def public_opinion():
qtu = QTradableStocksUS()
sentiment_stocktwits = SimpleMovingAverage(
inputs=[stocktwits.bull_minus_bear],
window_length=2,
)
sentiment_news = SimpleMovingAverage(
inputs=[sentiment.sentiment_signal],
window_length=2
)
sentiment_factor = sentiment_stocktwits + sentiment_news
sentiment_factor_winsorized = sentiment_factor.winsorize(
min_percentile=0.10,
max_percentile=0.90)
sentiment_factor_rank = sentiment_factor_winsorized.rank().zscore()
screen = qtu & ~sentiment_stocktwits.isnull() & ~sentiment_news.isnull() & sentiment_factor.isfinite()
return sentiment_factor_rank, screen
