加载中...
AI 原生量化投研平台AI-native quantitative research platform
正在加载…Loading…
页面仍在加载，可以继续等待，或重新加载。The page is still loading. You can keep waiting or reload.
部分页面资源未能加载，请重新加载。Some page resources could not load. Please reload.
设备当前处于离线状态，恢复连接后可以继续等待或重新加载。Your device is offline. Once connected, you can keep waiting or reload.
因子逻辑
收盘价距5日最高收盘价的截面排名，乘以40日均量与最低价5日相关系数的截面排名，整体取反。值越大，表示收盘价较近期高点回撤越大，或低价与长期成交量的相关越弱。
因子公式
((RANK((CLOSE -MAX(CLOSE, 5)))*RANK(CORR((MEAN(VOLUME,40)), LOW, 5))) * -1)BigQuant SQL
SELECT date, instrument, pct_rank_by(date, (close - greatest(close, 5))) * pct_rank_by(date, m_corr(m_avg(volume, 40), low, 5)) * -1 AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10248_strategy.py --name 'Alpha191 #91 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_091"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10248_strategy.pySELECT date, instrument, alpha_091 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_10248"], "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()