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AI 原生量化投研平台AI-native quantitative research platform
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因子逻辑
5日前收盘价20日均值的排名、收盘价与成交量的2日相关、5日与20日收盘价和的2日相关排名三者相乘后取反，值越大表示中期价位、短期量价同步与均线同步的组合越低。
因子公式
(-1 * ((rank((sum(delay(close, 5), 20) / 20)) * correlation(close, volume, 2)) * rank(correlation(sum(close, 5), sum(close, 20), 2))))BigQuant SQL
SELECT date, instrument, pct_rank_by(date, m_avg(m_lag(close, 5), 20)) * m_corr(close, volume, 2) * pct_rank_by(date, m_corr(m_sum(close, 5), m_sum(close, 20), 2)) AS _factor_temp, -1 * _factor_temp AS factor,FROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10045_strategy.py --name 'Alpha#45 选股' \ --set 'TABLES=["cn_stock_factors_alpha_101"]' --set 'FACTORS=["alpha_045"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-22"' \ && python bqf_10045_strategy.pySELECT date, instrument, alpha_045 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_10045"], "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()