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112 lines
5.5 KiB
112 lines
5.5 KiB
{
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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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} |