Alpha158 — Alpha158 (Microsoft qlib) — 158 Merkmale
Die obige Ausdrucksweise ist wörtlich aus qlib Alpha158/360 Feature Engineering (qlib/contrib/data/loader.py, Apache-2.0) übernommen. Der qlib-kompatible Ausdrucksmotor wertet sie auf dem deterministischen Forschungspanel aus.
Alle 158 Microsoft qlib Alpha158-Faktorexpressionen (wörtlich aus qlib/contrib/data/loader.py, Apache-2.0) mit Querschnittsstatistiken und Informationskoeffizienten — jedes Feature hat seine eigene Seite.
($close-$open)/$openIC -0.0194ICIR -0.280μ 0.0008σ 0.0185
($high-$low)/$openIC -0.0049ICIR -0.063μ 0.0331σ 0.0248
($close-$open)/($high-$low+1e-12)IC -0.0202ICIR -0.308μ 0.0010σ 0.3953
($high-Greater($open, $close))/$openIC -0.0102ICIR -0.143μ 0.0099σ 0.0077
($high-Greater($open, $close))/($high-$low+1e-12)IC -0.0061ICIR -0.089μ 0.3148σ 0.1199
(Less($open, $close)-$low)/$openIC -0.0085ICIR -0.116μ 0.0094σ 0.0072
(Less($open, $close)-$low)/($high-$low+1e-12)IC -0.0091ICIR -0.138μ 0.3013σ 0.1100
(2*$close-$high-$low)/$openIC -0.0177ICIR -0.262μ 0.0003σ 0.0195
(2*$close-$high-$low)/($high-$low+1e-12)IC -0.0179ICIR -0.276μ -0.0124σ 0.4249
$open/$closeIC 0.0194ICIR 0.280μ 0.9996σ 0.0184
$high/$closeIC 0.0067ICIR 0.092μ 1.0166σ 0.0156
$low/$closeIC 0.0151ICIR 0.191μ 0.9835σ 0.0158
$vwap/$closeIC 0.0152ICIR 0.224μ 1.0001σ 0.0065
Ref($close, 5)/$closeIC 0.0078ICIR 0.124μ 0.9998σ 0.0476
Ref($close, 10)/$closeIC 0.0138ICIR 0.254μ 0.9924σ 0.0749
Ref($close, 20)/$closeIC 0.0145ICIR 0.276μ 1.0077σ 0.1340
Ref($close, 30)/$closeIC 0.0034ICIR 0.065μ 1.0155σ 0.1551
Ref($close, 60)/$closeIC -0.0110ICIR -0.194μ 1.0040σ 0.2242
Mean($close, 5)/$closeIC 0.0107ICIR 0.156μ 1.0003σ 0.0221
Mean($close, 10)/$closeIC 0.0108ICIR 0.176μ 0.9980σ 0.0383
Mean($close, 20)/$closeIC 0.0145ICIR 0.283μ 0.9986σ 0.0664
Mean($close, 30)/$closeIC 0.0119ICIR 0.234μ 1.0041σ 0.0906
Mean($close, 60)/$closeIC -0.0015ICIR -0.029μ 1.0054σ 0.1316
STD5STDStandardabweichung des Schlusskurses über aktuellem Schlusskurs (Preisvolatilität)Eigenständige Seite →
Std($close, 5)/$closeIC 0.0090ICIR 0.113μ 0.0165σ 0.0117
STD10STDStandardabweichung des Schlusskurses über aktuellem Schlusskurs (Preisvolatilität)Eigenständige Seite →
Std($close, 10)/$closeIC 0.0083ICIR 0.106μ 0.0242σ 0.0152
STD20STDStandardabweichung des Schlusskurses über aktuellem Schlusskurs (Preisvolatilität)Eigenständige Seite →
Std($close, 20)/$closeIC 0.0005ICIR 0.006μ 0.0370σ 0.0243
