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因子逻辑
三项相乘：5日最低价相对5日前的5日最低价的下移幅度、剔除最近20日后的长期平均收益截面排名、成交量5日时序排名。值越大，表示近期创出更低低点、长期收益较好且当前成交量处于近期高位。
因子公式
((((-1 * TSMIN(LOW, 5)) + DELAY(TSMIN(LOW, 5), 5)) * RANK(((SUM(RET, 240) -SUM(RET, 20)) / 220))) *TSRANK(VOLUME, 5))BigQuant SQL
SELECT date, instrument, (-1*m_min(low, 5)+(m_lag(m_min(low, 5), 5)))*pct_rank_by(date, m_sum(close/m_lag(close, 1)-1, 240))*m_rank(volume, 5) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10132_strategy.py --name 'Alpha191 #33 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_033"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-22"' \ && python bqf_10132_strategy.pySELECT date, instrument, alpha_033 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_10132"], "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()