ts_rank(<data_field/>, <integer_parameter/>), industry)": {
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"template_explanation": "First ranks the metric temporally within each stock, then applies a cross\u2011sectional industry ranking. This double\u2011ranking approach extracts the industry\u2011relative performance trend while abstracting from absolute magnitude.",
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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": "NONE",
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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": "ON",
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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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"<data_field/>": {
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"type": "data_field",
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"candidates": []
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},
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"<integer_parameter/>": {
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"type": "integer_parameter",
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"candidates": [
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{
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"value": 10
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},
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{
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"value": 20
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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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}
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}
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} |