WorldQuant之Alphas因子模型

1、铜牌Alphas因子模型

liabilities/assets

group_rank(implied_volatility_call_1080/cap, subindustry)

2、银牌Alphas因子模型

group_neutralize(ts_mean(winsorize(ts_backfill(implied_volatility_call_1080/implied_volatility_mean_10, 120), std=4), 22),densify(pv13_r2_min2_3000_sector))

group_neutralize(ts_mean(winsorize(ts_backfill(implied_volatility_call_1080/implied_volatility_mean_10, 120), std=4), 22),densify(subindustry))

ts_mean(winsorize(ts_backfill(implied_volatility_call_1080/implied_volatility_mean_120, 120), std=4), 66)

3、金牌Alphas因子模型

turnover = volume/(sharesout*1000000);
singal = power(rank(ts_mean(turnover ,5)),4);
-group_neutralize(singal ,bucket(rank(cap),range = '0.1,1,0.1'));

turn = volume/sharesout;
turn20 = rank(regression_neut(-ts_mean(turn,20),densify(cap)))
STR = regression_neut(-ts_std_dev(turn,20),densify(cap));
UTR = STR + turn20 *(STR /(1 + abs(STR )));
regression_neut(regression_neut(regression_neut(sign(UTR)*power(abs(UTR),0.5),turn20),vwap),ts_delta(retained/sharesout,120));

mrt_ret = group_mean(returns,1,market);
pt = ts_corr(returns,mrt_ret,20);
rank(1/(2*(1-pt)));