IMXD5 IMXD
Distance between max-high and min-low indices
Formula
(IdxMax($high, 5)-IdxMin($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)
-0.0040
ICIR
-0.068
Cross-section mean
0.0471
Cross-section std
0.5461
Min
-0.8000
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.