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
取两项较小者：日内中价减vwap的20日衰减排名，与中价和40日平均成交额3日相关的衰减排名；值越大表示中价相对成交均价偏高且价格与成交额相关性同时较高。
因子公式
min(rank(decay_linear(((((high + low) / 2) + high) - (vwap + high)), 20.0451)), rank(decay_linear(correlation(((high + low) / 2), adv40, 3.1614), 5.64125)))BigQuant SQL
WITHfactor_data AS ( SELECT date, instrument, pct_rank_by(date, m_decay_linear((high+low)/2 - amount/volume, 20.0451)) AS factor_1, pct_rank_by(date, m_decay_linear(m_corr((high+low)/2, m_avg(amount, 40), 3.1614), 5.64125)) AS factor_2 FROM cn_stock_bar1d)SELECT date, instrument, IF(factor_2 IS NULL, NULL, IF(factor_1 < factor_2, factor_1, factor_2)) AS _factor_temp, -1 * _factor_temp AS factor,FROM factor_dataORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10077_strategy.py --name 'Alpha#77 选股' \ --set 'TABLES=["cn_stock_factors_alpha_101"]' --set 'FACTORS=["alpha_077"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-17"' \ && python bqf_10077_strategy.pySELECT date, instrument, alpha_077 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_10077"], "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()