Factor Definition
Formula
Enter your factor formula using the available fields and functions
Data Fields
Click to insert into formula
Price
close
open
high
low
volume
Fundamental
market_cap
revenue
net_income
book_value
total_assets
total_debt
fcf
Flow
foreign_own
inst_own
Functions
LAG(x, n)
Value n periods ago
SMA(x, n)
Simple moving average
EMA(x, n)
Exponential moving average
STD(x, n)
Standard deviation
MAX(x, n)
Maximum over n periods
MIN(x, n)
Minimum over n periods
RANK(x)
Cross-sectional rank
ZSCORE(x)
Z-score normalization
PCT_CHANGE(x, n)
Percent change
LOG(x)
Natural logarithm
ABS(x)
Absolute value
Examples
Price Momentum 6M
PCT_CHANGE(close, 126)
Earnings Yield
net_income / market_cap
Foreign Flow 1M
foreign_own - LAG(foreign_own, 21)
Volatility
STD(PCT_CHANGE(close, 1), 21) * SQRT(252)