CORD60 CORD

Change of price-volume correlation (short minus long)

Formula

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

0.0056

ICIR

0.083

Cross-section mean

0.0330

Cross-section std

0.1984

Min

-0.5088

Max

0.5945

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

CORD5

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

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)

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