CORR5 CORR

Correlation of close and log volume over d days

Formula

Corr($close, Log($volume+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)

-0.0067

ICIR

-0.107

Cross-section mean

0.0211

Cross-section std

0.5176

Min

-0.9630

Max

0.9764

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 · CORR

CORR10

Corr($close, Log($volume+1), 10)

CORR20

Corr($close, Log($volume+1), 20)

CORR30

Corr($close, Log($volume+1), 30)

CORR60

Corr($close, Log($volume+1), 60)

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