Add new alpha

Author: Breta01

brain/alphas/alpha_12.py

@@ -0,0 +1,22 @@
+# Code
+code = """
+signal = implied_volatility_call_60 - implied_volatility_put_60;
+clip = 0.3;
+min(max(signal, -clip), clip)
+"""
+
+# Simulation Settings
+config = {
+    "region": "USA",
+    "universe": "TOP3000",
+    "decay": 30,
+    "delay": 0,  # This could be 1 as well, check which gives better score in Performance Comparison
+    "truncation": 0.08,
+    "neutralization": "INDUSTRY",
+    "pasteurization": "ON",
+    "nan_handling": "OFF",
+    "unit_handling": "VERIFY",
+}
+
+# Score
+# TBA