price regression abhas - kitzz03/WorldQuant-Alphas GitHub Wiki

a=(close+open+high+low)/4;

group=bucket(ts_rank(cap,280),range="0.1667,1,0.1667");

b=ts_std_dev(a,20);

alpha=(zscore(ts_regression(a/b, ts_mean(a/b,20), 280, lag = 0, rettype = 6)));

x = group_rank(group_neutralize(-alpha,group),subindustry)(1+0.25rank(est_epsr/close));

y = jump_decay(x, 120, sensitivity=0.25, force=0.2);

if_else(y>0,y,x)