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因子逻辑
以日收益绝对值除以成交量（类似 Amihud 非流动性），计算其20日标准差与均值之比，即变异系数。值越大，表示单位成交量引起的价格冲击越不稳定。
因子公式
STD(ABS((CLOSE/DELAY(CLOSE,1)-1))/VOLUME,20)/MEAN(ABS((CLOSE/DELAY(CLOSE,1)-1))/VOLUME,20)BigQuant SQL
SELECT date, instrument, -1 * (m_stddev(ABS(close/m_lag(close, 1)-1)/volume, 20) / m_avg(ABS(close/m_lag(close, 1)-1)/volume, 20)) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10217_strategy.py --name 'Alpha191 #76 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_076"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10217_strategy.pySELECT date, instrument, alpha_076 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_10217"], "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()