ROC20 ROC

Rate of change: close d days ago over latest close

Formula

Ref($close, 20)/$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)

0.0145

ICIR

0.276

Cross-section mean

1.0077

Cross-section std

0.1340

Min

0.7442

Max

1.5304

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 · ROC

ROC5

Ref($close, 5)/$close

ROC10

Ref($close, 10)/$close

ROC30

Ref($close, 30)/$close

ROC60

Ref($close, 60)/$close

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