STD30STDStandardabweichung des Schlusskurses über aktuellem Schlusskurs (Preisvolatilität)Eigenständige Seite →
Std($close, 30)/$closeIC -0.0008ICIR -0.012μ 0.0471σ 0.0334
STD60STDStandardabweichung des Schlusskurses über aktuellem Schlusskurs (Preisvolatilität)Eigenständige Seite →
Std($close, 60)/$closeIC 0.0019ICIR 0.032μ 0.0687σ 0.0443
Slope($close, 5)/$closeIC -0.0025ICIR -0.037μ -0.0001σ 0.0110
Slope($close, 10)/$closeIC -0.0065ICIR -0.118μ 0.0008σ 0.0080
Slope($close, 20)/$closeIC -0.0172ICIR -0.350μ -0.0001σ 0.0067
Slope($close, 30)/$closeIC -0.0079ICIR -0.148μ -0.0008σ 0.0057
Slope($close, 60)/$closeIC 0.0152ICIR 0.259μ -0.0001σ 0.0039
Rsquare($close, 5)IC 0.0022ICIR 0.032μ 0.5688σ 0.3132
Rsquare($close, 10)IC -0.0058ICIR -0.104μ 0.5447σ 0.3251
Rsquare($close, 20)IC -0.0055ICIR -0.073μ 0.5817σ 0.3237
Rsquare($close, 30)IC -0.0090ICIR -0.130μ 0.5281σ 0.3320
Rsquare($close, 60)IC -0.0045ICIR -0.071μ 0.5091σ 0.3112
Resi($close, 5)/$closeIC -0.0197ICIR -0.271μ -0.0000σ 0.0087
Resi($close, 10)/$closeIC -0.0011ICIR -0.016μ -0.0017σ 0.0155
Resi($close, 20)/$closeIC 0.0014ICIR 0.019μ 0.0026σ 0.0239
Resi($close, 30)/$closeIC -0.0133ICIR -0.195μ 0.0080σ 0.0326
Resi($close, 60)/$closeIC -0.0274ICIR -0.491μ -0.0015σ 0.0704
Max($high, 5)/$closeIC 0.0156ICIR 0.236μ 1.0373σ 0.0346
Max($high, 10)/$closeIC 0.0187ICIR 0.327μ 1.0506σ 0.0514
Max($high, 20)/$closeIC 0.0179ICIR 0.315μ 1.0824σ 0.0973
Max($high, 30)/$closeIC 0.0137ICIR 0.242μ 1.1052σ 0.1267
Max($high, 60)/$closeIC 0.0060ICIR 0.110μ 1.1515σ 0.1812
Min($low, 5)/$closeIC 0.0067ICIR 0.085μ 0.9641σ 0.0325
Min($low, 10)/$closeIC 0.0093ICIR 0.130μ 0.9450σ 0.0459
Min($low, 20)/$closeIC 0.0152ICIR 0.250μ 0.9235σ 0.0640
Min($low, 30)/$closeIC 0.0112ICIR 0.183μ 0.9112σ 0.0726
Min($low, 60)/$closeIC 0.0020ICIR 0.032μ 0.8688σ 0.0985
Quantile($close, 5, 0.8)/$closeIC 0.0167ICIR 0.272μ 1.0118σ 0.0261
Quantile($close, 10, 0.8)/$closeIC 0.0129ICIR 0.236μ 1.0177σ 0.0426
Quantile($close, 20, 0.8)/$closeIC 0.0125ICIR 0.245μ 1.0319σ 0.0780
Quantile($close, 30, 0.8)/$closeIC 0.0117ICIR 0.241μ 1.0487σ 0.1162
Quantile($close, 60, 0.8)/$closeIC 0.0008ICIR 0.015μ 1.0676σ 0.1616
Quantile($close, 5, 0.2)/$closeIC 0.0062ICIR 0.085μ 0.9886σ 0.0229
Quantile($close, 10, 0.2)/$closeIC 0.0085ICIR 0.125μ 0.9781σ 0.0391
Quantile($close, 20, 0.2)/$closeIC 0.0144ICIR 0.255μ 0.9660σ 0.0634
Quantile($close, 30, 0.2)/$closeIC 0.0146ICIR 0.275μ 0.9607σ 0.0765
Quantile($close, 60, 0.2)/$closeIC -0.0006ICIR -0.012μ 0.9406σ 0.1114
