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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
开盘价1日变化的衰减排名，与板块中性化成交量和开盘价17日相关的衰减时序排名取较小者后取负，值越大表示两项中较低者越低，即开盘变化或量价相关性偏弱。
因子公式
(min(rank(decay_linear(delta(open, 1.46063), 14.8717)), Ts_Rank(decay_linear(correlation(IndNeutralize(volume, IndClass.sector), ((open * 0.634196) + (open * (1 - 0.634196))), 17.4842), 6.92131), 13.4283)) * -1)BigQuant SQL
WITHindustry_data AS ( SELECT date, instrument, industry_level1_code FROM cn_stock_industry_component WHERE industry = 'sw2021'),factor_data AS (bq examples new strategies/multi_factor.py bqf_10082_strategy.py --name 'Alpha#82 选股' \ --set 'TABLES=["cn_stock_factors_alpha_101"]' --set 'FACTORS=["alpha_082"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-17"' \ && python bqf_10082_strategy.pySELECT date, instrument, alpha_082 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_10082"], "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()