CORD5 CORD

Change of price-volume correlation (short minus long)

Formula

Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 5)

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)
-0.0059
ICIR
-0.108
Cross-section mean
0.0933
Cross-section std
0.5907
Min
-0.9932
Max
0.9842

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 · CORD

CORD10
Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 10)
 CORD20
Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 20)
 CORD30
Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 30)
 CORD60
Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), 60)
Alpha158 — Alpha158 (Microsoft qlib) — 158 features… Factor Library Factor Hub Model Lab