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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日均量与最低价的5日相关系数，加上日内中间价减收盘价；值越大表示收盘价相对日内中间价越低，且低价与均量的相关越高。
因子公式
((CORR(MEAN(VOLUME,20), LOW, 5) + ((HIGH + LOW) / 2)) -CLOSE)BigQuant SQL
SELECT date, instrument, m_corr(m_avg(volume, 20), low, 5)+(high+low)/2-close AS _factor_temp, 1 * _factor_temp AS factorFROM cn_stock_bar1dORDER BY date, instrumentbq examples new strategies/multi_factor.py bqf_10447_strategy.py --name 'Alpha191 #191 选股' \ --set 'TABLES=["cn_stock_factors_alpha_191"]' --set 'FACTORS=["alpha_191"]' --set 'HOLD=30' \ --set 'EVERY=20' --set 'BENCHMARK="000300.SH"' --set 'START="2021-01-01"' \ --set 'END="2026-09-18"' \ && python bqf_10447_strategy.pySELECT date, instrument, alpha_191 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_10447"], "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()