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因子逻辑
类似威廉指标 %R，以6日高低区间衡量收盘价距高点的位置，经 SMA(15,1) 平滑，是47号因子的长平滑版本。值越大，表示收盘价越接近近期区间低点。
因子公式
SMA((TSMAX(HIGH,6)-CLOSE)/(TSMAX(HIGH,6)-TSMIN(LOW,6))*100,15,1)BigQuant SQL
SELECT date, instrument, (m_max(high, 6)-close)/(m_max(high, 6)-m_min(low, 6))*100 AS _front, (m_avg(_front, 15)*1 + m_lag(m_avg(_front, 15), 1)*(15-1)) / 15 AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10208_strategy.py --name 'Alpha191 #72 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_072"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10208_strategy.pySELECT date, instrument, alpha_072 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_10208"], "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()