volume returns abhas - kitzz03/WorldQuant-Alphas GitHub Wiki

vhat=vector_neut (volume, ts_backfill(snt_buzz_ret,10)snt_buzz_bflsnt_value);

ehat=ts_regression (returns, vhat, 252);

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

alpha=group_neutralize(-ehat*(1+ts_rank (vhat, 10)/ts_std_dev(vhat, 10)), group);

event=abs(returns) <0.08;

close_at_event = trade_when(event, close, -1);

x = trade_when(event, alpha, abs ((close-close_at_event)/close_at_event)>0.03);

group_rank (hump(x, hump=0.0015), exchange)