diff --git a/qlib/contrib/data/handler.py b/qlib/contrib/data/handler.py
index ce052f5506..7c63e5a639 100644
--- a/qlib/contrib/data/handler.py
+++ b/qlib/contrib/data/handler.py
@@ -1,6 +1,7 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
 
+from qlib.contrib.data.loader import Alpha158DL, Alpha360DL
 from ...data.dataset.handler import DataHandlerLP
 from ...data.dataset.processor import Processor
 from ...utils import get_callable_kwargs
@@ -66,7 +67,7 @@ def __init__(
             "class": "QlibDataLoader",
             "kwargs": {
                 "config": {
-                    "feature": self.get_feature_config(),
+                    "feature": Alpha360DL.get_feature_config(),
                     "label": kwargs.pop("label", self.get_label_config()),
                 },
                 "filter_pipe": filter_pipe,
@@ -88,51 +89,6 @@ def __init__(
     def get_label_config(self):
         return ["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"]
 
-    @staticmethod
-    def get_feature_config():
-        # NOTE:
-        # Alpha360 tries to provide a dataset with original price data
-        # the original price data includes the prices and volume in the last 60 days.
-        # To make it easier to learn models from this dataset, all the prices and volume
-        # are normalized by the latest price and volume data ( dividing by $close, $volume)
-        # So the latest normalized $close will be 1 (with name CLOSE0), the latest normalized $volume will be 1 (with name VOLUME0)
-        # If further normalization are executed (e.g. centralization),  CLOSE0 and VOLUME0 will be 0.
-        fields = []
-        names = []
-
-        for i in range(59, 0, -1):
-            fields += ["Ref($close, %d)/$close" % i]
-            names += ["CLOSE%d" % i]
-        fields += ["$close/$close"]
-        names += ["CLOSE0"]
-        for i in range(59, 0, -1):
-            fields += ["Ref($open, %d)/$close" % i]
-            names += ["OPEN%d" % i]
-        fields += ["$open/$close"]
-        names += ["OPEN0"]
-        for i in range(59, 0, -1):
-            fields += ["Ref($high, %d)/$close" % i]
-            names += ["HIGH%d" % i]
-        fields += ["$high/$close"]
-        names += ["HIGH0"]
-        for i in range(59, 0, -1):
-            fields += ["Ref($low, %d)/$close" % i]
-            names += ["LOW%d" % i]
-        fields += ["$low/$close"]
-        names += ["LOW0"]
-        for i in range(59, 0, -1):
-            fields += ["Ref($vwap, %d)/$close" % i]
-            names += ["VWAP%d" % i]
-        fields += ["$vwap/$close"]
-        names += ["VWAP0"]
-        for i in range(59, 0, -1):
-            fields += ["Ref($volume, %d)/($volume+1e-12)" % i]
-            names += ["VOLUME%d" % i]
-        fields += ["$volume/($volume+1e-12)"]
-        names += ["VOLUME0"]
-
-        return fields, names
-
 
 class Alpha360vwap(Alpha360):
     def get_label_config(self):
@@ -190,242 +146,11 @@ def get_feature_config(self):
             },
             "rolling": {},
         }
-        return self.parse_config_to_fields(conf)
+        return Alpha158DL.get_feature_config(conf)
 
     def get_label_config(self):
         return ["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"]
 
-    @staticmethod
-    def parse_config_to_fields(config):
-        """create factors from config
-
-        config = {
-            'kbar': {}, # whether to use some hard-code kbar features
-            'price': { # whether to use raw price features
-                'windows': [0, 1, 2, 3, 4], # use price at n days ago
-                'feature': ['OPEN', 'HIGH', 'LOW'] # which price field to use
-            },
-            'volume': { # whether to use raw volume features
-                'windows': [0, 1, 2, 3, 4], # use volume at n days ago
-            },
-            'rolling': { # whether to use rolling operator based features
-                'windows': [5, 10, 20, 30, 60], # rolling windows size
-                'include': ['ROC', 'MA', 'STD'], # rolling operator to use
-                #if include is None we will use default operators
-                'exclude': ['RANK'], # rolling operator not to use
-            }
-        }
-        """
-        fields = []
-        names = []
-        if "kbar" in config:
-            fields += [
-                "($close-$open)/$open",
-                "($high-$low)/$open",
-                "($close-$open)/($high-$low+1e-12)",
-                "($high-Greater($open, $close))/$open",
-                "($high-Greater($open, $close))/($high-$low+1e-12)",
-                "(Less($open, $close)-$low)/$open",
-                "(Less($open, $close)-$low)/($high-$low+1e-12)",
-                "(2*$close-$high-$low)/$open",
-                "(2*$close-$high-$low)/($high-$low+1e-12)",
