worldquant alpha 求救
國立臺灣大學
小弟我卡在選擇權的tutorial，一直過不了關，能否請各位大神支援一下，我不確定我的程式碼出錯在哪裡？或是說有沒有一些方向可以指點一下。
iv_difference = implied_volatility_call_120 - implied_volatility_put_120;
group_neutralize(rank(iv_difference)+ts_rank(operating_income/cap,250)**2 *(ts_mean(rank((open - close) / open), 3) )**2*rank(volume/ts_mean(volume, 20)),industry)
結果
Weight concentration 15.94% is above cutoff of 10% on 1/25/2022.
iv_difference = implied_volatility_call_60 - implied_volatility_put_60;
ts_rank(operating_income/cap,250)**2 *(ts_mean(rank((open - close) / open), 3) )**2*rank(volume/ts_mean(volume, 20))
+rank(iv_difference-iv_difference)/10
而且我都把選擇權的部分直接歸０但還是過不了
Weight concentration 28.52% is above cutoff of 10% on 1/25/2022.
ts_rank(operating_income/cap,250)**2 *(ts_mean(rank((open - close) / open), 3) )**2*rank(volume/ts_mean(volume, 20)) 這個是已經通過的alpha了
