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因子逻辑
最高价与最低价的几何平均减去当日成交均价 vwap。值越大，表示 vwap 低于区间几何中点，当日成交更集中于价格区间的偏低部分。
因子公式
(((HIGH * LOW)^0.5) -VWAP)BigQuant SQL
SELECT date, instrument, (high*low)^(1/2)-amount/volume AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10113_strategy.py --name 'Alpha191 #13 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_013"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-21"' \ && python bqf_10113_strategy.pySELECT date, instrument, alpha_013 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_10113"], "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()