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因子逻辑
以典型价相对其12日均值的偏离，除以0.015倍的平均绝对偏差，即顺势指标 CCI。值越大，表示价格越高于近期常态水平，正值大于100通常视为强势区间。
因子公式
((HIGH+LOW+CLOSE)/3-MA((HIGH+LOW+CLOSE)/3,12))/(0.015*MEAN(ABS(CLOSE-MEAN((HIGH+LOW+CLOSE)/3,12)),12))BigQuant SQL
SELECT date, instrument, -1 * (((high+low+close)/3 - m_avg((high+low+close)/3, 12)) / (0.015 * m_avg(ABS(close - m_avg((high+low+close)/3, 12)), 12))) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10221_strategy.py --name 'Alpha191 #78 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_078"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10221_strategy.pySELECT date, instrument, alpha_078 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_10221"], "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()