RSQR20 RSQR
R-squared of the trend regression
Formula
Rsquare($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)
-0.0055
ICIR
-0.073
Cross-section mean
0.5817
Cross-section std
0.3237
Min
0.0001
Max
0.9921
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.