RSV20 RSV

Raw stochastic value over d days

Formula

($close-Min($low, 20))/(Max($high, 20)-Min($low, 20)+1e-12)

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)

-0.0177

ICIR

-0.359

Cross-section mean

0.5312

Cross-section std

0.3285

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.

Data export

alpha158.json

Related factors · RSV

RSV5

($close-Min($low, 5))/(Max($high, 5)-Min($low, 5)+1e-12)

RSV10

($close-Min($low, 10))/(Max($high, 10)-Min($low, 10)+1e-12)

RSV30

($close-Min($low, 30))/(Max($high, 30)-Min($low, 30)+1e-12)

RSV60

($close-Min($low, 60))/(Max($high, 60)-Min($low, 60)+1e-12)

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