IMAX60 IMAX

Index of max high within d days

Formula

IdxMax($high, 60)/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)
0.0073
ICIR
0.134
Cross-section mean
0.5580
Cross-section std
0.3619
Min
0.0000
Max
0.9833

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
 IMAX20
IdxMax($high, 20)/20
 IMAX30
IdxMax($high, 30)/30
Alpha158 — Alpha158 (Microsoft qlib) — 158 features… Factor Library Factor Hub Model Lab