-            ]
-            names += [
-                "KMID",
-                "KLEN",
-                "KMID2",
-                "KUP",
-                "KUP2",
-                "KLOW",
-                "KLOW2",
-                "KSFT",
-                "KSFT2",
-            ]
-        if "price" in config:
-            windows = config["price"].get("windows", range(5))
-            feature = config["price"].get("feature", ["OPEN", "HIGH", "LOW", "CLOSE", "VWAP"])
-            for field in feature:
-                field = field.lower()
-                fields += ["Ref($%s, %d)/$close" % (field, d) if d != 0 else "$%s/$close" % field for d in windows]
-                names += [field.upper() + str(d) for d in windows]
-        if "volume" in config:
-            windows = config["volume"].get("windows", range(5))
-            fields += ["Ref($volume, %d)/($volume+1e-12)" % d if d != 0 else "$volume/($volume+1e-12)" for d in windows]
-            names += ["VOLUME" + str(d) for d in windows]
-        if "rolling" in config:
-            windows = config["rolling"].get("windows", [5, 10, 20, 30, 60])
-            include = config["rolling"].get("include", None)
-            exclude = config["rolling"].get("exclude", [])
-            # `exclude` in dataset config unnecessary filed
-            # `include` in dataset config necessary field
-
-            def use(x):
-                return x not in exclude and (include is None or x in include)
-
-            # Some factor ref: https://guorn.com/static/upload/file/3/134065454575605.pdf
-            if use("ROC"):
-                # https://www.investopedia.com/terms/r/rateofchange.asp
-                # Rate of change, the price change in the past d days, divided by latest close price to remove unit
-                fields += ["Ref($close, %d)/$close" % d for d in windows]
-                names += ["ROC%d" % d for d in windows]
-            if use("MA"):
-                # https://www.investopedia.com/ask/answers/071414/whats-difference-between-moving-average-and-weighted-moving-average.asp
-                # Simple Moving Average, the simple moving average in the past d days, divided by latest close price to remove unit
-                fields += ["Mean($close, %d)/$close" % d for d in windows]
-                names += ["MA%d" % d for d in windows]
-            if use("STD"):
-                # The standard diviation of close price for the past d days, divided by latest close price to remove unit
-                fields += ["Std($close, %d)/$close" % d for d in windows]
-                names += ["STD%d" % d for d in windows]
-            if use("BETA"):
-                # The rate of close price change in the past d days, divided by latest close price to remove unit
-                # For example, price increase 10 dollar per day in the past d days, then Slope will be 10.
-                fields += ["Slope($close, %d)/$close" % d for d in windows]
-                names += ["BETA%d" % d for d in windows]
-            if use("RSQR"):
-                # The R-sqaure value of linear regression for the past d days, represent the trend linear
-                fields += ["Rsquare($close, %d)" % d for d in windows]
-                names += ["RSQR%d" % d for d in windows]
-            if use("RESI"):
-                # The redisdual for linear regression for the past d days, represent the trend linearity for past d days.
-                fields += ["Resi($close, %d)/$close" % d for d in windows]
-                names += ["RESI%d" % d for d in windows]
-            if use("MAX"):
-                # The max price for past d days, divided by latest close price to remove unit
-                fields += ["Max($high, %d)/$close" % d for d in windows]
-                names += ["MAX%d" % d for d in windows]
-            if use("LOW"):
-                # The low price for past d days, divided by latest close price to remove unit
-                fields += ["Min($low, %d)/$close" % d for d in windows]
-                names += ["MIN%d" % d for d in windows]
-            if use("QTLU"):
-                # The 80% quantile of past d day's close price, divided by latest close price to remove unit
-                # Used with MIN and MAX
-                fields += ["Quantile($close, %d, 0.8)/$close" % d for d in windows]
-                names += ["QTLU%d" % d for d in windows]
-            if use("QTLD"):
-                # The 20% quantile of past d day's close price, divided by latest close price to remove unit
-                fields += ["Quantile($close, %d, 0.2)/$close" % d for d in windows]
-                names += ["QTLD%d" % d for d in windows]
-            if use("RANK"):
-                # Get the percentile of current close price in past d day's close price.
