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AI 原生量化投研平台AI-native quantitative research platform
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因子逻辑
6日收益率乘以当日成交量，是成交量加权的价格动量。值越大，表示近6日涨幅越大且当日成交越活跃，量纲受成交量规模影响。
因子公式
(CLOSE-DELAY(CLOSE,6))/DELAY(CLOSE,6)*VOLUMEBigQuant SQL
SELECT date, instrument, -1 * (close/m_lag(close, 6)-1)*volume AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10128_strategy.py --name 'Alpha191 #29 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_029"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-22"' \ && python bqf_10128_strategy.pySELECT date, instrument, alpha_029 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_10128"], "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()