OPEN28 OPEN

Open price d days ago over latest close

Formula

Ref($open, 28)/$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)
0.0055
ICIR
0.106
Cross-section mean
1.0184
Cross-section std
0.1555
Min
0.7340
Max
1.8425

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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OPEN59
Ref($open, 59)/$close
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 OPEN57
Ref($open, 57)/$close
 OPEN56
Ref($open, 56)/$close
 OPEN55
Ref($open, 55)/$close
 OPEN54
Ref($open, 54)/$close
 OPEN53
Ref($open, 53)/$close
 OPEN52
Ref($open, 52)/$close
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Ref($open, 48)/$close
Alpha360 — Alpha360 (Microsoft qlib) — 360 features… Factor Library Factor Hub Model Lab