STD20 STD

Std of close over latest close (price volatility)

Formula

Std($close, 20)/$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)

0.0005

ICIR

0.006

Cross-section mean

0.0370

Cross-section std

0.0243

Min

0.0063

Max

0.1497

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 · STD

STD5

Std($close, 5)/$close

STD10

Std($close, 10)/$close

STD30

Std($close, 30)/$close

STD60

Std($close, 60)/$close

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