-                # Represent the current price level comparing to past N days, add additional information to moving average.
-                fields += ["Rank($close, %d)" % d for d in windows]
-                names += ["RANK%d" % d for d in windows]
-            if use("RSV"):
-                # Represent the price position between upper and lower resistent price for past d days.
-                fields += ["($close-Min($low, %d))/(Max($high, %d)-Min($low, %d)+1e-12)" % (d, d, d) for d in windows]
-                names += ["RSV%d" % d for d in windows]
-            if use("IMAX"):
-                # The number of days between current date and previous highest price date.
-                # Part of Aroon Indicator https://www.investopedia.com/terms/a/aroon.asp
-                # The indicator measures the time between highs and the time between lows over a time period.
-                # The idea is that strong uptrends will regularly see new highs, and strong downtrends will regularly see new lows.
-                fields += ["IdxMax($high, %d)/%d" % (d, d) for d in windows]
-                names += ["IMAX%d" % d for d in windows]
-            if use("IMIN"):
-                # The number of days between current date and previous lowest price date.
-                # Part of Aroon Indicator https://www.investopedia.com/terms/a/aroon.asp
-                # The indicator measures the time between highs and the time between lows over a time period.
-                # The idea is that strong uptrends will regularly see new highs, and strong downtrends will regularly see new lows.
-                fields += ["IdxMin($low, %d)/%d" % (d, d) for d in windows]
-                names += ["IMIN%d" % d for d in windows]
-            if use("IMXD"):
-                # The time period between previous lowest-price date occur after highest price date.
-                # Large value suggest downward momemtum.
-                fields += ["(IdxMax($high, %d)-IdxMin($low, %d))/%d" % (d, d, d) for d in windows]
-                names += ["IMXD%d" % d for d in windows]
-            if use("CORR"):
-                # The correlation between absolute close price and log scaled trading volume
-                fields += ["Corr($close, Log($volume+1), %d)" % d for d in windows]
-                names += ["CORR%d" % d for d in windows]
-            if use("CORD"):
-                # The correlation between price change ratio and volume change ratio
-                fields += ["Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), %d)" % d for d in windows]
-                names += ["CORD%d" % d for d in windows]
-            if use("CNTP"):
-                # The percentage of days in past d days that price go up.
-                fields += ["Mean($close>Ref($close, 1), %d)" % d for d in windows]
-                names += ["CNTP%d" % d for d in windows]
-            if use("CNTN"):
-                # The percentage of days in past d days that price go down.
-                fields += ["Mean($close<Ref($close, 1), %d)" % d for d in windows]
-                names += ["CNTN%d" % d for d in windows]
-            if use("CNTD"):
-                # The diff between past up day and past down day
-                fields += ["Mean($close>Ref($close, 1), %d)-Mean($close<Ref($close, 1), %d)" % (d, d) for d in windows]
-                names += ["CNTD%d" % d for d in windows]
-            if use("SUMP"):
-                # The total gain / the absolute total price changed
-                # Similar to RSI indicator. https://www.investopedia.com/terms/r/rsi.asp
-                fields += [
-                    "Sum(Greater($close-Ref($close, 1), 0), %d)/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d)
-                    for d in windows
-                ]
-                names += ["SUMP%d" % d for d in windows]
-            if use("SUMN"):
-                # The total lose / the absolute total price changed
-                # Can be derived from SUMP by SUMN = 1 - SUMP
-                # Similar to RSI indicator. https://www.investopedia.com/terms/r/rsi.asp
-                fields += [
-                    "Sum(Greater(Ref($close, 1)-$close, 0), %d)/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d)
-                    for d in windows
-                ]
-                names += ["SUMN%d" % d for d in windows]
-            if use("SUMD"):
-                # The diff ratio between total gain and total lose
-                # Similar to RSI indicator. https://www.investopedia.com/terms/r/rsi.asp
-                fields += [
-                    "(Sum(Greater($close-Ref($close, 1), 0), %d)-Sum(Greater(Ref($close, 1)-$close, 0), %d))"
-                    "/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d, d)
-                    for d in windows
-                ]
-                names += ["SUMD%d" % d for d in windows]
-            if use("VMA"):
-                # Simple Volume Moving average: https://www.barchart.com/education/technical-indicators/volume_moving_average
-                fields += ["Mean($volume, %d)/($volume+1e-12)" % d for d in windows]
-                names += ["VMA%d" % d for d in windows]
-            if use("VSTD"):
-                # The standard deviation for volume in past d days.
