MAX20 MAX

Rolling max over latest close

Formula

Max($high, 20)/$close

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

0.315

Cross-section mean

1.0824

Cross-section std

0.0973

Min

1.0000

Max

1.5304

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 · MAX

MAX5

Max($high, 5)/$close

MAX10

Max($high, 10)/$close

MAX30

Max($high, 30)/$close

MAX60

Max($high, 60)/$close

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