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因子逻辑
对数收盘价经三次13日SMA平滑后的日变化率，类似TRIX三重指数平滑指标；值越大表示平滑后的价格趋势上行越快。
因子公式
(SMA(SMA(SMA(LOG(CLOSE),13,2),13,2),13,2)-DELAY(SMA(SMA(SMA(LOG(CLOSE),13,2),13,2),13,2),1))/DELAY(SMA(SMA(SMA(LOG(CLOSE),13,2),13,2),13,2),1)BigQuant SQL
SELECT date, instrument, (m_avg(LOG(close), 13)*2 + m_lag(m_avg(LOG(close), 13), 1)*(13-2)) / 13 AS _front, (m_avg(_front, 13)*2 + m_lag(m_avg(_front, 13), 1)*(13-2)) / 13 AS _front2, (m_avg(_front, 13)*2 + m_lag(m_avg(_front, 13), 1)*(13-2)) / 13 AS _front3, -1 * ( _front3-1 ) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10311_strategy.py --name 'Alpha191 #122 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_122"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10311_strategy.pySELECT date, instrument, alpha_122 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_10311"], "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()