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因子逻辑
判断vwap相对16日低位的抬升幅度是否小于vwap与180日均量的18日相关系数，为布尔值，成立时为1；刻画价格位置与长期量价相关的比较。
因子公式
(((VWAP -MIN(VWAP, 16))) < (CORR(VWAP, MEAN(VOLUME,180), 18)))BigQuant SQL
SELECT date, instrument, amount/volume - least(amount/volume, 16) AS _front1, m_corr(amount/volume, m_avg(volume, 180), 18) AS _front2, -1 * ( if(_front2 IS NULL, NULL, if(_front1<_front2, 1, 0)) ) AS _factor_temp, 1 * CAST(_factor_temp AS DOUBLE) AS factor,FROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10373_strategy.py --name 'Alpha191 #154 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_154"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10373_strategy.pySELECT date, instrument, alpha_154 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_10373"], "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()