IMAX20 IMAX

Index of max high within d days

Formula

IdxMax($high, 20)/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)
-0.0154
ICIR
-0.303
Cross-section mean
0.5260
Cross-section std
0.3875
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 · IMAX

IMAX5
IdxMax($high, 5)/5
 IMAX10
IdxMax($high, 10)/10
 IMAX30
IdxMax($high, 30)/30
 IMAX60
IdxMax($high, 60)/60
Alpha158 — Alpha158 (Microsoft qlib) — 158 features… Factor Library Factor Hub Model Lab