-                fields += ["Std($volume, %d)/($volume+1e-12)" % d for d in windows]
-                names += ["VSTD%d" % d for d in windows]
-            if use("WVMA"):
-                # The volume weighted price change volatility
-                fields += [
-                    "Std(Abs($close/Ref($close, 1)-1)*$volume, %d)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, %d)+1e-12)"
-                    % (d, d)
-                    for d in windows
-                ]
-                names += ["WVMA%d" % d for d in windows]
-            if use("VSUMP"):
-                # The total volume increase / the absolute total volume changed
-                fields += [
-                    "Sum(Greater($volume-Ref($volume, 1), 0), %d)/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)"
-                    % (d, d)
-                    for d in windows
-                ]
-                names += ["VSUMP%d" % d for d in windows]
-            if use("VSUMN"):
-                # The total volume increase / the absolute total volume changed
-                # Can be derived from VSUMP by VSUMN = 1 - VSUMP
-                fields += [
-                    "Sum(Greater(Ref($volume, 1)-$volume, 0), %d)/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)"
-                    % (d, d)
-                    for d in windows
-                ]
-                names += ["VSUMN%d" % d for d in windows]
-            if use("VSUMD"):
-                # The diff ratio between total volume increase and total volume decrease
-                # RSI indicator for volume
-                fields += [
-                    "(Sum(Greater($volume-Ref($volume, 1), 0), %d)-Sum(Greater(Ref($volume, 1)-$volume, 0), %d))"
-                    "/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)" % (d, d, d)
-                    for d in windows
-                ]
-                names += ["VSUMD%d" % d for d in windows]
-
-        return fields, names
-
 
 class Alpha158vwap(Alpha158):
     def get_label_config(self):
diff --git a/qlib/contrib/data/loader.py b/qlib/contrib/data/loader.py
new file mode 100644
index 0000000000..4d11f3a34c
--- /dev/null
+++ b/qlib/contrib/data/loader.py
@@ -0,0 +1,310 @@
+from qlib.data.dataset.loader import QlibDataLoader
+
+
+class Alpha360DL(QlibDataLoader):
+    """Dataloader to get Alpha360"""
+
+    def __init__(self, config=None, **kwargs):
+        _config = {
+            "feature": self.get_feature_config(),
+        }
+        if config is not None:
+            _config.update(config)
+        super().__init__(config=_config, **kwargs)
+
+    @staticmethod
+    def get_feature_config():
+        # NOTE:
+        # Alpha360 tries to provide a dataset with original price data
+        # the original price data includes the prices and volume in the last 60 days.
+        # To make it easier to learn models from this dataset, all the prices and volume
+        # are normalized by the latest price and volume data ( dividing by $close, $volume)
+        # So the latest normalized $close will be 1 (with name CLOSE0), the latest normalized $volume will be 1 (with name VOLUME0)
+        # If further normalization are executed (e.g. centralization),  CLOSE0 and VOLUME0 will be 0.
