VWAP0 VWAP
VWAP d days ago over latest close
Formula
$vwap/$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)
0.0152
ICIR
0.224
Cross-section mean
1.0001
Cross-section std
0.0065
Min
0.9763
Max
1.0203
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.