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因子逻辑
真实波幅的6日均值，即短周期ATR指标；值越大表示最近一周左右的价格波动幅度越大，以价格单位计。
因子公式
MEAN(MAX(MAX((HIGH-LOW),ABS(DELAY(CLOSE,1)-HIGH)),ABS(DELAY(CLOSE,1)-LOW)),6)BigQuant SQL
SELECT date, instrument, -1 * ( m_avg(greatest(greatest(high-low, ABS(m_lag(close, 1)-high)), ABS(m_lag(close, 1)-low)), 6) ) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10415_strategy.py --name 'Alpha191 #175 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_175"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10415_strategy.pySELECT date, instrument, alpha_175 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_10415"], "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()