Rank($close, 5)IC -0.0133ICIR -0.225μ 0.4895σ 0.4005
Rank($close, 10)IC -0.0137ICIR -0.240μ 0.5272σ 0.3915
Rank($close, 20)IC -0.0143ICIR -0.276μ 0.5451σ 0.3922
Rank($close, 30)IC -0.0149ICIR -0.297μ 0.5406σ 0.3913
Rank($close, 60)IC -0.0064ICIR -0.126μ 0.5509σ 0.3829
($close-Min($low, 5))/(Max($high, 5)-Min($low, 5)+1e-12)IC -0.0147ICIR -0.261μ 0.4962σ 0.2806
($close-Min($low, 10))/(Max($high, 10)-Min($low, 10)+1e-12)IC -0.0154ICIR -0.303μ 0.5314σ 0.3053
($close-Min($low, 20))/(Max($high, 20)-Min($low, 20)+1e-12)IC -0.0177ICIR -0.359μ 0.5312σ 0.3285
($close-Min($low, 30))/(Max($high, 30)-Min($low, 30)+1e-12)IC -0.0131ICIR -0.258μ 0.5233σ 0.3378
($close-Min($low, 60))/(Max($high, 60)-Min($low, 60)+1e-12)IC -0.0057ICIR -0.111μ 0.5306σ 0.3443
IdxMax($high, 5)/5IC -0.0089ICIR -0.145μ 0.4152σ 0.3161
IdxMax($high, 10)/10IC -0.0100ICIR -0.150μ 0.5278σ 0.3388
IdxMax($high, 20)/20IC -0.0154ICIR -0.303μ 0.5260σ 0.3875
IdxMax($high, 30)/30IC -0.0034ICIR -0.060μ 0.5105σ 0.3850
IdxMax($high, 60)/60IC 0.0073ICIR 0.134μ 0.5580σ 0.3619
IdxMin($low, 5)/5IC -0.0006ICIR -0.010μ 0.3681σ 0.3239
IdxMin($low, 10)/10IC 0.0096ICIR 0.177μ 0.3757σ 0.3554
IdxMin($low, 20)/20IC 0.0174ICIR 0.317μ 0.4190σ 0.3577
IdxMin($low, 30)/30IC 0.0058ICIR 0.097μ 0.4687σ 0.3510
IdxMin($low, 60)/60IC -0.0106ICIR -0.177μ 0.4406σ 0.3683
(IdxMax($high, 5)-IdxMin($low, 5))/5IC -0.0040ICIR -0.068μ 0.0471σ 0.5461
(IdxMax($high, 10)-IdxMin($low, 10))/10IC -0.0130ICIR -0.236μ 0.1521σ 0.6308
(IdxMax($high, 20)-IdxMin($low, 20))/20IC -0.0197ICIR -0.395μ 0.1070σ 0.6910
(IdxMax($high, 30)-IdxMin($low, 30))/30IC -0.0044ICIR -0.081μ 0.0418σ 0.6735
(IdxMax($high, 60)-IdxMin($low, 60))/60IC 0.0094ICIR 0.166μ 0.1175σ 0.6600
Corr($close, Log($volume+1), 5)IC -0.0067ICIR -0.107μ 0.0211σ 0.5176
Corr($close, Log($volume+1), 10)IC -0.0146ICIR -0.270μ -0.0170σ 0.3643
Corr($close, Log($volume+1), 20)IC -0.0028ICIR -0.051μ 0.0014σ 0.2344
Corr($close, Log($volume+1), 30)IC -0.0056ICIR -0.085μ -0.0077σ 0.1851
Corr($close, Log($volume+1), 60)IC 0.0006ICIR 0.008μ -0.0021σ 0.1508
CORD5CORDÄnderung der Preis-Volumen-Korrelation (kurzfristig minus langfristig)Eigenständige Seite →
Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 5)IC -0.0059ICIR -0.108μ 0.0933σ 0.5907
CORD10CORDÄnderung der Preis-Volumen-Korrelation (kurzfristig minus langfristig)Eigenständige Seite →
Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 10)IC -0.0123ICIR -0.220μ 0.0669σ 0.4572
