sentiment buzz vol abhas - kitzz03/WorldQuant-Alphas GitHub Wiki

sent_vol = vec_sum(scl12_alltype_buzzvec);

a = trade_when(rank(sent_vol)>0.94 , (-zscore(-snt_buzz_bfl)*ts_zscore(sent_vol,5)), -1);

hump(a,hump=0.0032)