CNTN60 CNTN

Proportion of down days within d days

Formula

Mean($close<Ref($close, 1), 60)

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)

-0.0108

ICIR

-0.191

Cross-section mean

0.4669

Cross-section std

0.1071

Min

0.0500

Max

0.7833

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 · CNTN

CNTN5

Mean($close<Ref($close, 1), 5)

CNTN10

Mean($close<Ref($close, 1), 10)

CNTN20

Mean($close<Ref($close, 1), 20)

CNTN30

Mean($close<Ref($close, 1), 30)

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