Functions and Operators

The {} below represents placeholders, all expressions are case-insensitive, x represents data time series

• abs(x), log(x), sign(x): absolute value, logarithm and sign function respectively.

The following operators +, -, *, /, >, < also conform to their standard meanings, ==: equality check, ||: logical OR, x ? y : z: ternary conditional operator.

• rank(x) : Cross-sectional ranking, returns the percentile position. Requires a candidate pool of several instruments; with a single instrument nothing can be ranked and the raw value is returned.
• delay(x, d) : Returns the value of series x from d periods ago.
• sma(x, d) : Calculates the simple moving average of series x over d periods.
• correlation(x, y, d): Calculates the correlation coefficient between time series x and y over the past d periods.
• covariance(x, y, d) : Calculates the covariance between time series x and y over the past d periods.
• scale(x, a) : Normalizes data such that sum(abs(x))=a (a defaults to 1).
• delta(x, d) : Calculates the current value of time series x minus the value from d periods ago.
• signedpower(x, a) : x^a.
• decay_linear(x, d) : Calculates the d-period weighted moving average of time series x, with weights d,d-1,d-2....1 (normalized).
• indneutralize(x, g) : Industry neutralization based on industry classification g, currently not supported.
• ts_{O}(x, d) : Performs operation O on the past d periods of time series x (O can specifically represent min, max, etc., see below), d will be converted to integer.
• ts_min(x, d) : Minimum value over the past d periods.
• ts_max(x, d) : Maximum value over the past d periods.
• ts_argmax(x, d) : Position of ts_max(x, d).
• ts_argmin(x, d) : Position of ts_min(x, d).
• ts_rank(x, d) : Ranking of time series x over the past d periods (percentile ranking).
• min(x, d) : ts_min(x, d).
• max(x, d): ts_max(x, d).
• sum(x, d) : Cumulative sum over the past d periods.
• product(x, d) : Cumulative product over the past d periods.
• stddev(x, d) : Standard deviation over the past d periods.