CORD20CORDÄnderung der Preis-Volumen-Korrelation (kurzfristig minus langfristig)Eigenständige Seite →
Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 20)IC -0.0089ICIR -0.156μ 0.0288σ 0.3635
CORD30CORDÄnderung der Preis-Volumen-Korrelation (kurzfristig minus langfristig)Eigenständige Seite →
Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 30)IC -0.0012ICIR -0.019μ 0.0179σ 0.2862
CORD60CORDÄnderung der Preis-Volumen-Korrelation (kurzfristig minus langfristig)Eigenständige Seite →
Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 60)IC 0.0056ICIR 0.083μ 0.0330σ 0.1984
Mean($close>Ref($close, 1), 5)IC -0.0021ICIR -0.034μ 0.4897σ 0.2595
Mean($close>Ref($close, 1), 10)IC -0.0052ICIR -0.091μ 0.5110σ 0.2154
Mean($close>Ref($close, 1), 20)IC -0.0183ICIR -0.345μ 0.4880σ 0.1864
Mean($close>Ref($close, 1), 30)IC -0.0076ICIR -0.144μ 0.4801σ 0.1429
Mean($close>Ref($close, 1), 60)IC 0.0132ICIR 0.245μ 0.4907σ 0.1201
Mean($close<Ref($close, 1), 5)IC 0.0041ICIR 0.062μ 0.4707σ 0.2520
Mean($close<Ref($close, 1), 10)IC 0.0096ICIR 0.156μ 0.4490σ 0.2067
Mean($close<Ref($close, 1), 20)IC 0.0181ICIR 0.312μ 0.4738σ 0.1776
Mean($close<Ref($close, 1), 30)IC 0.0088ICIR 0.161μ 0.4786σ 0.1332
Mean($close<Ref($close, 1), 60)IC -0.0108ICIR -0.191μ 0.4669σ 0.1071
Mean($close>Ref($close, 1), 5)-Mean($close<Ref($close, 1), 5)IC -0.0029ICIR -0.047μ 0.0190σ 0.4940
Mean($close>Ref($close, 1), 10)-Mean($close<Ref($close, 1), 10)IC -0.0054ICIR -0.091μ 0.0620σ 0.4076
Mean($close>Ref($close, 1), 20)-Mean($close<Ref($close, 1), 20)IC -0.0191ICIR -0.343μ 0.0143σ 0.3498
Mean($close>Ref($close, 1), 30)-Mean($close<Ref($close, 1), 30)IC -0.0089ICIR -0.168μ 0.0015σ 0.2553
Mean($close>Ref($close, 1), 60)-Mean($close<Ref($close, 1), 60)IC 0.0111ICIR 0.200μ 0.0239σ 0.2005
Sum(Greater($close-Ref($close, 1), 0), 5)/(Sum(Abs($close-Ref($close, 1)), 5)+1e-12)IC -0.0099ICIR -0.179μ 0.5200σ 0.3149
Sum(Greater($close-Ref($close, 1), 0), 10)/(Sum(Abs($close-Ref($close, 1)), 10)+1e-12)IC -0.0187ICIR -0.383μ 0.5459σ 0.2599
Sum(Greater($close-Ref($close, 1), 0), 20)/(Sum(Abs($close-Ref($close, 1)), 20)+1e-12)IC -0.0195ICIR -0.390μ 0.5099σ 0.2284
Sum(Greater($close-Ref($close, 1), 0), 30)/(Sum(Abs($close-Ref($close, 1)), 30)+1e-12)IC -0.0076ICIR -0.144μ 0.5018σ 0.1784
Sum(Greater($close-Ref($close, 1), 0), 60)/(Sum(Abs($close-Ref($close, 1)), 60)+1e-12)IC 0.0075ICIR 0.142μ 0.5160σ 0.1378
Sum(Greater(Ref($close, 1)-$close, 0), 5)/(Sum(Abs($close-Ref($close, 1)), 5)+1e-12)IC 0.0095ICIR 0.173μ 0.4800σ 0.3149
