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Factor Library

Every quantitative factor on the platform has its own page: 180 market factors, 158 Alpha158 and 360 Alpha360 features (verbatim from Microsoft qlib). Browse by category or family.

Factor Library vs Factor Hub

The Factor Library is the complete catalog of all 698 entries: the 180 market factors — identical to the Factor Hub, where you can screen and backtest them in one click — plus the 518 Alpha158/Alpha360 features ported verbatim from Microsoft qlib for expression research. The Hub is the interactive workbench for the 180 tradable factors; the Library is the full directory.

Download full datasets:hub-factors.jsonalpha158.jsonalpha360.jsonuniverse.json

Factor Hub — 180 factors by formula · 180

Momentum Factors · 14
MOM001MOM002MOM003MOM004MOM005MOM006MOM007MOM008MOM009MOM010MOM011MOM012MOM013MOM014
Risk Factors · 14
RSK001RSK002RSK003RSK004RSK005RSK006RSK007RSK008RSK009RSK010RSK011RSK012RSK013RSK014
Value Factors · 18
VAL001VAL002VAL003VAL004VAL005VAL006VAL007VAL008VAL009VAL010VAL011VAL012VAL013VAL014VAL015VAL016VAL017VAL018
Quality Factors · 18
QUA001QUA004QUA002QUA003QUA005QUA006QUA007QUA008QUA009QUA010QUA011QUA012QUA013QUA014QUA015QUA016QUA017QUA018
Growth Factors · 17
GRW003GRW004GRW001GRW002GRW005GRW006GRW007GRW008GRW009GRW010GRW011GRW012GRW013GRW014GRW015GRW016GRW017
Liquidity Factors · 12
LIQ001LIQ002LIQ003LIQ004LIQ005LIQ006LIQ007LIQ008LIQ009LIQ010LIQ011LIQ012
Technical Factors · 18
TEC001TEC002TEC003TEC004TEC005TEC006TEC007TEC008TEC009TEC010TEC011TEC012TEC013TEC014TEC015TEC016TEC017TEC018
Composite Factors · 13
COM001COM002COM003COM004COM005COM006COM007COM008COM009COM010COM011COM012COM013
Profitability Factors · 13
PRF001PRF002PRF003PRF004PRF005PRF006PRF007PRF008PRF009PRF010PRF011PRF012PRF013
Size Factors · 10
SIZ001SIZ002SIZ003SIZ004SIZ005SIZ006SIZ007SIZ008SIZ009SIZ010
Sentiment Factors · 14
SNT001SNT002SNT003SNT004SNT005SNT006SNT007SNT008SNT009SNT010SNT011SNT012SNT013SNT014
Industry Factors · 12
IND001IND002IND003IND004IND005IND006IND007IND008IND009IND010IND011IND012
Seasonality Factors · 6
SEA001SEA002SEA003SEA004SEA005SEA006
ML Factors · 1
ML001

