RANK20 RANK
Percentile rank of close within d days
Formula
Rank($close, 20)
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)
-0.0143
ICIR
-0.276
Cross-section mean
0.5451
Cross-section std
0.3922
Min
0.0000
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.