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因子逻辑
对成交量做 SMA(21,2) 指数式平滑，得到约一个月的平滑成交量水平。值越大，表示近期成交越活跃，受股本规模影响较大。
因子公式
SMA(VOLUME,21,2)BigQuant SQL
SELECT date, instrument, -1 * ((m_avg(volume, 21)*2 + m_lag(m_avg(volume, 21), 1)*(21-2)) / 21) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10227_strategy.py --name 'Alpha191 #81 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_081"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10227_strategy.pySELECT date, instrument, alpha_081 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_10227"], "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()