UTR D1 - kitzz03/WorldQuant-Alphas GitHub Wiki

turn = volume/sharesout;

turn20 = signed_power(rank(regression_neut(-ts_mean(turn,20), densify(cap)))-0.5,0.4);

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

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

a = regression_neut(regression_neut(regression_neut(regression_neut(regression_neut(sign(UTR)*power(abs(UTR), 0.5), turn20), ts_delta(vwap,60)),ts_delta(retained_earnings / sharesout, 120)),ts_delta(close,120)),ts_std_dev(volume,63) );

group = bucket(rank(cap) , range = '0,1,0.1');

b = group_rank(a , group)*ts_mean(log(volume),120);

trade_when(ts_rank(volume,63) > 0.55 , ts_decay_linear(b , 2 ,dense = false) ,-1)