Sum(Greater(Ref($close, 1)-$close, 0), 10)/(Sum(Abs($close-Ref($close, 1)), 10)+1e-12)IC 0.0190ICIR 0.390μ 0.4541σ 0.2599
Sum(Greater(Ref($close, 1)-$close, 0), 20)/(Sum(Abs($close-Ref($close, 1)), 20)+1e-12)IC 0.0190ICIR 0.381μ 0.4901σ 0.2284
Sum(Greater(Ref($close, 1)-$close, 0), 30)/(Sum(Abs($close-Ref($close, 1)), 30)+1e-12)IC 0.0076ICIR 0.144μ 0.4982σ 0.1784
Sum(Greater(Ref($close, 1)-$close, 0), 60)/(Sum(Abs($close-Ref($close, 1)), 60)+1e-12)IC -0.0075ICIR -0.142μ 0.4840σ 0.1378
(Sum(Greater($close-Ref($close, 1), 0), 5)-Sum(Greater(Ref($close, 1)-$close, 0), 5))/(Sum(Abs($close-Ref($close, 1)), 5)+1e-12)IC -0.0099ICIR -0.180μ 0.0400σ 0.6299
(Sum(Greater($close-Ref($close, 1), 0), 10)-Sum(Greater(Ref($close, 1)-$close, 0), 10))/(Sum(Abs($close-Ref($close, 1)), 10)+1e-12)IC -0.0188ICIR -0.386μ 0.0919σ 0.5197
(Sum(Greater($close-Ref($close, 1), 0), 20)-Sum(Greater(Ref($close, 1)-$close, 0), 20))/(Sum(Abs($close-Ref($close, 1)), 20)+1e-12)IC -0.0193ICIR -0.386μ 0.0197σ 0.4567
(Sum(Greater($close-Ref($close, 1), 0), 30)-Sum(Greater(Ref($close, 1)-$close, 0), 30))/(Sum(Abs($close-Ref($close, 1)), 30)+1e-12)IC -0.0076ICIR -0.144μ 0.0036σ 0.3569
(Sum(Greater($close-Ref($close, 1), 0), 60)-Sum(Greater(Ref($close, 1)-$close, 0), 60))/(Sum(Abs($close-Ref($close, 1)), 60)+1e-12)IC 0.0075ICIR 0.143μ 0.0321σ 0.2756
Mean($volume, 5)/($volume+1e-12)IC 0.0100ICIR 0.177μ 1.1423σ 0.4588
Mean($volume, 10)/($volume+1e-12)IC 0.0107ICIR 0.176μ 1.1712σ 0.4707
Mean($volume, 20)/($volume+1e-12)IC 0.0096ICIR 0.155μ 1.1825σ 0.4652
Mean($volume, 30)/($volume+1e-12)IC 0.0112ICIR 0.187μ 1.1772σ 0.4612
Mean($volume, 60)/($volume+1e-12)IC 0.0114ICIR 0.186μ 1.1756σ 0.4662
Std($volume, 5)/($volume+1e-12)IC 0.0222ICIR 0.390μ 0.4799σ 0.3282
Std($volume, 10)/($volume+1e-12)IC 0.0140ICIR 0.248μ 0.5227σ 0.2860
Std($volume, 20)/($volume+1e-12)IC 0.0134ICIR 0.225μ 0.5494σ 0.2795
Std($volume, 30)/($volume+1e-12)IC 0.0166ICIR 0.279μ 0.5578σ 0.2620
Std($volume, 60)/($volume+1e-12)IC 0.0177ICIR 0.283μ 0.5675σ 0.2513
Std(Abs($close/Ref($close, 1)-1)*$volume, 5)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, 5)+1e-12)IC 0.0048ICIR 0.080μ 1.0264σ 0.3537
Std(Abs($close/Ref($close, 1)-1)*$volume, 10)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, 10)+1e-12)IC -0.0031ICIR -0.060μ 1.1307σ 0.3135
Std(Abs($close/Ref($close, 1)-1)*$volume, 20)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, 20)+1e-12)IC -0.0006ICIR -0.009μ 1.2020σ 0.2900
