RSQR5 RSQR

R-squared of the trend regression

Formula

Rsquare($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)
0.0022
ICIR
0.032
Cross-section mean
0.5688
Cross-section std
0.3132
Min
0.0000
Max
0.9954

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 · RSQR

RSQR10
Rsquare($close, 10)
 RSQR20
Rsquare($close, 20)
 RSQR30
Rsquare($close, 30)
 RSQR60
Rsquare($close, 60)
Alpha158 — Alpha158 (Microsoft qlib) — 158 features… Factor Library Factor Hub Model Lab