ayush R&D - kitzz03/WorldQuant-Alphas GitHub Wiki

gross_profit = revenue-cogs; rd =fnd6_newa2v1300_xrd; RDGP= rd/gross_profit; GPA = gross_profit/assets; BM = bookvalue_ps*sharesout/cap;

s = group_neutralize((rank(GPA)), densify(1000*(1+bucket(rank(RDGP), range="0.1,1,0.2"))+10*bucket(rank(cap), range="0.1,1,0.2")));

ss=regression_neut(regression_neut(s, BM),ts_ir(returns,252)) ;

sss = group_neutralize(ss, subindustry)ts_mean(log(volume),63)( 1+ts_rank(sales,80))*( 1+ts_rank(cashflow,63));

a = trade_when(ts_rank(volume,63)>0.55 && rank(rd)>0.15, sss , -1); x = hump(a,hump=0.001) ; x