加载中...
AI 原生量化投研平台AI-native quantitative research platform
正在加载…Loading…
页面仍在加载，可以继续等待，或重新加载。The page is still loading. You can keep waiting or reload.
部分页面资源未能加载，请重新加载。Some page resources could not load. Please reload.
设备当前处于离线状态，恢复连接后可以继续等待或重新加载。Your device is offline. Once connected, you can keep waiting or reload.
因子逻辑
当日收益为负时取近20日收益波动率，否则取收盘价，平方后看过去5日内最大值出现的位置，再做截面排名并减0.5居中；取值反映该峰值出现时点在截面上的相对位置。
因子公式
(rank(Ts_ArgMax(SignedPower(((returns < 0) ? stddev(returns, 20) : close), 2.), 5)) - 0.5)BigQuant SQL
WITHwindows AS ( SELECT date, instrument, close/m_lag(close, 1)-1 AS returns, IF(m_stddev(returns, 20) IS NULL, NULL, IF(returns < 0, m_stddev(returns, 20)^2, close^2)) AS val, ROW_NUMBER() OVER (PARTITION BY instrument ORDER BY date DESC) AS rn, m_max(val, 5) AS max_val, FROM cn_stock_bar1dbq examples new strategies/multi_factor.py bqf_10001_strategy.py --name 'Alpha#1 选股' \ --set 'TABLES=["cn_stock_factors_alpha_101"]' --set 'FACTORS=["alpha_001"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-21"' \ && python bqf_10001_strategy.pySELECT date, instrument, alpha_001 FROM cn_stock_factors_alpha_101带入当前因子，在 Cowork 中继续研究。
from bigquant import factor
values = factor.values(["BQF_10001"], "2021-01-01", "2026-09-21")report = factor.analyze( values, start_date="2021-01-01", end_date="2026-09-21", universe=("all", "hs300"), neutralize=(None, "size+industry"), depth="deep",)report.render()