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因子逻辑
以5日开盘价之和乘以5日累计收益，取其相对10日前的变化，截面排名后取反。值越大，表示该价格与收益的乘积较10日前下降越多，属于动量减弱方向。
因子公式
(-1 * RANK(((SUM(OPEN, 5) * SUM(RET, 5)) -DELAY((SUM(OPEN,5) * SUM(RET, 5)), 10))))BigQuant SQL
SELECT date, instrument, -1*pct_rank_by(date, m_sum(open, 5)*m_sum(close/m_lag(close, 1)-1, 5)-m_lag(m_sum(open, 5)*m_sum(close/m_lag(close, 1)-1, 5), 10)) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10136_strategy.py --name 'Alpha191 #37 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_037"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-22"' \ && python bqf_10136_strategy.pySELECT date, instrument, alpha_037 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_10136"], "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()