VMA5 VMA

Volume MA over latest volume

Formula

Mean($volume, 5)/($volume+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)

0.0100

ICIR

0.177

Cross-section mean

1.1423

Cross-section std

0.4588

Min

0.3989

Max

3.6385

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 · VMA

VMA10

Mean($volume, 10)/($volume+1e-12)

VMA20

Mean($volume, 20)/($volume+1e-12)

VMA30

Mean($volume, 30)/($volume+1e-12)

VMA60

Mean($volume, 60)/($volume+1e-12)

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