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因子逻辑
收盘价20日差值的SMA平滑，即平滑后的20日动量（价格单位）；值越大表示近期上涨幅度越大，未按价格水平标准化。
因子公式
SMA(CLOSE-DELAY(CLOSE,20),20,1)BigQuant SQL
SELECT date, instrument, close-m_lag(close, 20) AS _front, -1 * ( (m_avg(_front, 20)*1 + m_lag(m_avg(_front, 20), 1)*(20-1)) / 20 ) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10367_strategy.py --name 'Alpha191 #151 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_151"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10367_strategy.pySELECT date, instrument, alpha_151 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_10367"], "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()