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因子逻辑
2日前日内振幅相对5日均价比例的排名乘成交量排名，再乘以收盘低于vwap的幅度并除以当日振幅比例；值越大表示收盘低于均价越多、当日振幅相对收缩且成交量较大。
因子公式
((rank(delay(((high - low) / (sum(close, 5) / 5)), 2)) * rank(rank(volume))) / (((high - low) / (sum(close, 5) / 5)) / (vwap - close)))BigQuant SQL
SELECT date, instrument, (pct_rank_by(date, m_lag((high-low)/m_avg(close, 5), 2)) * pct_rank_by(date, pct_rank_by(date, volume))) / (((high - low)/m_avg(close, 5))/(amount/volume - close)) AS _factor_temp, 1 * _factor_temp AS factor,FROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10083_strategy.py --name 'Alpha#83 选股' \ --set 'TABLES=["cn_stock_factors_alpha_101"]' --set 'FACTORS=["alpha_083"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-17"' \ && python bqf_10083_strategy.pySELECT date, instrument, alpha_083 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_10083"], "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()