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因子逻辑
对5日价格差值做 SMA(5,1) 平滑，得到平滑后的短期动量，以价格绝对量表示。值越大，表示近期5日价格上涨的绝对幅度越持续。
因子公式
SMA(CLOSE-DELAY(CLOSE,5),5,1)BigQuant SQL
SELECT date, instrument, (close-m_lag(close, 5)) AS _front, -1 * (m_avg(_front, 5)*1 + m_lag(m_avg(_front, 5), 1)*(5-1)) / 5 AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10123_strategy.py --name 'Alpha191 #24 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_024"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-22"' \ && python bqf_10123_strategy.pySELECT date, instrument, alpha_024 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_10123"], "2021-01-01", "2026-09-22")report = factor.analyze( values, start_date="2021-01-01", end_date="2026-09-22", universe=("all", "hs300"), neutralize=(None, "size+industry"), depth="deep",)report.render()