BETA20 BETA

Regression slope of close over d days (trend)

Formula

Slope($close, 20)/$close

The expression above is verbatim from qlib Alpha158/360 feature engineering (qlib/contrib/data/loader.py, Apache-2.0). The platform qlib-compatible expression engine evaluates it on the deterministic research panel.

Cross-section statistics & information coefficient

IC mean (60M)

-0.0172

ICIR

-0.350

Cross-section mean

-0.0001

Cross-section std

0.0067

Min

-0.0251

Max

0.0137

IC = Spearman-style rank correlation between the factor cross-section and next-month returns, computed over the last 60 months on the deterministic research panel.

Data export

alpha158.json

Related factors · BETA

BETA5

Slope($close, 5)/$close

BETA10

Slope($close, 10)/$close

BETA30

Slope($close, 30)/$close

BETA60

Slope($close, 60)/$close

Alpha158 — Alpha158 (Microsoft qlib) — 158 features… Factor Library Factor Hub Model Lab