SUMN60 SUMN

Sum of negative changes over total change

Formula

Sum(Greater(Ref($close, 1)-$close, 0), 60)/(Sum(Abs($close-Ref($close, 1)), 60)+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)

-0.0075

ICIR

-0.142

Cross-section mean

0.4840

Cross-section std

0.1378

Min

0.1255

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 · SUMN

SUMN5

Sum(Greater(Ref($close, 1)-$close, 0), 5)/(Sum(Abs($close-Ref($close, 1)), 5)+1e-12)

SUMN10

Sum(Greater(Ref($close, 1)-$close, 0), 10)/(Sum(Abs($close-Ref($close, 1)), 10)+1e-12)

SUMN20

Sum(Greater(Ref($close, 1)-$close, 0), 20)/(Sum(Abs($close-Ref($close, 1)), 20)+1e-12)

SUMN30

Sum(Greater(Ref($close, 1)-$close, 0), 30)/(Sum(Abs($close-Ref($close, 1)), 30)+1e-12)

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