MIN20 MIN

Rolling min over latest close

Formula

Min($low, 20)/$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)
0.0152
ICIR
0.250
Cross-section mean
0.9235
Cross-section std
0.0640
Min
0.6667
Max
1.0000

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 · MIN

MIN5
Min($low, 5)/$close
 MIN10
Min($low, 10)/$close
 MIN30
Min($low, 30)/$close
 MIN60
Min($low, 60)/$close
Alpha158 — Alpha158 (Microsoft qlib) — 158 features… Factor Library Factor Hub Model Lab