VSUMN30 VSUMN

Downward contribution of volume changes

Formula

Sum(Greater(Ref($volume, 1)-$volume, 0), 30)/(Sum(Abs($volume-Ref($volume, 1)), 30)+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)

-0.0060

ICIR

-0.099

Cross-section mean

0.4998

Cross-section std

0.0261

Min

0.4055

Max

0.5953

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 · VSUMN

VSUMN5

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

VSUMN10

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

VSUMN20

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

VSUMN60

Sum(Greater(Ref($volume, 1)-$volume, 0), 60)/(Sum(Abs($volume-Ref($volume, 1)), 60)+1e-12)

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