candle intraday ayush - kitzz03/WorldQuant-Alphas GitHub Wiki

candle_up = high - max(open, close);

std_candle_up = candle_up/ts_mean(candle_up, 5);

ret_oc = close/open-1;

ret_co = open/ts_delay(close,1)-1;

y =log(adv20);

z=log(volume);

treat=ret_co>0; threat=ret_co<0;

bleh =ret_oc<0;

bruh =ret_oc>0;

NR = ts_mean(treat&&bleh?y:0,185);

PR = ts_mean(threat&&bruh?y:0,185);

P= ts_mean(treat&&bruh?y:0,185);

N= ts_mean(threat&&bleh?y:0,185);

a = -rank(ts_std_dev(std_candle_up, 20))*z;

b = rank(ts_max(close,5)-close)*z;

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

alpha=group_rank(NR,group)+group_rank(-PR,group)+group_rank(P,group) + group_rank(-N,group) + group_rank(a,group)+group_rank(b,group);

cae = trade_when(1,close,-1);

trade_when(1,(alpha)^5,abs(close-cae)/cae>0.17)