IMIN5 IMIN

Index of min low within d days

Formula

IdxMin($low, 5)/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)
-0.0006
ICIR
-0.010
Cross-section mean
0.3681
Cross-section std
0.3239
Min
0.0000
Max
0.8000

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 · IMIN

IMIN10
IdxMin($low, 10)/10
 IMIN20
IdxMin($low, 20)/20
 IMIN30
IdxMin($low, 30)/30
 IMIN60
IdxMin($low, 60)/60
Alpha158 — Alpha158 (Microsoft qlib) — 158 features… Factor Library Factor Hub Model Lab