GTS abhas - kitzz03/WorldQuant-Alphas GitHub Wiki

group=bucket(rank(pv13_h_min24_500_sector),range="0.1,1,0.1");

GTS = -group_rank(ts_mean(est_tot_goodwill,252)/ts_mean(fnd6_cptmfmq_saleq,63),group) ;

x = GTS*rank(ts_delta(close,2))+0.5;

y = trade_when(days_from_last_change(rp_css_mna)>4,group_rank(signed_power(x,2.5),industry),-1)(1+0.5rank(-close/vwap))*log(volume);

ts_decay_exp_window(y^0.1,30,factor=0.99)