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654 lines
23 KiB
654 lines
23 KiB
{
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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",
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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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"<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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{
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"value": 10
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},
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{
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"value": 21
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},
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{
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"value": 42
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}
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]
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},
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"<medium_mean/>": {
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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": 21
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},
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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": 126
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}
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]
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},
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"<medium_std/>": {
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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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"<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": "subindustry"
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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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}
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}
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},
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"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/>)": {
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"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.",
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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": "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": "star_rev_surprise_prediction_fy2",
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"description": "Revenue predicted surprise pct - forward 2 years"
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},
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{
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"id": "star_eps_smart_estimate_12m",
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"description": "SmartEstimate F12M EPS"
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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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"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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},
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"<lag_quarters/>": {
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"type": "integer_parameter",
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"candidates": [
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{
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"value": 1
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},
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{
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"value": 4
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},
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{
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"value": 8
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}
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]
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},
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"<std_quarters/>": {
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"type": "integer_parameter",
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"candidates": [
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{
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"value": 8
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},
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{
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"value": 12
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},
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{
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"value": 16
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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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},
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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(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/>)": {
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"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.",
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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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"<alternative_field/>": {
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"type": "data_field",
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"candidates": [
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{
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"id": "fnd23_intfvalld1_qkim",
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"description": "Traffic acquisition costs (TAC) represent the cost for a company to acquire traffic to their site."
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},
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{
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"id": "snt22pos_min_377",
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"description": "minimum positive sentiment score."
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},
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{
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"id": "mdl106_tre",
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"description": "earnings revenue trend"
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},
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{
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"id": "fnd23_intfvalld1_liim",
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"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."
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},
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{
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"id": "headline_sentiment_value",
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"description": "Aggregate sentiment value computed for the news headline."
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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": 5
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},
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{
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"value": 14
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},
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{
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"value": 30
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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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},
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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": 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": 21
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},
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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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},
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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": 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": 21
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},
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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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},
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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": 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": 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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},
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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_corr(ts_delta(ts_backfill(<fundamental_field/>, <bf/>), <d1/>), ts_delta(<price_field/>, <d2/>), <corr_win/>), <group_field/>)": {
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"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.",
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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": "ern3_all_delay_1_next_reptime",
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"description": "next report time"
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},
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{
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"id": "star_rev_surprise_prediction_fy2",
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"description": "Revenue predicted surprise pct - forward 2 years"
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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": "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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"id": "fnd7_ointfund_qfcnif",
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"description": "Quarterly Fundamental Item: Financing Activities -> Net Cash Flow (Statement of Cash Flows)"
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}
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]
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},
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"<bf/>": {
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"type": "integer_parameter",
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"candidates": [
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{
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"value": 1
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},
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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": 21
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}
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]
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},
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"<d1/>": {
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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": 21
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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": 126
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}
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]
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},
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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": "pv37_volume_13",
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"description": "Trading volume"
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},
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{
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"id": "srp_average_score",
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"description": "Average score"
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},
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{
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"id": "pv37_open_13",
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"description": "Open 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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},
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"<d2/>": {
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"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"
|
|
}
|
|
]
|
|
}
|
|
}
|
|
}
|
|
} |