+        fields = []
+        names = []
+
+        for i in range(59, 0, -1):
+            fields += ["Ref($close, %d)/$close" % i]
+            names += ["CLOSE%d" % i]
+        fields += ["$close/$close"]
+        names += ["CLOSE0"]
+        for i in range(59, 0, -1):
+            fields += ["Ref($open, %d)/$close" % i]
+            names += ["OPEN%d" % i]
+        fields += ["$open/$close"]
+        names += ["OPEN0"]
+        for i in range(59, 0, -1):
+            fields += ["Ref($high, %d)/$close" % i]
+            names += ["HIGH%d" % i]
+        fields += ["$high/$close"]
+        names += ["HIGH0"]
+        for i in range(59, 0, -1):
+            fields += ["Ref($low, %d)/$close" % i]
+            names += ["LOW%d" % i]
+        fields += ["$low/$close"]
+        names += ["LOW0"]
+        for i in range(59, 0, -1):
+            fields += ["Ref($vwap, %d)/$close" % i]
+            names += ["VWAP%d" % i]
+        fields += ["$vwap/$close"]
+        names += ["VWAP0"]
+        for i in range(59, 0, -1):
+            fields += ["Ref($volume, %d)/($volume+1e-12)" % i]
+            names += ["VOLUME%d" % i]
+        fields += ["$volume/($volume+1e-12)"]
+        names += ["VOLUME0"]
+
+        return fields, names
+
+
+class Alpha158DL(QlibDataLoader):
+    """Dataloader to get Alpha158"""
+
+    def __init__(self, config=None, **kwargs):
+        _config = {
+            "feature": self.get_feature_config(),
+        }
+        if config is not None:
+            _config.update(config)
+        super().__init__(config=_config, **kwargs)
+
+    @staticmethod
+    def get_feature_config(
+        config={
+            "kbar": {},
+            "price": {
+                "windows": [0],
+                "feature": ["OPEN", "HIGH", "LOW", "VWAP"],
+            },
+            "rolling": {},
+        }
+    ):
+        """create factors from config
+
+        config = {
+            'kbar': {}, # whether to use some hard-code kbar features
+            'price': { # whether to use raw price features
+                'windows': [0, 1, 2, 3, 4], # use price at n days ago
+                'feature': ['OPEN', 'HIGH', 'LOW'] # which price field to use
+            },
+            'volume': { # whether to use raw volume features
+                'windows': [0, 1, 2, 3, 4], # use volume at n days ago
+            },
+            'rolling': { # whether to use rolling operator based features
+                'windows': [5, 10, 20, 30, 60], # rolling windows size
+                'include': ['ROC', 'MA', 'STD'], # rolling operator to use
+                #if include is None we will use default operators
+                'exclude': ['RANK'], # rolling operator not to use
+            }
+        }
+        """
+        fields = []
+        names = []
+        if "kbar" in config:
+            fields += [
+                "($close-$open)/$open",
+                "($high-$low)/$open",
+                "($close-$open)/($high-$low+1e-12)",
+                "($high-Greater($open, $close))/$open",
+                "($high-Greater($open, $close))/($high-$low+1e-12)",
+                "(Less($open, $close)-$low)/$open",
+                "(Less($open, $close)-$low)/($high-$low+1e-12)",
+                "(2*$close-$high-$low)/$open",
+                "(2*$close-$high-$low)/($high-$low+1e-12)",
+            ]
+            names += [
+                "KMID",
+                "KLEN",
+                "KMID2",
+                "KUP",
+                "KUP2",
+                "KLOW",
+                "KLOW2",
+                "KSFT",
+                "KSFT2",
+            ]
+        if "price" in config:
+            windows = config["price"].get("windows", range(5))
+            feature = config["price"].get("feature", ["OPEN", "HIGH", "LOW", "CLOSE", "VWAP"])
+            for field in feature:
+                field = field.lower()
+                fields += ["Ref($%s, %d)/$close" % (field, d) if d != 0 else "$%s/$close" % field for d in windows]
+                names += [field.upper() + str(d) for d in windows]
+        if "volume" in config:
+            windows = config["volume"].get("windows", range(5))
+            fields += ["Ref($volume, %d)/($volume+1e-12)" % d if d != 0 else "$volume/($volume+1e-12)" for d in windows]
+            names += ["VOLUME" + str(d) for d in windows]
+        if "rolling" in config:
+            windows = config["rolling"].get("windows", [5, 10, 20, 30, 60])
+            include = config["rolling"].get("include", None)
+            exclude = config["rolling"].get("exclude", [])
+            # `exclude` in dataset config unnecessary filed
+            # `include` in dataset config necessary field
+
+            def use(x):
+                return x not in exclude and (include is None or x in include)
+
+            # Some factor ref: https://guorn.com/static/upload/file/3/134065454575605.pdf
+            if use("ROC"):
+                # https://www.investopedia.com/terms/r/rateofchange.asp
+                # Rate of change, the price change in the past d days, divided by latest close price to remove unit
+                fields += ["Ref($close, %d)/$close" % d for d in windows]
+                names += ["ROC%d" % d for d in windows]
+            if use("MA"):
+                # https://www.investopedia.com/ask/answers/071414/whats-difference-between-moving-average-and-weighted-moving-average.asp
+                # Simple Moving Average, the simple moving average in the past d days, divided by latest close price to remove unit
+                fields += ["Mean($close, %d)/$close" % d for d in windows]
+                names += ["MA%d" % d for d in windows]
+            if use("STD"):
+                # The standard diviation of close price for the past d days, divided by latest close price to remove unit
+                fields += ["Std($close, %d)/$close" % d for d in windows]
+                names += ["STD%d" % d for d in windows]
+            if use("BETA"):
+                # The rate of close price change in the past d days, divided by latest close price to remove unit
+                # For example, price increase 10 dollar per day in the past d days, then Slope will be 10.
