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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
以收盘价在当日高低区间中的相对位置（(C-L)-(H-C) 除以振幅）衡量多空力量，取其日变化后再取反。值越大，表示今天收盘位置相比昨天更靠近日内低点，多头力量走弱。
因子公式
(-1 * DELTA((((CLOSE -LOW) -(HIGH -CLOSE)) / (HIGH -LOW)), 1))BigQuant SQL
SELECT date, instrument, ((close-low)-(high-close))/(high-low) AS _pre, -1*(_pre-m_lag(_pre, 1)) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY instrument, datebq examples new strategies/multi_factor.py bqf_10102_strategy.py --name 'Alpha191 #2 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_002"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-21"' \ && python bqf_10102_strategy.pySELECT date, instrument, alpha_002 FROM cn_stock_factors_alpha_191带入当前因子，在 Cowork 中继续研究。
from bigquant import factor
values = factor.values(["BQF_10102"], "2021-01-01", "2026-09-21")report = factor.analyze( values, start_date="2021-01-01", end_date="2026-09-21", universe=("all", "hs300"), neutralize=(None, "size+industry"), depth="deep",)report.render()