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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
20 日前收盘价与当前收盘价之比，是 20 日涨跌幅的倒数形式；大于 1 表示过去 20 日下跌，值越大跌幅越大。
因子公式
ROC20 = Ref(close, 20) / closeBigQuant SQL
SELECT date, instrument, m_lag(close,20)/close AS alpha_016FROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10165_strategy.py --name 'Alpha158 #16 选股' \ --set 'TABLES=["cn_stock_factors_alpha_158"]' --set 'FACTORS=["alpha_016"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10165_strategy.pySELECT date, instrument, alpha_016 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_10165"], "2021-01-01", "2026-09-18")report = factor.analyze( values, start_date="2021-01-01", end_date="2026-09-18", universe=("all", "hs300"), neutralize=(None, "size+industry"), depth="deep",)report.render()