Does anyone know how to implement the formulaic alphas research paper with bt?
I am trying to test the alphas mentioned in the paper.
Specifically Alpha#4: (-1 * Ts_Rank(rank(low), 9)).
where rank(x) = cross-sectional rank and ts_rank(x, d) = time-series rank in the past d days.
I don't understand the difference between rank and ts_rank as it is not clarified in the paper. The only mention in the paper is what I mentioned above.