zeta analysis ayush - kitzz03/WorldQuant-Alphas GitHub Wiki

A = working_capital/assets;

B = retained_earnings/assets;

C = ebitda/assets;

D = equity/liabilities;

E = sales/assets;

S = 1.2A+1.4B + 3.3C + 0.6D + E;

f = (1+rank(-ts_av_diff(close,5)))ts_sum(volume,20)(1+rank(-pcr_vol_10))*(1+rank(-implied_volatility_put_1080));

h =quantile(implied_volatility_call_1080/implied_volatility_put_1080,driver="uniform");

abc=if_else(S<2,f ,trade_when(S>2.5,h,-1));

group_neutralize(group_rank(abc, exchange),exchange)