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因子逻辑
以8日均线加减8日标准差构造类似布林带的上下轨：2日均价突破上轨取-1，跌破下轨取1，处于带内时看当日成交量是否不低于20日均量，是取1、否取-1。取值只有±1，是价格位置与放量状态的离散信号。
因子公式
((((SUM(CLOSE, 8) / 8) + STD(CLOSE, 8)) < (SUM(CLOSE, 2) / 2)) ? (-1 * 1) : (((SUM(CLOSE, 2) / 2) <((SUM(CLOSE, 8) / 8) -STD(CLOSE, 8))) ? 1 : (((1 < (VOLUME / MEAN(VOLUME,20))) || ((VOLUME /MEAN(VOLUME,20)) == 1)) ? 1 : (-1 * 1))))BigQuant SQL
SELECT date, instrument, if(m_avg(volume, 20) IS NULL, NULL, if((m_avg(close, 8)+m_stddev(close, 8))<m_avg(close, 2), -1, if(m_avg(close, 2)<(m_avg(close, 8)-m_stddev(close, 8)), 1, if(1<=(volume/m_avg(volume, 20)), 1, -1)))) AS _factor_temp, 1 * CAST(_factor_temp AS DOUBLE) AS factor,FROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10104_strategy.py --name 'Alpha191 #4 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_004"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-21"' \ && python bqf_10104_strategy.pySELECT date, instrument, alpha_004 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_10104"], "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()