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
vwap相对12日低位的抬升幅度排名，以vwap与60日均量时序排名18日相关的3日时序排名为指数，整体取负；值越大大致表示vwap抬升与量价同步性越弱。
因子公式
((RANK((VWAP -MIN(VWAP, 12)))^TSRANK(CORR(TSRANK(VWAP, 20), TSRANK(MEAN(VOLUME,60), 2), 18), 3)) * -1)BigQuant SQL
SELECT date, instrument, pct_rank_by(date, amount/volume-least(amount/volume, 12))^m_rank(m_corr(m_rank(amount/volume, 20), m_rank(m_avg(volume, 60), 2), 18), 3)*-1 AS _factor_temp, -1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10309_strategy.py --name 'Alpha191 #121 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_121"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10309_strategy.pySELECT date, instrument, alpha_121 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_10309"], "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()