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因子逻辑
用HD、LD与真实波幅TR计算14日正负方向指标DI，再取二者差的绝对值占和的比例乘100并做6日均值，即平均趋向指标ADX；值越大表示趋势越强，不区分方向。
因子公式
MEAN(ABS(SUM((LD>0 & LD>HD)?LD:0,14)*100/SUM(TR,14)-SUM((HD>0 &HD>LD)?HD:0,14)*100/SUM(TR,14))/(SUM((LD>0 & LD>HD)?LD:0,14)*100/SUM(TR,14)+SUM((HD>0 &HD>LD)?HD:0,14)*100/SUM(TR,14))*100,6)BigQuant SQL
SELECT date, instrument, m_lag(low, 1)-low AS _LD, high-m_lag(high, 1) AS _HD, greatest(greatest(high-low, ABS(high-m_lag(close, 1))), ABS(low-m_lag(close, 1))) AS _TR, m_sum(if(_LD IS NULL, NULL, if(_LD>0 AND _LD>_HD, _LD, 0)), 14) AS _front1, m_sum(if(_HD IS NULL, NULL, if(_HD>0 AND _HD>_LD, _HD, 0)), 14) AS _front2, m_sum(_TR, 14) AS _front3, -1 * ( m_avg(ABS(_front1*100/_front3-_front2*100/_front3)*100/(_front1*100/_front3+_front2*100/_front3), 6) ) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10409_strategy.py --name 'Alpha191 #172 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_172"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10409_strategy.pySELECT date, instrument, alpha_172 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_10409"], "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()