co kurtosis rupam - kitzz03/WorldQuant-Alphas GitHub Wiki

group=bucket(rank(cap),range="0.05,1,0.05");

alpha=(1+rank(ts_decay_linear(volume/ts_sum(volume,252),20)))(1+rank(ts_co_kurtosis(news_cap,returns,252)))(1+rank(-ts_delta(open,5)));

beta=group_neutralize(alpha,group);

hump(beta,hump=0.00005)