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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
日收益3日变化的截面排名取负，乘以开盘价与成交量的10日相关；同时刻画收益的短期反转与开盘量价关系，符号由两部分共同决定。
因子公式
((-1 * RANK(DELTA(RET, 3))) * CORR(OPEN, VOLUME, 10))BigQuant SQL
SELECT date, instrument, close/m_lag(close, 1)-1 AS _RET, -1*pct_rank_by(date, _RET-m_lag(_RET, 3))*m_corr(open, volume, 10) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10337_strategy.py --name 'Alpha191 #136 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_136"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10337_strategy.pySELECT date, instrument, alpha_136 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_10337"], "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()