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因子逻辑
三项相乘后取负：滞后5日收盘价20日均值的排名、收盘价与成交量2日相关、5日与20日累计收盘价2日相关的排名；值越大表示价格水平与短期量价同向性的组合越弱。
因子公式
(-1 * ((RANK((SUM(DELAY(CLOSE, 5), 20) / 20)) * CORR(CLOSE, VOLUME, 2)) *RANK(CORR(SUM(CLOSE, 5),SUM(CLOSE, 20), 2))))BigQuant SQL
SELECT date, instrument, -1*pct_rank_by(date, m_sum(m_lag(close, 5), 20)/20)*m_corr(close, volume, 2)*pct_rank_by(date, m_corr(m_sum(close, 5), m_sum(close, 20), 2)) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10293_strategy.py --name 'Alpha191 #113 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_113"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10293_strategy.pySELECT date, instrument, alpha_113 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_10293"], "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()