cnhkmcp 2.1.2__py3-none-any.whl → 2.1.4__py3-none-any.whl

cnhkmcp/untracked/AI/321/206/320/261/320/234/321/211/320/255/320/262/321/206/320/237/320/242/321/204/342/225/227/342/225/242/knowledge/009_Combo_Expression_documentation.json

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+{
+  "id": "combo-expression",
+  "title": "Combo Expression",
+  "lastModified": "2025-06-02T05:33:29.737226-04:00",
+  "content": [
+    {
+      "type": "TEXT",
+      "value": "<p></p><hr/><p></p>",
+      "id": "d7fc23de-2289-409f-a46f-9ff1f9e9425a"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "Combo Expression"
+      },
+      "id": "0f1abc14-0f2f-4671-80a0-ef8a47fdf91a"
+    },
+    {
+      "type": "IMAGE",
+      "value": {
+        "title": "Combo_expression_pic4.png",
+        "width": 538,
+        "height": 182,
+        "fileSize": 2157,
+        "url": "https://api.worldquantbrain.com/content/images/HsG43uTPySq0ZGMDejBocvRTrHI=/99/original/Combo_expression_pic4.png"
+      },
+      "id": "4631c5fd-6447-4ced-8864-d718d6a75c79"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>The combo expression combines the selected Alphas together into one Alpha – a SuperAlpha. The output of the combo expression is a set of daily weights for each of the selected Alphas.</p>",
+      "id": "306eb9dc-ba64-45f0-95c0-789305a4d847"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "How it Works"
+      },
+      "id": "4615c4e4-35e6-4a22-ab01-e228c2ed3165"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>The combo expression works by weighting each selected Alpha each day. Similar to how an Alpha expression is evaluated for each instrument each day, the combo expression is evaluated for each of your Alphas each day.</p><p>Typically, combo expressions take the set of selected Alphas as input. The data from the selected Alphas is held in a matrix with shape = (A x D x I), where:</p><ul><li>A is the number of selected Alphas</li><li>D is the number of days</li><li>I is the number of instruments in the universe</li></ul><p>The output of the combo expression is a set of weights for each selected Alpha each day, held in a matrix with shape = (D x A). These weights determine how the scaled output of each Alpha is combined together to yield a SuperAlpha.</p>",
+      "id": "1100a70a-c65a-410c-8746-6b8821e4b2a1"
+    },
+    {
+      "type": "TEXT",
+      "value": "<img src='https://api.worldquantbrain.com/content/images/1p8buLSAxhPKxP33q_vK8a_6GEw=/134/original/' width='900'/>",
+      "id": "8d59d4c7-14dd-4146-a923-f0f47bb3394e"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "Operator generate_stats()"
+      },
+      "id": "34c5b1a3-5675-417e-b2b7-9d4006db5d0a"
+    },
+    {
+      "type": "IMAGE",
+      "value": {
+        "title": "generate_stats_operator_pic6.png",
+        "width": 331,
+        "height": 101,
+        "fileSize": 5679,
+        "url": "https://api.worldquantbrain.com/content/images/gnMm5zdhbutRPN8RM8ILUyDen0Y=/112/original/generate_stats_operator_pic6.png"
+      },
+      "id": "6ba34104-c6bb-4cd8-ae02-e7f51ab34547"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>The generate_stats() operator calculates Alpha statistics for each day in the IS period. It takes an input of selected Alphas with shape = (A x D x I). It outputs daily statistics for each Alpha with shape = (S x D x A), where S is the number of statistics calculated.</p>",
+      "id": "a98d7cb9-025a-44dc-8722-1fbeaad6741b"
+    },
+    {
+      "type": "IMAGE",
+      "value": {
+        "title": "generate_stats_",
+        "width": 1259,
+        "height": 468,
+        "fileSize": 284274,
+        "url": "https://api.worldquantbrain.com/content/images/I-k9bDvp6HGgr8WW0zq2m-jC2f0=/296/original/generate_stats_image.PNG"
+      },
+      "id": "e8937458-d29f-485b-9a03-0070b0b98574"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p></p><p><b>Alpha Statistics</b></p><p>The generate_stats() operator calculates the following daily statistics for each Alpha:</p>",
+      "id": "c28a691f-896a-4dd0-834d-6346ea40af6d"
+    },
+    {
+      "type": "TABLE",
+      "value": {
+        "data": [
+          [
+            "Alpha Statistic",
+            "Description"
+          ],
+          [
+            "drawdown",
+            "% difference between current cumulative PnL and maximum PnL since beginning of simulation"
+          ],
+          [
+            "hold_pnl",
+            "PnL of shares that did not trade"
+          ],
+          [
+            "hold_shares",
+            "Count of shares that did not trade"
+          ],
+          [
+            "hold_value",
+            "Sum of value of shares that did not trade"
+          ],
+          [
+            "long_count",
+            "Number of instruments with positive weight"
+          ],
+          [
+            "long_value",
+            "Sum of positive weight"
+          ],
+          [
+            "pnl",
+            "Net profit or loss"
+          ],