Alpha158 (Microsoft qlib) — 158 features · 158

KMIDK-line body: (close-open)/open, intraday strength · 2
KMIDKMID2
KLENK-line length: (high-low)/open, intraday range · 1
KLEN
KUPUpper shadow relative to open · 2
KUPKUP2
KLOWLower shadow relative to open · 2
KLOWKLOW2
KSFTGravity shift: (2*close-high-low)/open · 2
KSFTKSFT2
OPENOpen price d days ago over latest close · 1
OPEN0
HIGHHigh price d days ago over latest close · 1
HIGH0
LOWLow price d days ago over latest close · 1
LOW0
VWAPVWAP d days ago over latest close · 1
VWAP0
ROCRate of change: close d days ago over latest close · 5
ROC5ROC10ROC20ROC30ROC60
MASimple moving average over latest close · 5
MA5MA10MA20MA30MA60
STDStd of close over latest close (price volatility) · 5
STD5STD10STD20STD30STD60
BETARegression slope of close over d days (trend) · 5
BETA5BETA10BETA20BETA30BETA60
RSQRR-squared of the trend regression · 5
RSQR5RSQR10RSQR20RSQR30RSQR60
RESIResidual of the latest point vs trend · 5
RESI5RESI10RESI20RESI30RESI60
MAXRolling max over latest close · 5
MAX5MAX10MAX20MAX30MAX60
MINRolling min over latest close · 5
MIN5MIN10MIN20MIN30MIN60
QTLURolling 80% quantile over close (upper band) · 5
QTLU5QTLU10QTLU20QTLU30QTLU60
QTLDRolling 20% quantile over close (lower band) · 5
QTLD5QTLD10QTLD20QTLD30QTLD60
RANKPercentile rank of close within d days · 5
RANK5RANK10RANK20RANK30RANK60
RSVRaw stochastic value over d days · 5
RSV5RSV10RSV20RSV30RSV60
IMAXIndex of max high within d days · 5
IMAX5IMAX10IMAX20IMAX30IMAX60
IMINIndex of min low within d days · 5
IMIN5IMIN10IMIN20IMIN30IMIN60
IMXDDistance between max-high and min-low indices · 5
IMXD5IMXD10IMXD20IMXD30IMXD60
CORRCorrelation of close and log volume over d days · 5
CORR5CORR10CORR20CORR30CORR60
CORDChange of price-volume correlation (short minus long) · 5
CORD5CORD10CORD20CORD30CORD60
CNTPProportion of up days within d days · 5
CNTP5CNTP10CNTP20CNTP30CNTP60
CNTNProportion of down days within d days · 5
CNTN5CNTN10CNTN20CNTN30CNTN60
CNTDDifference of up/down day proportions · 5
CNTD5CNTD10CNTD20CNTD30CNTD60
SUMPSum of positive changes over total change · 5
SUMP5SUMP10SUMP20SUMP30SUMP60
SUMNSum of negative changes over total change · 5
SUMN5SUMN10SUMN20SUMN30SUMN60
SUMDDifference of upward and downward contributions · 5
SUMD5SUMD10SUMD20SUMD30SUMD60
VMAVolume MA over latest volume · 5
VMA5VMA10VMA20VMA30VMA60
VSTDVolume std over latest volume · 5
VSTD5VSTD10VSTD20VSTD30VSTD60
WVMAVolatility of volume volatility · 5
WVMA5WVMA10WVMA20WVMA30WVMA60
VSUMPUpward contribution of volume changes · 5
VSUMP5VSUMP10VSUMP20VSUMP30VSUMP60
VSUMNDownward contribution of volume changes · 5
VSUMN5VSUMN10VSUMN20VSUMN30VSUMN60
VSUMDDifference of volume contributions · 5
VSUMD5VSUMD10VSUMD20VSUMD30VSUMD60

