VWAP6 VWAP

VWAP d days ago over latest close

Formula

Ref($vwap, 6)/$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)
0.0068
ICIR
0.104
Cross-section mean
0.9948
Cross-section std
0.0557
Min
0.8333
Max
1.2419

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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 VWAP56
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 VWAP55
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 VWAP54
Ref($vwap, 54)/$close
 VWAP53
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 VWAP52
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 VWAP51
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 VWAP50
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 VWAP48
Ref($vwap, 48)/$close
Alpha360 — Alpha360 (Microsoft qlib) — 360 features… Factor Library Factor Hub Model Lab