+          [
+            "returns",
+            "PnL as percent of book size"
+          ],
+          [
+            "short_count",
+            "Number of instruments with negative weight"
+          ],
+          [
+            "short_value",
+            "Sum of absolute value of negative weight"
+          ],
+          [
+            "trade_pnl",
+            "PnL of shares that did trade"
+          ],
+          [
+            "trade_shares",
+            "Count of shares that did trade"
+          ],
+          [
+            "trade_value",
+            "Sum of value of shares that did trade"
+          ],
+          [
+            "turnover",
+            "Value traded as percent of book size"
+          ]
+        ],
+        "firstRowIsTableHeader": true,
+        "firstColIsHeader": false
+      },
+      "id": "0e6376d3-0c4c-471d-9210-3785d146c7a0"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "Available operators"
+      },
+      "id": "8af4c697-074a-4067-bfc3-0d14042ef650"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>Combo expressions can use most of the same operators as Alpha expressions. A full list of available operators is available at <a href=\"$tutorialpage/superalpha/appendix-operators\">Appendix: SuperAlpha Operators</a>.</p>",
+      "id": "aae4cf66-02fa-4f58-8d40-25ffd2424c23"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "SuperAlpha Combo Settings"
+      },
+      "id": "9acd7308-c53a-4da8-a805-fbf39f225eb7"
+    },
+    {
+      "type": "IMAGE",
+      "value": {
+        "title": "Superalpha_combo_settings_pic7.png",
+        "width": 668,
+        "height": 199,
+        "fileSize": 11569,
+        "url": "https://api.worldquantbrain.com/content/images/9Xwfmrx8dAaMNTmDkAyGhYG5Ikc=/102/original/Superalpha_combo_settings_pic7.png"
+      },
+      "id": "b9fed1b8-02ff-4347-b1ac-62da3fe87aca"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>The lower section of the SuperAlpha settings menu applies to the combo expression and the resulting SuperAlpha.</p>",
+      "id": "2a8630a2-349a-4005-9d34-54b37be6e1f1"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p></p><hr/><p><b>Universe</b></p><p>The selected universe setting is applied to all selected Alphas when the SuperAlpha is simulated, regardless of the original universe of those Alphas. The resulting SuperAlpha is based upon this universe.</p><p></p><hr/><p></p>",
+      "id": "f03979bc-4ee2-4cde-b71b-f0082df904cf"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p><b>Neutralization</b></p><p>The selected neutralization is applied to the final weighted combination of selected Alphas.</p><hr/><p></p>",
+      "id": "93fffca2-c9fe-436a-ab1e-e2d4c5e461e6"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p><b>Decay</b></p><p>The decay setting applies the ts_decay() operator to the final weighted combination of selected Alphas, where the decay value is the number of lookback days. This is useful for reducing turnover, but larger values can attenuate the signal.</p><hr/><p></p>",
+      "id": "485a69e0-bca2-4387-92ce-700357089f91"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p><b>Truncation</b></p><p>The selected truncation is applied to the final weighted combination of selected Alphas. This is useful to reducing overfitting.</p><hr/><p></p>",
+      "id": "8262fb9a-a321-4733-9afb-2c40f9914482"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p><b>Pasteurization</b></p><p>Replaces operator input values with NaN for instruments not in the universe. Original Alpha pasteurization settings are preserved. The combo pasteurization setting applies to operators used in the combo expression.</p><hr/><p></p>",
+      "id": "0e6884fd-9749-49ae-a15a-3cece2743eb6"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p><b>NaN Handling</b></p><p>Allows aggregation operators to output numeric values when input values are NaN for a given instrument and date. Original Alpha NaN Handling settings are preserved. The combo NaN Handling setting applies to operators used in the combo expression.</p><hr/><p></p>",
+      "id": "87f7d02b-90e3-4d87-8203-6c93a7a53acc"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p><b>Test Period</b></p><p>The Test Period setting offers you the flexibility to designate a separate testing period for your SuperAlpha. This period corresponds to the final 0-6 years of the In-Sample (IS) period, providing a distinct timeframe for assessing your SuperAlpha's performance before submission.</p>",
+      "id": "a34dcfb9-f873-4c0a-a3c7-a25da0a3092a"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "Examples"
+      },
+      "id": "650664d7-7c76-4230-8330-39ace6a46107"
+    },
+    {
+      "type": "TABLE",
+      "value": {
+        "data": [
+          [
+            "Combo Expression",
+            "Description"
+          ],
+          [
+            "1",
+            "This expression evaluates to 1 for every Alpha every day. It will weight each selected Alpha equally every day."
