ayushh reversion on sentiment - kitzz03/WorldQuant-Alphas GitHub Wiki

R_o = log(open/ts_delay(close, 1))*100;

sent = signed_power(zscore(snt_social_value),2.5);

error = ts_regression(R_o, sent, 60)*ts_mean(log(adv20),63);

gr = densify((market+1)1000) + bucket(rank(assets_currcapex), range='0,1,0.1667');

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

df = log(implied_volatility_call_120/implied_volatility_put_120);

alpha = regression_neut(group_zscore(group_rank(-ts_regression(signed_power(returns,0.5), ts_mean(error, 5), 60), g)*df,g),news_spy_close);

a = trade_when(historical_volatility_120>0.5 , alpha, -1);

ts_decay_exp_window(a, 15, factor = 0.4)