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因子逻辑
26日内上涨日成交量之和除以下跌及平盘日成交量之和，乘以100，即成交量比率 VR 指标。值越大，表示上涨日的成交量相对占优，买方更活跃。
因子公式
SUM((CLOSE>DELAY(CLOSE,1)?VOLUME:0),26)/SUM((CLOSE<=DELAY(CLOSE,1)?VOLUME:0),26)*100BigQuant SQL
SELECT date, instrument, -1 * ( m_sum(if(m_lag(close, 1) IS NULL, NULL, if(close>m_lag(close, 1), volume, 0)), 26)/m_sum(if(m_lag(close, 1) IS NULL, NULL, if(close<=m_lag(close, 1), volume, 0)), 26)*100) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10139_strategy.py --name 'Alpha191 #40 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_040"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-22"' \ && python bqf_10139_strategy.pySELECT date, instrument, alpha_040 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_10139"], "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()