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
20日平均成交额与最低价的5日相关，加上当日最高最低价中点再减收盘价，最后做截面缩放；值越大表示收盘相对日内中枢越低，并叠加成交额与低价的相关性。
因子公式
scale(((correlation(adv20, low, 5) + ((high + low) / 2)) - close))BigQuant SQL
WITHwindows AS ( SELECT date, instrument, ((m_corr(m_avg(amount, 20), low, 5) + ((high + low) / 2)) - close) AS pre_scale FROM cn_stock_bar1d)SELECT date, instrument, ABS(pre_scale)/(SUM(ABS(pre_scale)) OVER (PARTITION BY date)) AS _factor_temp, 1 * _factor_temp AS factor,FROM windowsORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10028_strategy.py --name 'Alpha#28 选股' \ --set 'TABLES=["cn_stock_factors_alpha_101"]' --set 'FACTORS=["alpha_028"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-22"' \ && python bqf_10028_strategy.pySELECT date, instrument, alpha_028 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_10028"], "2021-01-01", "2026-09-22")report = factor.analyze( values, start_date="2021-01-01", end_date="2026-09-22", universe=("all", "hs300"), neutralize=(None, "size+industry"), depth="deep",)report.render()