Std(Abs($close/Ref($close, 1)-1)*$volume, 30)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, 30)+1e-12)IC 0.0025ICIR 0.040μ 1.2611σ 0.2916
Std(Abs($close/Ref($close, 1)-1)*$volume, 60)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, 60)+1e-12)IC 0.0071ICIR 0.137μ 1.3127σ 0.2664
Sum(Greater($volume-Ref($volume, 1), 0), 5)/(Sum(Abs($volume-Ref($volume, 1)), 5)+1e-12)IC -0.0106ICIR -0.165μ 0.4999σ 0.1423
Sum(Greater($volume-Ref($volume, 1), 0), 10)/(Sum(Abs($volume-Ref($volume, 1)), 10)+1e-12)IC -0.0002ICIR -0.003μ 0.5006σ 0.0683
Sum(Greater($volume-Ref($volume, 1), 0), 20)/(Sum(Abs($volume-Ref($volume, 1)), 20)+1e-12)IC -0.0033ICIR -0.056μ 0.5041σ 0.0360
Sum(Greater($volume-Ref($volume, 1), 0), 30)/(Sum(Abs($volume-Ref($volume, 1)), 30)+1e-12)IC 0.0060ICIR 0.099μ 0.5002σ 0.0261
Sum(Greater($volume-Ref($volume, 1), 0), 60)/(Sum(Abs($volume-Ref($volume, 1)), 60)+1e-12)IC 0.0017ICIR 0.029μ 0.5008σ 0.0118
Sum(Greater(Ref($volume, 1)-$volume, 0), 5)/(Sum(Abs($volume-Ref($volume, 1)), 5)+1e-12)IC 0.0106ICIR 0.165μ 0.5001σ 0.1423
Sum(Greater(Ref($volume, 1)-$volume, 0), 10)/(Sum(Abs($volume-Ref($volume, 1)), 10)+1e-12)IC 0.0002ICIR 0.003μ 0.4994σ 0.0683
Sum(Greater(Ref($volume, 1)-$volume, 0), 20)/(Sum(Abs($volume-Ref($volume, 1)), 20)+1e-12)IC 0.0033ICIR 0.056μ 0.4959σ 0.0360
Sum(Greater(Ref($volume, 1)-$volume, 0), 30)/(Sum(Abs($volume-Ref($volume, 1)), 30)+1e-12)IC -0.0060ICIR -0.099μ 0.4998σ 0.0261
Sum(Greater(Ref($volume, 1)-$volume, 0), 60)/(Sum(Abs($volume-Ref($volume, 1)), 60)+1e-12)IC -0.0017ICIR -0.029μ 0.4992σ 0.0118
(Sum(Greater($volume-Ref($volume, 1), 0), 5)-Sum(Greater(Ref($volume, 1)-$volume, 0), 5))/(Sum(Abs($volume-Ref($volume, 1)), 5)+1e-12)IC -0.0106ICIR -0.165μ -0.0002σ 0.2846
(Sum(Greater($volume-Ref($volume, 1), 0), 10)-Sum(Greater(Ref($volume, 1)-$volume, 0), 10))/(Sum(Abs($volume-Ref($volume, 1)), 10)+1e-12)IC -0.0002ICIR -0.003μ 0.0011σ 0.1366
(Sum(Greater($volume-Ref($volume, 1), 0), 20)-Sum(Greater(Ref($volume, 1)-$volume, 0), 20))/(Sum(Abs($volume-Ref($volume, 1)), 20)+1e-12)IC -0.0033ICIR -0.056μ 0.0082σ 0.0719
(Sum(Greater($volume-Ref($volume, 1), 0), 30)-Sum(Greater(Ref($volume, 1)-$volume, 0), 30))/(Sum(Abs($volume-Ref($volume, 1)), 30)+1e-12)IC 0.0060ICIR 0.099μ 0.0004σ 0.0522
(Sum(Greater($volume-Ref($volume, 1), 0), 60)-Sum(Greater(Ref($volume, 1)-$volume, 0), 60))/(Sum(Abs($volume-Ref($volume, 1)), 60)+1e-12)IC 0.0017ICIR 0.029μ 0.0016σ 0.0237