CNTP20 CNTP

Proportion of up days within d days

Formula

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

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)

-0.0183

ICIR

-0.345

Cross-section mean

0.4880

Cross-section std

0.1864

Min

0.0000

Max

0.9500

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 · CNTP

CNTP5

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

CNTP10

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

CNTP30

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

CNTP60

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

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