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
下跌日取20日收益标准差、非下跌日取收盘价，平方后取近5日最大值再做截面排名。该式把波动与价格水平混在一起，含义不够直观，可理解为对近期波动或价格高位的截面比较。
因子公式
(RANK(MAX(((RET < 0) ? STD(RET, 20) : CLOSE)^2),5))BigQuant SQL
SELECT date, instrument, close/m_lag(close, 1)-1 AS _RET, -1 * pct_rank_by(date, if(_RET IS NULL, NULL, greatest(if(_RET<0, m_stddev(_RET, 20), close^2), 5))) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10110_strategy.py --name 'Alpha191 #10 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_010"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-21"' \ && python bqf_10110_strategy.pySELECT date, instrument, alpha_010 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_10110"], "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()