本文参考Hugo大神的研报复现，移植到bigquant平台

[https://bigquant.com/codesharev3/13c94d37-ab98-47f0-be38-b1e9c848ce45](https://bigquant.com/codesharev3/13c94d37-ab9

https://bigquant.com/codesharev3/369f88a1-86d1-45cf-89aa-1c35fae19d1f

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