HIGH11 HIGH

High price d days ago over latest close

Formula

Ref($high, 11)/$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)
0.0155
ICIR
0.312
Cross-section mean
1.0135
Cross-section std
0.0870
Min
0.8270
Max
1.3674

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