news alpha rupam - kitzz03/WorldQuant-Alphas GitHub Wiki

avg_news = vec_avg(nws12_afterhsz_sl);

alpha=rank(ts_sum(avg_news, 504)) > 0.5 ? 1 : rank(-ts_delta(close, 3));

beta=signed_power(alpha-0.5,5);

group=bucket(rank(cap),range="0,1,0.1667");

zeta=group_zscore(group_neutralize(beta,group),industry);

a=signed_power(hump(zeta, hump=0.00025),1.5);

trade_when(rank(volume) >0.2 ,a,-1)