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因子逻辑
比较2日均价与8日均价加减1倍标准差的通道：高于上轨取-1，低于下轨取1，处于通道内时量比不低于1取1否则取-1；只取±1，结合价格突破与量能状态。
因子公式
((((sum(close, 8) / 8) + stddev(close, 8)) < (sum(close, 2) / 2)) ? (-1 * 1) : (((sum(close, 2) / 2) < ((sum(close, 8) / 8) - stddev(close, 8))) ? 1 : (((1 < (volume / adv20)) || ((volume / adv20) == 1)) ? 1 : (-1 * 1))))BigQuant SQL
SELECT date, instrument, IF(m_avg(amount, 20) IS NULL, NULL, IF(m_sum(close, 8) / 8 + m_stddev(close, 8) < m_sum(close, 2) / 2, -1, IF(m_sum(close, 2) / 2 < m_sum(close, 8) / 8 - m_stddev(close, 8), 1, IF(volume / m_avg(amount, 20) >= 1, 1, -1)))) AS _factor_temp, 1 * CAST(_factor_temp AS DOUBLE) AS factor,FROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10021_strategy.py --name 'Alpha#21 选股' \ --set 'TABLES=["cn_stock_factors_alpha_101"]' --set 'FACTORS=["alpha_021"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-06-23"' \ && python bqf_10021_strategy.pySELECT date, instrument, alpha_021 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_10021"], "2021-01-01", "2026-06-23")report = factor.analyze( values, start_date="2021-01-01", end_date="2026-06-23", universe=("all", "hs300"), neutralize=(None, "size+industry"), depth="deep",)report.render()