KSFT2 KSFT
Gravity shift: (2*close-high-low)/open
Formula
(2*$close-$high-$low)/($high-$low+1e-12)
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)
-0.0179
ICIR
-0.276
Cross-section mean
-0.0124
Cross-section std
0.4249
Min
-0.7778
Max
0.7647
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.