+          ],
+          [
+            "stats = generate_stats(alpha);\nts_ir(stats.returns, 250)",
+            "This expression weights each Alpha by its information ratio from the previous 250 trading days (~1 year)."
+          ],
+          [
+            "stats = generate_stats(alpha);\ninnerCorr = self_corr(stats.returns, 500);\nic = if_else(innerCorr == 1.0, nan, innerCorr);\nmaxCorr = reduce_max(ic);\n1 - maxCorr",
+            "This expression weights each Alpha by the maximum correlation with all other selected Alphas over a 2 year period, with more correlated Alphas receiving less weight."
+          ]
+        ],
+        "firstRowIsTableHeader": true,
+        "firstColIsHeader": false
+      },
+      "id": "85189703-db20-40fa-a8fa-a26b81611dfb"
+    }
+  ],
+  "sequence": 3,
+  "category": "SuperAlpha"
+}

cnhkmcp/untracked/AI/321/206/320/261/320/234/321/211/320/255/320/262/321/206/320/237/320/242/321/204/342/225/227/342/225/242/knowledge/009_Global_SuperAlphas_documentation.json

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+{
+  "id": "getting-started-global-superalphas",
+  "title": "Global SuperAlphas",
+  "lastModified": "2025-11-04T02:39:54.299570-05:00",
+  "content": [
+    {
+      "type": "TEXT",
+      "value": "<p></p><p>Creating Global (GLB) SuperAlphas requires careful consideration, including neutralization, component Alpha selection, and simulation settings.</p><p><b>Neutralization</b></p><ul><li>Neutralize your SuperAlpha to <b>COUNTRY</b> to account for differences across countries in the global region.</li><li>This ensures fair comparisons and avoids biases caused by regional disparities.</li><li>Neutralization to country helps align signals across diverse regions.</li></ul><p><b>Universe selection</b></p><ul><li>The <b>MINVOL1M GLB</b> universe contains over 9,000 instruments, which can make simulations slower.</li><li>To speed up simulations, test your SuperAlpha on the <b>TOP3000</b> universe.</li><li>Once optimized, simulate and submit your SuperAlpha on the <b>MINVOL1M</b> universe.</li></ul><p><b>Selection Expression</b></p><ul><li>Select Alphas that are neutralized to <b>country</b> using the following methods:<ul><li><b>Select Alphas neutralized in expression</b>: <i>in(datafields, 'country')</i></li><li><b>Select Alphas neutralized in settings</b>: neutralization == 'COUNTRY'</li></ul></li><li>Choose Alphas with <b>1-2 years of OS data</b> to ensure reliability:<ul><li>Use the selection expression: <i>os_start_date &lt;= '2022-01-23'</i></li></ul></li><li>Combine multiple selections using the <b>OR operator</b> to diversify your component Alphas and improve overall performance.<ul><li>This allows you to include a broader range of signals in your SuperAlpha.</li></ul></li></ul><p><b>Combo Expression</b></p><ul><li>Use the <b>combo_a operator</b> to combine Alphas effectively.<ul><li>This operator performs better when the selected Alphas are <b>different</b>.</li><li>Avoid selecting overly similar Alphas to maximize the effectiveness of the combo.</li></ul></li></ul><p><b>Simulation settings</b></p><ul><li>Enable the <b>Max Trade setting</b> during simulation, especially on the <b>MINVOL1M</b> universe.<ul><li>This ensures your SuperAlpha meets liquidity and scalability requirements.</li><li>It validates that your SuperAlpha can handle real-world constraints.</li></ul></li></ul><p><b>Tips for Success</b></p><ul><li><b>Diversify selection</b>: Use multiple selection expressions to ensure a broad range of Alphas in your SuperAlpha.</li><li><b>Focus on liquidity</b>: Simulating on the <b>TOP3000</b> universe speeds up testing, while submitting on <b>MINVOL1M</b> ensures scalability. Additionally, check <b>Investability constrained metrics</b> of your SuperAlpha.</li><li><b>Test OS performance</b>: Prioritize Alphas with sufficient OS data to avoid overfitting and ensure robust performance.</li></ul><p><b>More concepts that you can explore</b></p><ul><li><a href=\"https://platform.worldquantbrain.com/learn/documentation/superalpha/superalpha-overview\">What is a SuperAlpha?</a></li><li><a href=\"https://platform.worldquantbrain.com/learn/documentation/superalpha/selection-expression\">SuperAlpha Selection Expression</a></li><li><a href=\"https://platform.worldquantbrain.com/learn/documentation/superalpha/combo-expression\">SuperAlpha Combo Expression</a></li><li><a href=\"https://platform.worldquantbrain.com/learn/documentation/superalpha/helpful-tips\">SuperAlpha Helpful Tips</a></li><li><a href=\"https://platform.worldquantbrain.com/learn/documentation/regions-and-universes/global-region\">Getting Started: Global Alphas</a></li></ul>",
