risk less returns abhas - kitzz03/WorldQuant-Alphas GitHub Wiki

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

mkt = group_sum(returns*cap,group)/group_sum(cap,group);

returns_avgreturns_ratio=ts_regression(vector_neut(returns,cap),mkt,20,rettype=2);

returns_avgreturns_ratio_std=ts_regression(vector_neut(returns,cap),mkt,20,rettype=8);

alpha = rank(returns_avgreturns_ratio/returns_avgreturns_ratio_std)(1+ts_rank(sales,252))(1+rank(vector_neut(capex,cap)));

x = trade_when(rank(cap)<0.7,alpha,-1);

ts_decay_exp_window(x,5,factor=0.5)