VWAP28 VWAP

VWAP d days ago over latest close

Formula

Ref($vwap, 28)/$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)
0.0063
ICIR
0.120
Cross-section mean
1.0207
Cross-section std
0.1534
Min
0.7287
Max
1.8066

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

Related factors · VWAP

VWAP59
Ref($vwap, 59)/$close
 VWAP58
Ref($vwap, 58)/$close
 VWAP57
Ref($vwap, 57)/$close
 VWAP56
Ref($vwap, 56)/$close
 VWAP55
Ref($vwap, 55)/$close
 VWAP54
Ref($vwap, 54)/$close
 VWAP53
Ref($vwap, 53)/$close
 VWAP52
Ref($vwap, 52)/$close
 VWAP51
Ref($vwap, 51)/$close
 VWAP50
Ref($vwap, 50)/$close
 VWAP49
Ref($vwap, 49)/$close
 VWAP48
Ref($vwap, 48)/$close
Alpha360 — Alpha360 (Microsoft qlib) — 360 features… Factor Library Factor Hub Model Lab