Alpha capture is the newest core factor and the one traders understand least, so it is worth taking slowly. While your trades are open, the market is offering movement. Alpha capture asks how much of that available movement you actually converted into profit for the size and time you had on. It is a guardrail: normal trading passes it easily, and only sessions that sat through a lot of opportunity and converted almost none of it are reduced.
What it measures
For each trade, the score looks at the movement available in that instrument over a rolling 24-hour path, takes the slice of time your position was actually open, and sizes it by your position. Add that up across the session and you get the total opportunity you sat in front of. Your net profit is then compared to that total. The factor is not asking whether you were profitable in dollars. It is asking whether, given the movement you had exposure to, your result makes sense.
Why it is a guardrail, not a target
This is the important part. Alpha capture is not a factor you try to maximize by capturing every wiggle. It sits at or near full credit for ordinary trading. It only bites in one specific situation: a session that held sizable positions through a lot of market movement and came out with almost nothing to show for it, which usually means the trader was on the wrong side repeatedly or sitting in dead trades while the real move happened elsewhere. In plain terms, it catches sessions that wasted the opportunity they were exposed to.
Two things that protect you
First, sessions with no usable price data are never penalized here. If the movement cannot be measured, the factor stays neutral rather than guessing. Second, the number updates live while your positions are open, so you can see it accrue rather than meeting it as a surprise at settlement. For almost every trader who sizes sensibly and does not hold large losing positions through big moves, alpha capture is a non-issue. It exists to keep the payout model honest at the edges, not to grade your entries.