systematic risk ayush - kitzz03/WorldQuant-Alphas GitHub Wiki

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

SR = systematic_risk_last_60_days;

USR = (unsystematic_risk_last_60_days);

alpha = group_neutralize((1+rank(ts_rank(USR+SR,60))),group)(1+7rank(ts_std_dev(close,60)));

b = group_rank(alpha , group);

trade_when(rank(beta_last_60_days_spy)>0.8&& rank(ts_std_dev(close,60))>0.85,b , -1)