IMXD30 IMXD

Distance between max-high and min-low indices

Formula

(IdxMax($high, 30)-IdxMin($low, 30))/30

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)

-0.0044

ICIR

-0.081

Cross-section mean

0.0418

Cross-section std

0.6735

Min

-0.9667

Max

0.9667

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 · IMXD

IMXD5

(IdxMax($high, 5)-IdxMin($low, 5))/5

IMXD10

(IdxMax($high, 10)-IdxMin($low, 10))/10

IMXD20

(IdxMax($high, 20)-IdxMin($low, 20))/20

IMXD60

(IdxMax($high, 60)-IdxMin($low, 60))/60

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