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因子逻辑
开盘价相对10日平均 vwap 偏离的截面排名，乘以收盘价与 vwap 绝对偏离截面排名的相反数，结果恒不大于0。值越大（越接近0），表示开盘价相对近期均价偏低，或收盘价与当日均价越接近。
因子公式
(RANK((OPEN -(SUM(VWAP, 10) / 10)))) * (-1 * (RANK(ABS((CLOSE -VWAP)))))BigQuant SQL
SELECT date, instrument, pct_rank_by(date, (open-m_avg(amount/volume, 10)))*(-1*pct_rank_by(date, ABS(close-amount/volume))) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10112_strategy.py --name 'Alpha191 #12 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_012"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-21"' \ && python bqf_10112_strategy.pySELECT date, instrument, alpha_012 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_10112"], "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()