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AI 原生量化投研平台AI-native quantitative research platform
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因子逻辑
上影线长度占当日最高最低价区间的比例，取值 0 到 1；值越大表示冲高回落在全天振幅中的占比越高。
因子公式
KUP2 = (high - Max(open, close)) / (high - low)BigQuant SQL
SELECT date, instrument, (high - GREATEST(open, close)) / NULLIF((high - low), 0) AS alpha_005FROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10152_strategy.py --name 'Alpha158 #5 选股' \ --set 'TABLES=["cn_stock_factors_alpha_158"]' --set 'FACTORS=["alpha_005"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-17"' \ && python bqf_10152_strategy.pySELECT date, instrument, alpha_005 FROM cn_stock_factors_alpha_158带入当前因子，在 Cowork 中继续研究。
from bigquant import factor
values = factor.values(["BQF_10152"], "2021-01-01", "2026-09-17")report = factor.analyze( values, start_date="2021-01-01", end_date="2026-09-17", universe=("all", "hs300"), neutralize=(None, "size+industry"), depth="deep",)report.render()