close and volume, and uppercase operator names such as MA and RANK.
FUTURE_RETURNS(X, N) is intentionally rejected in factor formulas because it introduces look-ahead bias. Use RETURNS(X, N) for a historical return instead.Math operators
| Operator | Expression | Description |
|---|---|---|
ABS | ABS(X) | Absolute value |
LOG | LOG(X) | Natural logarithm |
LOGABS | LOGABS(X) | Natural logarithm of the absolute value |
AS_FLOAT | AS_FLOAT(X) | Convert a boolean sequence to 0.0 or 1.0 |
RD | RD(X, N) | Round to N decimal places |
SIGN | SIGN(X) | Sign of each value: -1, 0, or 1 |
SIN | SIN(X) | Sine |
COS | COS(X) | Cosine |
TAN | TAN(X) | Tangent |
ARCSIN | ARCSIN(X) | Inverse sine |
ARCCOS | ARCCOS(X) | Inverse cosine |
ARCTAN | ARCTAN(X) | Inverse tangent |
POWER | POWER(X, N) | Raise X to the Nth power |
SIGNEDPOWER | SIGNEDPOWER(X, N) | Signed power: sign(X) * abs(X)^N |
Cross-sectional operators
| Operator | Expression | Description |
|---|---|---|
RANK | RANK(X) | Cross-sectional percentile rank in [0, 1] |
SCALE | SCALE(X) | Scale a cross-section to [-1, 1] |
ZSCORE | ZSCORE(X) | Cross-sectional z-score |
Time-series operators
| Operator | Expression | Description |
|---|---|---|
CONST | CONST(X) | Fill the sequence with its last value |
BARSLAST | BARSLAST(X) | Periods since the last true condition |
BARSLASTCOUNT | BARSLASTCOUNT(X) | Consecutive periods satisfying a condition |
REF | REF(X, N) | Value from N periods ago |
DELAY | DELAY(X, N) | Alias of REF |
DIFF | DIFF(X, N) | Difference from the value N periods ago |
DELTA | DELTA(X, N) | Alias of DIFF |
MA | MA(X, N) | Simple moving average |
TS_MEAN | TS_MEAN(X, N) | Alias of MA |
SUM | SUM(X, N) | Rolling sum |
PRODUCT | PRODUCT(X, N) | Rolling product |
ROC | ROC(X, N) | Percentage change from N periods ago |
PCT_CHANGE | PCT_CHANGE(X, N) | Alias of ROC |
STD | STD(X, N) | Rolling standard deviation |
STDDEV | STDDEV(X, N) | Alias of STD |
VAR | VAR(X, N) | Rolling variance |
TS_MAX | TS_MAX(X, N) | Rolling maximum |
TS_MIN | TS_MIN(X, N) | Rolling minimum |
TS_MIDDLE | TS_MIDDLE(X, N) | Mean of the rolling maximum and minimum |
TS_MAD | TS_MAD(X, N) | Rolling mean absolute deviation |
TS_RANK | TS_RANK(X, N) | Percentile rank within the rolling window |
TS_ARGMAX | TS_ARGMAX(X, N) | Position of the rolling maximum |
TS_ARGMIN | TS_ARGMIN(X, N) | Position of the rolling minimum |
HHV | HHV(X, N) | Alias of TS_MAX |
LLV | LLV(X, N) | Alias of TS_MIN |
HHVBARS | HHVBARS(X, N) | Periods since the rolling maximum |
LLVBARS | LLVBARS(X, N) | Periods since the rolling minimum |
COUNT | COUNT(X, N) | Count true values in the rolling window |
EVERY | EVERY(X, N) | Whether all values in the window are true |
EXIST | EXIST(X, N) | Whether any value in the window is true |
BARSSINCEN | BARSSINCEN(X, N) | Periods since the first true value in the window |
SLOPE | SLOPE(X, N) | Rolling linear-regression slope |
ANGLE | ANGLE(X, N) | Rolling linear-regression angle |
INTERCEPT | INTERCEPT(X, N) | Rolling linear-regression intercept |
FORCAST | FORCAST(X, N) | Rolling linear-regression forecast |
DECAYLINEAR | DECAYLINEAR(X, N) | Linearly decayed weighted average |
TS_ZSCORE | TS_ZSCORE(X, N) | Rolling z-score |
TS_SKEW | TS_SKEW(X, N) | Rolling skewness |
TS_KURT | TS_KURT(X, N) | Rolling kurtosis |
TS_MEDIAN | TS_MEDIAN(X, N) | Rolling median |
AVEDEV | AVEDEV(X, N) | Rolling mean absolute deviation |
EMA | EMA(X, N) | Exponential moving average |
DMA | DMA(X, A) | Dynamic moving average |
WMA | WMA(X, N) | Weighted moving average |
RETURNS | RETURNS(X, N) | Historical percentage change from N periods ago |
SHARPE | SHARPE(X, N) | Rolling mean divided by rolling standard deviation |
SUM_ABS_PRICE_CHANGE | SUM_ABS_PRICE_CHANGE(X, N) | Rolling sum of absolute price changes |
