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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
比较近10日与前10日的平均价格斜率之差：近期斜率比前期高出0.25以上取-1，近期斜率低于前期取1，介于两者之间取当日价格变化的相反数。刻画价格趋势的加速或减速，值越大越偏向趋势放缓或当日下跌。
因子公式
((0.25 < (((DELAY(CLOSE, 20) -DELAY(CLOSE, 10)) / 10) -((DELAY(CLOSE, 10) -CLOSE) / 10))) ? (-1 * 1):(((((DELAY(CLOSE, 20) -DELAY(CLOSE, 10)) / 10) -((DELAY(CLOSE, 10) -CLOSE) / 10)) < 0) ? 1 : ((-1 * 1) *(CLOSE -DELAY(CLOSE, 1)))))BigQuant SQL
SELECT date, instrument, IF(m_lag(close, 20) IS NULL, NULL, IF(0.25 < (close + m_lag(close, 20)) / (2 * m_lag(close, 10)), -1, IF((close + m_lag(close, 20)) / (2 * m_lag(close, 10)) < 0, 1, -1 * (close - m_lag(close, 1))))) AS _factor_temp, -1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10238_strategy.py --name 'Alpha191 #86 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_086"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10238_strategy.pySELECT date, instrument, alpha_086 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_10238"], "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()