QTLU60 QTLU

Rolling 80% quantile over close (upper band)

Formula

Quantile($close, 60, 0.8)/$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)

0.0008

ICIR

0.015

Cross-section mean

1.0676

Cross-section std

0.1616

Min

0.8248

Max

2.0856

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 · QTLU

QTLU5

Quantile($close, 5, 0.8)/$close

QTLU10

Quantile($close, 10, 0.8)/$close

QTLU20

Quantile($close, 20, 0.8)/$close

QTLU30

Quantile($close, 30, 0.8)/$close

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