CLOSE39 CLOSE

Close price d days ago over latest close

Formula

Ref($close, 39)/$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)
-0.0045
ICIR
-0.076
Cross-section mean
1.0053
Cross-section std
0.1795
Min
0.6980
Max
2.0856

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

alpha360.json

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Alpha360 — Alpha360 (Microsoft qlib) — 360 features… Factor Library Factor Hub Model Lab