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
5日前的5日最低价减当前5日最低价，乘以剔除最近20日后的长期收益排名，再乘成交量5日时序排名；值越大表示近期低点下移越多、长期动量越高且成交量处于近期高位。
因子公式
((((-1 * ts_min(low, 5)) + delay(ts_min(low, 5), 5)) * rank(((sum(returns, 240) - sum(returns, 20)) / 220))) * ts_rank(volume, 5))BigQuant SQL
SELECT date, instrument, (-1 * m_min(low, 5) + m_lag(m_min(low, 5), 5)) * pct_rank_by(date, ((m_sum(close/m_lag(close, 1)-1, 240)-m_sum(close/m_lag(close, 1)-1, 20))/220)) * m_rank(volume, 5) AS _factor_temp, 1 * _factor_temp AS factor,FROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10052_strategy.py --name 'Alpha#52 选股' \ --set 'TABLES=["cn_stock_factors_alpha_101"]' --set 'FACTORS=["alpha_052"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-22"' \ && python bqf_10052_strategy.pySELECT date, instrument, alpha_052 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_10052"], "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()