fnd6_intc anshika - kitzz03/WorldQuant-Alphas GitHub Wiki

rt=power(fnd6_intc,3);

b=ts_mean(rt,22);

o=ts_std_dev(rt,12);

drt=-(ts_delta(b-rt,20)/22)+o * ts_delta(sqrt(rt),8)/8 * quantile(returns,driver=gaussian,sigma=1);

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

alpha=group_backfill(group_rank(drt,industry),group,500);

hump(alpha,hump=0.000009)