UTR D0 - kitzz03/WorldQuant-Alphas GitHub Wiki

turn = volume/sharesout;

turn20 = rank(regression_neut(-ts_mean(turn,20), cap));

STR = (regression_neut(-ts_std_dev(turn,20),cap));

UTR = STR+ turn20*(STR/(1+abs (STR)));

a = regression_neut(regression_neut(regression_neut(sign(UTR)*power(abs(UTR), 0.5), turn20), adv20),ts_delta(mdl175_retainedearnings/ sharesout, 252)) ;

group = bucket(rank(cap) , range = '0,1,0.2');

b = group_neutralize(group_rank(a , exchange)log(adv20)(1+rank(ts_mean(returns,63))),group);

c = ts_decay_exp_window(b ,5, factor = 0.9) ;

rank(c)