rupam call put - kitzz03/WorldQuant-Alphas GitHub Wiki

alpha=trade_when(pcr_oi_1080 < 0.99 && rank(adv20)>0.3 && rank(ts_backfill(snt_buzz,252))>0.2,jump_decay(signed_power((implied_volatility_call_1080-implied_volatility_put_1080),1.5),20,sensitivity=0.2,force=0.3), -1);

beta=(hump(alpha,hump=0.0012));

group1=bucket(rank(parkinson_volatility_180),range="0,1,0.02");

group2=bucket(rank(cap),range="0,1,0.1");

zeta=group_zscore(group_neutralize(beta,group1),group2);

tera=ts_decay_linear(zscore(zetalog(volumeadv20)),5);

tera