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
中价与40日平均成交额8日相关的衰减排名，除以vwap与成交量时序排名相关的衰减排名，值越大表示价格与成交额的相关性相对价格与成交量的相关性越强。
因子公式
(rank(decay_linear(correlation(((high + low) / 2), adv40, 8.93345), 10.1519)) / rank(decay_linear(correlation(Ts_Rank(vwap, 3.72469), Ts_Rank(volume, 18.5188), 6.86671), 2.95011)))BigQuant SQL
SELECT date, instrument, pct_rank_by(date, m_decay_linear(m_corr((high+low)/2, m_avg(amount, 40) , 8.93345), 10.1519)) / pct_rank_by(date, m_decay_linear(m_corr(m_rank(amount/volume, 3.72469), m_rank(volume, 18.5188), 6.86671), 2.95011)) AS _factor_temp, 1 * _factor_temp AS factor,FROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10072_strategy.py --name 'Alpha#72 选股' \ --set 'TABLES=["cn_stock_factors_alpha_101"]' --set 'FACTORS=["alpha_072"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-17"' \ && python bqf_10072_strategy.pySELECT date, instrument, alpha_072 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_10072"], "2021-01-01", "2026-09-17")report = factor.analyze( values, start_date="2021-01-01", end_date="2026-09-17", universe=("all", "hs300"), neutralize=(None, "size+industry"), depth="deep",)report.render()