news_prez abhas - kitzz03/WorldQuant-Alphas GitHub Wiki

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

m = regression_neut(ts_backfill(vec_avg(nws12_prez_4l),504)ts_mean(log(volume),63)(1+ts_rank(-debt_st,63))*(rank(ts_backfill(vec_avg(nws12_prez_1s),126))),ts_av_diff(close,63));

a = group_neutralize(trade_when(volume > adv20 , m , - 1),group);

trade_when(ts_rank(volume,5)>0.55 && rank(ts_backfill(vec_avg(nws12_mainz_range),252))<0.9,a,-1)