RANK5 RANK
Percentile rank of close within d days
Formula
Rank($close, 5)
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)
-0.0133
ICIR
-0.225
Cross-section mean
0.4895
Cross-section std
0.4005
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.