+                fields += ["Slope($close, %d)/$close" % d for d in windows]
+                names += ["BETA%d" % d for d in windows]
+            if use("RSQR"):
+                # The R-sqaure value of linear regression for the past d days, represent the trend linear
+                fields += ["Rsquare($close, %d)" % d for d in windows]
+                names += ["RSQR%d" % d for d in windows]
+            if use("RESI"):
+                # The redisdual for linear regression for the past d days, represent the trend linearity for past d days.
+                fields += ["Resi($close, %d)/$close" % d for d in windows]
+                names += ["RESI%d" % d for d in windows]
+            if use("MAX"):
+                # The max price for past d days, divided by latest close price to remove unit
+                fields += ["Max($high, %d)/$close" % d for d in windows]
+                names += ["MAX%d" % d for d in windows]
+            if use("LOW"):
+                # The low price for past d days, divided by latest close price to remove unit
+                fields += ["Min($low, %d)/$close" % d for d in windows]
+                names += ["MIN%d" % d for d in windows]
+            if use("QTLU"):
+                # The 80% quantile of past d day's close price, divided by latest close price to remove unit
+                # Used with MIN and MAX
+                fields += ["Quantile($close, %d, 0.8)/$close" % d for d in windows]
+                names += ["QTLU%d" % d for d in windows]
+            if use("QTLD"):
+                # The 20% quantile of past d day's close price, divided by latest close price to remove unit
+                fields += ["Quantile($close, %d, 0.2)/$close" % d for d in windows]
+                names += ["QTLD%d" % d for d in windows]
+            if use("RANK"):
+                # Get the percentile of current close price in past d day's close price.
+                # Represent the current price level comparing to past N days, add additional information to moving average.
+                fields += ["Rank($close, %d)" % d for d in windows]
+                names += ["RANK%d" % d for d in windows]
+            if use("RSV"):
+                # Represent the price position between upper and lower resistent price for past d days.
+                fields += ["($close-Min($low, %d))/(Max($high, %d)-Min($low, %d)+1e-12)" % (d, d, d) for d in windows]
+                names += ["RSV%d" % d for d in windows]
+            if use("IMAX"):
+                # The number of days between current date and previous highest price date.
+                # Part of Aroon Indicator https://www.investopedia.com/terms/a/aroon.asp
+                # The indicator measures the time between highs and the time between lows over a time period.
+                # The idea is that strong uptrends will regularly see new highs, and strong downtrends will regularly see new lows.
+                fields += ["IdxMax($high, %d)/%d" % (d, d) for d in windows]
+                names += ["IMAX%d" % d for d in windows]
+            if use("IMIN"):
+                # The number of days between current date and previous lowest price date.
+                # Part of Aroon Indicator https://www.investopedia.com/terms/a/aroon.asp
+                # The indicator measures the time between highs and the time between lows over a time period.
+                # The idea is that strong uptrends will regularly see new highs, and strong downtrends will regularly see new lows.
+                fields += ["IdxMin($low, %d)/%d" % (d, d) for d in windows]
+                names += ["IMIN%d" % d for d in windows]
+            if use("IMXD"):
+                # The time period between previous lowest-price date occur after highest price date.
+                # Large value suggest downward momemtum.
+                fields += ["(IdxMax($high, %d)-IdxMin($low, %d))/%d" % (d, d, d) for d in windows]
+                names += ["IMXD%d" % d for d in windows]
+            if use("CORR"):
+                # The correlation between absolute close price and log scaled trading volume
+                fields += ["Corr($close, Log($volume+1), %d)" % d for d in windows]
+                names += ["CORR%d" % d for d in windows]
+            if use("CORD"):
+                # The correlation between price change ratio and volume change ratio
+                fields += ["Corr($close/Ref($close,1), Log($volume/Ref($volume, 1)+1), %d)" % d for d in windows]
+                names += ["CORD%d" % d for d in windows]
+            if use("CNTP"):
+                # The percentage of days in past d days that price go up.
