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因子逻辑
个股日收益去均值后减去基准指数偏离的平方，求20日和，再除以指数偏离三次方之和，记法类似协偏度；刻画个股收益与基准指数波动的高阶联动，原公式存在歧义。
因子公式
SUM(((CLOSE/DELAY(CLOSE,1)-1)-MEAN((CLOSE/DELAY(CLOSE,1)-1),20))-(BANCHMARKINDEXCLOSE-MEAN(BANCHMARKINDEXCLOSE,20))^2,20)/SUM((BANCHMARKINDEXCLOSE-MEAN(BANCHMARKINDEXCLOSE,20))^3)BigQuant SQL
WITHdata1 AS ( SELECT date, instrument, open, close FROM cn_stock_bar1d),data2 AS (bq examples new strategies/multi_factor.py bqf_10427_strategy.py --name 'Alpha191 #181 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_181"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10427_strategy.pySELECT date, instrument, alpha_181 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_10427"], "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()