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因子逻辑
vwap 的3日变化取近5日最大值，截面排名后取反。值越大，表示近期成交均价的短期最大涨幅越小，刻画短期反转。
因子公式
(RANK(MAX(DELTA((VWAP), 3), 5))* -1)BigQuant SQL
SELECT date, instrument, pct_rank_by(date, greatest(amount/volume-m_lag(amount/volume, 3), 5)) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10140_strategy.py --name 'Alpha191 #41 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_041"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-22"' \ && python bqf_10140_strategy.pySELECT date, instrument, alpha_041 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_10140"], "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()