+                fields += ["Mean($close>Ref($close, 1), %d)" % d for d in windows]
+                names += ["CNTP%d" % d for d in windows]
+            if use("CNTN"):
+                # The percentage of days in past d days that price go down.
+                fields += ["Mean($close<Ref($close, 1), %d)" % d for d in windows]
+                names += ["CNTN%d" % d for d in windows]
+            if use("CNTD"):
+                # The diff between past up day and past down day
+                fields += ["Mean($close>Ref($close, 1), %d)-Mean($close<Ref($close, 1), %d)" % (d, d) for d in windows]
+                names += ["CNTD%d" % d for d in windows]
+            if use("SUMP"):
+                # The total gain / the absolute total price changed
+                # Similar to RSI indicator. https://www.investopedia.com/terms/r/rsi.asp
+                fields += [
+                    "Sum(Greater($close-Ref($close, 1), 0), %d)/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d)
+                    for d in windows
+                ]
+                names += ["SUMP%d" % d for d in windows]
+            if use("SUMN"):
+                # The total lose / the absolute total price changed
+                # Can be derived from SUMP by SUMN = 1 - SUMP
+                # Similar to RSI indicator. https://www.investopedia.com/terms/r/rsi.asp
+                fields += [
+                    "Sum(Greater(Ref($close, 1)-$close, 0), %d)/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d)
+                    for d in windows
+                ]
+                names += ["SUMN%d" % d for d in windows]
+            if use("SUMD"):
+                # The diff ratio between total gain and total lose
+                # Similar to RSI indicator. https://www.investopedia.com/terms/r/rsi.asp
+                fields += [
+                    "(Sum(Greater($close-Ref($close, 1), 0), %d)-Sum(Greater(Ref($close, 1)-$close, 0), %d))"
+                    "/(Sum(Abs($close-Ref($close, 1)), %d)+1e-12)" % (d, d, d)
+                    for d in windows
+                ]
+                names += ["SUMD%d" % d for d in windows]
+            if use("VMA"):
+                # Simple Volume Moving average: https://www.barchart.com/education/technical-indicators/volume_moving_average
+                fields += ["Mean($volume, %d)/($volume+1e-12)" % d for d in windows]
+                names += ["VMA%d" % d for d in windows]
+            if use("VSTD"):
+                # The standard deviation for volume in past d days.
+                fields += ["Std($volume, %d)/($volume+1e-12)" % d for d in windows]
+                names += ["VSTD%d" % d for d in windows]
+            if use("WVMA"):
+                # The volume weighted price change volatility
+                fields += [
+                    "Std(Abs($close/Ref($close, 1)-1)*$volume, %d)/(Mean(Abs($close/Ref($close, 1)-1)*$volume, %d)+1e-12)"
+                    % (d, d)
+                    for d in windows
+                ]
+                names += ["WVMA%d" % d for d in windows]
+            if use("VSUMP"):
+                # The total volume increase / the absolute total volume changed
+                fields += [
+                    "Sum(Greater($volume-Ref($volume, 1), 0), %d)/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)"
+                    % (d, d)
+                    for d in windows
+                ]
+                names += ["VSUMP%d" % d for d in windows]
+            if use("VSUMN"):
+                # The total volume increase / the absolute total volume changed
+                # Can be derived from VSUMP by VSUMN = 1 - VSUMP
+                fields += [
+                    "Sum(Greater(Ref($volume, 1)-$volume, 0), %d)/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)"
+                    % (d, d)
+                    for d in windows
+                ]
+                names += ["VSUMN%d" % d for d in windows]
+            if use("VSUMD"):
+                # The diff ratio between total volume increase and total volume decrease
+                # RSI indicator for volume
+                fields += [
+                    "(Sum(Greater($volume-Ref($volume, 1), 0), %d)-Sum(Greater(Ref($volume, 1)-$volume, 0), %d))"
+                    "/(Sum(Abs($volume-Ref($volume, 1)), %d)+1e-12)" % (d, d, d)
+                    for d in windows
+                ]
+                names += ["VSUMD%d" % d for d in windows]
+
+        return fields, names
diff --git a/qlib/data/dataset/loader.py b/qlib/data/dataset/loader.py
index e9d6f98866..f2921124b7 100644
--- a/qlib/data/dataset/loader.py
+++ b/qlib/data/dataset/loader.py
@@ -7,7 +7,7 @@
 import warnings
 import pandas as pd
 
-from typing import Tuple, Union, List
+from typing import Tuple, Union, List, Dict
 
 from qlib.data import D
 from qlib.utils import load_dataset, init_instance_by_config, time_to_slc_point
@@ -247,10 +247,14 @@ def __getstate__(self) -> dict:
 
     def load(self, instruments=None, start_time=None, end_time=None) -> pd.DataFrame:
         self._maybe_load_raw_data()
+
+        # 1) Filter by instruments
         if instruments is None:
             df = self._data
         else:
             df = self._data.loc(axis=0)[:, instruments]
+
+        # 2) Filter by Datetime
         if start_time is None and end_time is None:
             return df  # NOTE: avoid copy by loc
         # pd.Timestamp(None) == NaT, use NaT as index can not fetch correct thing, so do not change None.
@@ -275,6 +279,55 @@ def _maybe_load_raw_data(self):
             self._data = self._config
 
 
+class NestedDataLoader(DataLoader):
+    """
+    We have multiple DataLoader, we can use this class to combine them.
+    """
+
+    def __init__(self, dataloader_l: List[Dict], join="left") -> None:
+        """
+
+        Parameters
+        ----------
+        dataloader_l : list[dict]
+            A list of dataloader, for exmaple
+
+            .. code-block:: python
+
+                nd = NestedDataLoader(
+                    dataloader_l=[
+                        {
+                            "class": "qlib.contrib.data.loader.Alpha158DL",
+                        }, {
+                            "class": "qlib.contrib.data.loader.Alpha360DL",
+                            "kwargs": {
+                                "config": {
+                                    "label": ( ["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"])
+                                }
+                            }
+                        }
+                    ]
+                )
+        join :
+            it will pass to pd.concat when merging it.
+        """
+        super().__init__()
+        self.data_loader_l = [
+            (dl if isinstance(dl, DataLoader) else init_instance_by_config(dl)) for dl in dataloader_l
+        ]
+        self.join = join
+
+    def load(self, instruments=None, start_time=None, end_time=None) -> pd.DataFrame:
+        df_full = None
+        for dl in self.data_loader_l:
+            df_current = dl.load(instruments, start_time, end_time)
+            if df_full is None:
+                df_full = df_current
+            else:
+                df_full = pd.merge(df_full, df_current, left_index=True, right_index=True, how=self.join)
+        return df_full.sort_index(axis=1)
+
+
 class DataLoaderDH(DataLoader):
     """DataLoaderDH
     DataLoader based on (D)ata (H)andler
diff --git a/tests/data_mid_layer_tests/test_dataloader.py b/tests/data_mid_layer_tests/test_dataloader.py
new file mode 100644
index 0000000000..e3cb741bb7
--- /dev/null
+++ b/tests/data_mid_layer_tests/test_dataloader.py
@@ -0,0 +1,50 @@
+# TODO:
+# dump alpha 360 to dataframe and merge it with Alpha158
+
+import sys
+import unittest
+import qlib
+from pathlib import Path
+
+sys.path.append(str(Path(__file__).resolve().parent))
+from qlib.data.dataset.loader import NestedDataLoader
+from qlib.contrib.data.loader import Alpha158DL, Alpha360DL
+
+
+class TestDataLoader(unittest.TestCase):
+
+    def test_nested_data_loader(self):
+        qlib.init()
+        nd = NestedDataLoader(
+            dataloader_l=[
+                {
+                    "class": "qlib.contrib.data.loader.Alpha158DL",
+                },
+                {
+                    "class": "qlib.contrib.data.loader.Alpha360DL",
+                    "kwargs": {"config": {"label": (["Ref($close, -2)/Ref($close, -1) - 1"], ["LABEL0"])}},
+                },
+            ]
+        )
+        # Of course you can use StaticDataLoader
+
+        dataset = nd.load()
+
+        assert dataset is not None
+
+        columns = dataset.columns.tolist()
+        columns_list = [tup[1] for tup in columns]
+
+        for col in Alpha158DL.get_feature_config()[1]:
+            assert col in columns_list
+
+        for col in Alpha360DL.get_feature_config()[1]:
+            assert col in columns_list
+
+        assert "LABEL0" in columns_list
+
+        # Then you can use it wth DataHandler;
+
+
+if __name__ == "__main__":
+    unittest.main()