Alpha360 (Microsoft qlib) — 360 features · 360

CLOSEClose price d days ago over latest close · 60
CLOSE59CLOSE58CLOSE57CLOSE56CLOSE55CLOSE54CLOSE53CLOSE52CLOSE51CLOSE50CLOSE49CLOSE48CLOSE47CLOSE46CLOSE45CLOSE44CLOSE43CLOSE42CLOSE41CLOSE40CLOSE39CLOSE38CLOSE37CLOSE36CLOSE35CLOSE34CLOSE33CLOSE32CLOSE31CLOSE30CLOSE29CLOSE28CLOSE27CLOSE26CLOSE25CLOSE24CLOSE23CLOSE22CLOSE21CLOSE20CLOSE19CLOSE18CLOSE17CLOSE16CLOSE15CLOSE14CLOSE13CLOSE12CLOSE11CLOSE10CLOSE9CLOSE8CLOSE7CLOSE6CLOSE5CLOSE4CLOSE3CLOSE2CLOSE1CLOSE0
OPENOpen price d days ago over latest close · 60
OPEN59OPEN58OPEN57OPEN56OPEN55OPEN54OPEN53OPEN52OPEN51OPEN50OPEN49OPEN48OPEN47OPEN46OPEN45OPEN44OPEN43OPEN42OPEN41OPEN40OPEN39OPEN38OPEN37OPEN36OPEN35OPEN34OPEN33OPEN32OPEN31OPEN30OPEN29OPEN28OPEN27OPEN26OPEN25OPEN24OPEN23OPEN22OPEN21OPEN20OPEN19OPEN18OPEN17OPEN16OPEN15OPEN14OPEN13OPEN12OPEN11OPEN10OPEN9OPEN8OPEN7OPEN6OPEN5OPEN4OPEN3OPEN2OPEN1OPEN0
HIGHHigh price d days ago over latest close · 60
HIGH59HIGH58HIGH57HIGH56HIGH55HIGH54HIGH53HIGH52HIGH51HIGH50HIGH49HIGH48HIGH47HIGH46HIGH45HIGH44HIGH43HIGH42HIGH41HIGH40HIGH39HIGH38HIGH37HIGH36HIGH35HIGH34HIGH33HIGH32HIGH31HIGH30HIGH29HIGH28HIGH27HIGH26HIGH25HIGH24HIGH23HIGH22HIGH21HIGH20HIGH19HIGH18HIGH17HIGH16HIGH15HIGH14HIGH13HIGH12HIGH11HIGH10HIGH9HIGH8HIGH7HIGH6HIGH5HIGH4HIGH3HIGH2HIGH1HIGH0
LOWLow price d days ago over latest close · 60
LOW59LOW58LOW57LOW56LOW55LOW54LOW53LOW52LOW51LOW50LOW49LOW48LOW47LOW46LOW45LOW44LOW43LOW42LOW41LOW40LOW39LOW38LOW37LOW36LOW35LOW34LOW33LOW32LOW31LOW30LOW29LOW28LOW27LOW26LOW25LOW24LOW23LOW22LOW21LOW20LOW19LOW18LOW17LOW16LOW15LOW14LOW13LOW12LOW11LOW10LOW9LOW8LOW7LOW6LOW5LOW4LOW3LOW2LOW1LOW0
VWAPVWAP d days ago over latest close · 60
VWAP59VWAP58VWAP57VWAP56VWAP55VWAP54VWAP53VWAP52VWAP51VWAP50VWAP49VWAP48VWAP47VWAP46VWAP45VWAP44VWAP43VWAP42VWAP41VWAP40VWAP39VWAP38VWAP37VWAP36VWAP35VWAP34VWAP33VWAP32VWAP31VWAP30VWAP29VWAP28VWAP27VWAP26VWAP25VWAP24VWAP23VWAP22VWAP21VWAP20VWAP19VWAP18VWAP17VWAP16VWAP15VWAP14VWAP13VWAP12VWAP11VWAP10VWAP9VWAP8VWAP7VWAP6VWAP5VWAP4VWAP3VWAP2VWAP1VWAP0
VOLUMEVolume d days ago over latest volume · 60
VOLUME59VOLUME58VOLUME57VOLUME56VOLUME55VOLUME54VOLUME53VOLUME52VOLUME51VOLUME50VOLUME49VOLUME48VOLUME47VOLUME46VOLUME45VOLUME44VOLUME43VOLUME42VOLUME41VOLUME40VOLUME39VOLUME38VOLUME37VOLUME36VOLUME35VOLUME34VOLUME33VOLUME32VOLUME31VOLUME30VOLUME29VOLUME28VOLUME27VOLUME26VOLUME25VOLUME24VOLUME23VOLUME22VOLUME21VOLUME20VOLUME19VOLUME18VOLUME17VOLUME16VOLUME15VOLUME14VOLUME13VOLUME12VOLUME11VOLUME10VOLUME9VOLUME8VOLUME7VOLUME6VOLUME5VOLUME4VOLUME3VOLUME2VOLUME1VOLUME0