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因子逻辑
当最高价高于其20日均值时取最高价2日变化的相反数，否则为0。值越大，表示股价处于近期高位时最高价在短期内回落，刻画高位反转。
因子公式
(((SUM(HIGH, 20) / 20) < HIGH) ? (-1 * DELTA(HIGH, 2)) : 0)BigQuant SQL
SELECT date, instrument, if(m_avg(high, 20) IS NULL, NULL, if(m_avg(high, 20)<high, -1*(high-m_lag(high, 2)), 0)) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10137_strategy.py --name 'Alpha191 #38 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_038"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-22"' \ && python bqf_10137_strategy.pySELECT date, instrument, alpha_038 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_10137"], "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()