china volatility abhas - kitzz03/WorldQuant-Alphas GitHub Wiki

alpha=group_vector_neut((1+rank(-close+ts_mean(close,5)))rank(-mdl175_volatilitylog(volume))*(1+group_rank(mdl175_trevenuettm,subindustry)),ts_mean(mdl175_02amvt,252),subindustry);

trade_when(mdl175_vol120-ts_weighted_decay(mdl175_vol120)>0,1.7^alpha,-1)