QTLD60 QTLD

Rolling 20% quantile over close (lower band)

Formula

Quantile($close, 60, 0.2)/$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)

-0.0006

ICIR

-0.012

Cross-section mean

0.9406

Cross-section std

0.1114

Min

0.6586

Max

1.3387

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 · QTLD

QTLD5

Quantile($close, 5, 0.2)/$close

QTLD10

Quantile($close, 10, 0.2)/$close

QTLD20

Quantile($close, 20, 0.2)/$close

QTLD30

Quantile($close, 30, 0.2)/$close

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