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AI 原生量化投研平台AI-native quantitative research platform
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因子逻辑
20日内开盘价高于前日开盘的日子里，取最高减开盘与开盘涨幅中的较大者求和，即动态买卖气指标ADTM中的多方分量DTM；值越大表示向上推动的力量越强。
因子公式
SUM((OPEN<=DELAY(OPEN,1)?0:MAX((HIGH-OPEN),(OPEN-DELAY(OPEN,1)))),20)BigQuant SQL
SELECT date, instrument, if(m_lag(open, 1) IS NULL, NULL, if(open<=m_lag(open, 1), 0, greatest(high-open, open-m_lag(open, 1)))) AS _front, -1 * m_sum(_front, 20) AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10439_strategy.py --name 'Alpha191 #187 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_187"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10439_strategy.pySELECT date, instrument, alpha_187 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_10439"], "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()