best tp alpha - kitzz03/WorldQuant-Alphas GitHub Wiki

tp=(high+low+close)/3;

n=63;

sma=ts_mean(tp,n);

md=ts_mean(abs(tp-sma),n);

cci=(tp-sma)/(0.015*md);

mean = ts_mean(cci,10);

std = ts_std_dev(cci,10);

x = trade_when(abs(cci-mean)/std>1.2 && rank(volume)>0.3,(rank(-close/vwap))*(1+ts_rank(sales,63)),-1);

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

alpha=group_zscore(group_neutralize(x^0.2,group),exchange);

beta=hump(alpha,hump=0.001);

exp(beta)