BETA5 BETA
Regression slope of close over d days (trend)
Formula
Slope($close, 5)/$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)
-0.0025
ICIR
-0.037
Cross-section mean
-0.0001
Cross-section std
0.0110
Min
-0.0417
Max
0.0500
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.