Blade 2.11.0 New Feature "Stock Alpha Factor Finder with IC/IR"

The latest Blade 2.11.0 version introduces several new features, including a new “1000 IC/IR” strategy type in the portfolio strategy module. This feature integrates the complex process of discovering, backtesting, and evaluating profitable stock market factors directly into Blade, enabling users to freely develop and utilize their own factors.

IC/IR is mainly used in portfolio trading. It requires specifying a stock universe, within which factor discovery, backtesting, and evaluation are performed. Using IC/IR for factor analysis is a widely adopted method in quantitative investment. It is used by major quantitative institutions, and its theoretical foundation is already well established. It is primarily used to evaluate a factor’s predictive power and its risk-adjusted return performance.

What IC/IR is and how it works:

• IC (Information Coefficient): Measures the correlation between factor values and future asset returns. It is calculated as the correlation coefficient between factor values and returns in the next period (or multiple future periods).

• IR (Information Ratio): Measures the risk-adjusted performance of a factor. It is calculated as the mean of IC divided by the standard deviation of IC.

• For each cross-section, calculate the correlation between factor values and next-period returns.

• Take the average IC across multiple cross-sections.

Alpha Factor Backtest:

stocks pool: 831 high-performing stocks on China's A-share market

Alpha Factors AI Analysis:

https://www.bladequant.com/factor_batch_report_20260321_214559_en.html‍

Feature Overview Video: