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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
vwap日变化的截面排名，以收盘价与50日均量18日相关的18日时序排名为指数；取值受vwap涨幅排名正向影响、受量价相关时序位置反向影响。
因子公式
(RANK(DELAT(VWAP, 1))^TSRANK(CORR(CLOSE,MEAN(VOLUME,50), 18), 18))BigQuant SQL
SELECT date, instrument, -1 * ( pct_rank_by(date, amount/volume-m_lag(amount/volume, 1))^m_rank(m_corr(close, m_avg(volume, 50), 18), 18) ) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10327_strategy.py --name 'Alpha191 #131 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_131"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10327_strategy.pySELECT date, instrument, alpha_131 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_10327"], "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()