MEAN_ABS_PRICE_CHANGE | MEAN_ABS_PRICE_CHANGE(X, N) | Rolling mean of absolute price changes |
SMA | SMA(X, N, M) | Chinese-style weighted moving average |
Comparison and conditional operators
| Operator | Expression | Description |
|---|---|---|
MAX | MAX(A, B) | Element-wise maximum |
MIN | MIN(A, B) | Element-wise minimum |
MEAN | MEAN(A, B) | Element-wise mean |
EQUAL | EQUAL(A, B) | Element-wise equality |
VALUEWHEN | VALUEWHEN(A, B) | Value of B when condition A is true |
CROSS | CROSS(X, Y) | Whether X crosses above Y |
LONGCROSS | LONGCROSS(A, B, N) | Crosses above B after staying below it for N periods |
LAST | LAST(X, N, M) | Whether X stays true from period N through M |
IF | IF(X, A, B) | Select A when X is true, otherwise B |
Statistical and relationship operators
| Operator | Expression | Description |
|---|---|---|
CORR | CORR(A, B, N) | Rolling correlation |
CORRELATION | CORRELATION(A, B, N) | Alias of CORR |
COV | COV(A, B, N) | Rolling covariance |
COVARIANCE | COVARIANCE(A, B, N) | Alias of COV |
TS_REGRESSION | TS_REGRESSION(A, B, N) | Rolling regression slope |
SUMIF | SUMIF(A, B, N) | Rolling sum of B where A is true |
Restricted operators
| Operator | Expression | Status |
|---|---|---|
FUTURE_RETURNS | FUTURE_RETURNS(X, N) | Not allowed in factor formulas; it reads future data |
Technical indicators
| Indicator | Expression |
|---|---|
| Average volume | ADV(VOLUME, N) |
| MACD | MACD_DIF(CLOSE, SHORT, LONG, M), MACD_DEA(CLOSE, SHORT, LONG, M), MACD(CLOSE, SHORT, LONG, M) |
| KDJ | KDJ_K(CLOSE, HIGH, LOW, N, M1, M2), KDJ_D(CLOSE, HIGH, LOW, N, M1, M2), KDJ_J(CLOSE, HIGH, LOW, N, M1, M2) |
| RSI and Williams %R | RSI(X, N), WR(X, N) |
| Bollinger bands | BOLL_UPPER(CLOSE, N, P), BOLL_MID(CLOSE, N, P), BOLL_LOWER(CLOSE, N, P), BOLL_WIDTH(X, N) |
| Bias, PSY, and CCI | BIAS(CLOSE, N), PSY(CLOSE, N), PSYMA(CLOSE, N, M), CCI(X, N) |
| ATR | ATR(X, N) |
| BBI | BBI(CLOSE, M1, M2, M3, M4) |
| DMI | DMI_PDI(CLOSE, HIGH, LOW, M1, M2), DMI_MDI(CLOSE, HIGH, LOW, M1, M2), DMI_ADX(CLOSE, HIGH, LOW, M1, M2), DMI_ADXR(CLOSE, HIGH, LOW, M1, M2) |
| Advanced moving averages | DEMA(X, N), TEMA(CLOSE, N), KAMA(X, N), T3(X, N) |
| Oscillators | PPO(A, B), AROONOSC(X, N), ADXR(X, N), CMO(X, N), STOCHASTIC(X, N) |
| Volume indicators | OBV(CLOSE, VOL), VR(CLOSE, VOLUME, M1), MFI(CLOSE, HIGH, LOW, VOLUME, N) |
| EMV | EMV(HIGH, LOW, VOL, N, M), EMVMA(HIGH, LOW, VOL, N, M) |
| TRIX | TRIX(CLOSE, M1, M2), TRIMA(CLOSE, M1, M2) |
| DPO | DPO(CLOSE, M1, M2, M3), DPOMA(CLOSE, M1, M2, M3) |
| BRAR | BRAR(OPEN, CLOSE, HIGH, LOW, M1), ARBR(OPEN, CLOSE, HIGH, LOW, M1) |
| Momentum | MTM(CLOSE, N, M), MTMMA(CLOSE, N, M), ROCMA(CLOSE, N, M) |
| MASS | MASS(HIGH, LOW, N1, N2, M), MASSMA(HIGH, LOW, N1, N2, M) |
| EXPMA | EXPMA(CLOSE, N1, N2), EXPMA2(CLOSE, N1, N2) |
| ASI | ASI(OPEN, CLOSE, HIGH, LOW, M1, M2), ASIT(OPEN, CLOSE, HIGH, LOW, M1, M2) |
| DIF | DIF(CLOSE, N1, N2, M), DFMA(CLOSE, N1, N2, M) |
| Bollinger difference | BOLLINGERDIFF(A, B) |
Market compatibility
The operator set is shared across markets, but the fields available to an expression depend on the market:| Market | Common fields | Restrictions |
|---|---|---|
| A-share | open, close, high, low, volume, amount, turnover, market_cap, and financial fields | Financial fields are available when provided by the factor data source |
| Hong Kong | open, close, high, low, volume, amount, turnover, market_cap | Do not use A-share financial fields |
| US | open, close, high, low, volume, amount, turnover, market_cap | Do not use A-share financial fields |
| Futures | open, close, high, low, volume, amount, oi | Stock financial fields are not available |
Examples
RANK(close / DELAY(close, 20) - 1)
(ZSCORE(oper_roe_ttm) + ZSCORE(-1 * ratio_pb_ttm)) / 2
CORR(close, volume, 10)