+      "id": "6f808a78-60b6-43ee-be1d-371aa7206b5f"
+    }
+  ],
+  "sequence": 9,
+  "category": "SuperAlpha"
+}

cnhkmcp/untracked/AI/321/206/320/261/320/234/321/211/320/255/320/262/321/206/320/237/320/242/321/204/342/225/227/342/225/242/knowledge/009_Helpful_Tips_documentation.json

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+{
+  "id": "helpful-tips",
+  "title": "Helpful Tips",
+  "lastModified": "2025-06-02T05:35:07.668455-04:00",
+  "content": [
+    {
+      "type": "TEXT",
+      "value": "<p></p><hr/><p></p>",
+      "id": "fb413508-4c84-4337-8fa8-8d1e3c4505fe"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "Use Alpha Properties"
+      },
+      "id": "cf7ee363-e1a7-4348-8296-9ba95a35c5fa"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>The best SuperAlphas are made with a robust analytical approach that incorporates your personal knowledge of the selected Alphas. Before you start researching SuperAlphas, it may be helpful to fill in the Alpha properties for each Alpha. Consider assigning a category, color, and/or custom tags to each Alpha so you can easily select them with your selection expression. For example, you can select all the Alphas which have been tagged using the selection expression <b><i>in(tags, \"my_example_tag\")</i></b>. Think about what tags would be most useful for grouping your Alphas. Note that each Alpha can have multiple tags.</p>",
+      "id": "6feb91da-8fec-46d2-a0e6-8c192b3ccd15"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "Test First"
+      },
+      "id": "56b2bdbc-f64c-433f-9eea-e7b68ce7a874"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>SuperAlphas are computationally complex, and as such they can take a long time to simulate. Each person is allowed three concurrent simulations. Before you simulate a large SuperAlpha, try testing out the selection and combo expressions first. To test the selection expression, you can click on the \"Run Selection\" button and see the complete list of Alphas which will be included in your SuperAlpha. This takes only a few seconds, and can help you avoid a long simulations with the wrong Alphas. To test the combo expression, try setting the \"Selection Limit\" setting to a small number such as the minimum value, 10. Smaller SuperAlpha simulations will run much faster, allowing you to test your ideas more quickly. Once you are confident about your selection and combo expressions, then choose a larger set of Alphas to simulate.</p>",
+      "id": "5e1d0b35-97a9-46d1-8d44-d007532603ea"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "Compare to Benchmarks"
+      },
+      "id": "b8bddac8-8338-4f67-a986-cd2ac39131b2"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>SuperAlphas tend to perform much better than Alphas, so using Alpha performance as a benchmark may not be helpful for developing good SuperAlphas. To help with this, the PnL chart shown in SuperAlpha simulation results shows two lines. The blue line is the performance of your SuperAlpha; the gray line is the performance of the same set of Alphas combined with a simple, equal-weight combo. An equal weight combo can be recreated by entering a constant as the combo expression. Generally, a good combo expression should outperform the equal-weight combo, but keep in mind that returns are not the only important measure of performance. You may also want to create and track your own benchmarks as you research SuperAlphas.</p>",
+      "id": "65382bc9-5931-4538-91fc-fe690e06c888"
+    },
+    {
+      "type": "TEXT",
+      "value": "<img src='https://api.worldquantbrain.com/content/images/3diSVmxP_2TY5YCeJTon4mpl2zU=/135/original/' width='900'/>",
+      "id": "018ac8ad-b0c7-423f-ba15-88608ae6b4cd"
+    }
+  ],
+  "sequence": 6,
+  "category": "SuperAlpha"
+}