模型 | ARR (%) | AVOL (%) | MDD (%) | ASR | CR | SOR |
Market | 9.92 | 25.06 | 34.97 | 0.3958 | 0.2836 | 1.0772 |
EG | 7.22 | 25.26 | 36.54 | 0.2859 | 0.1976 | 0.7610 |
PAMR | 3.45 | 31.18 | 40.98 | 0.1106 | 0.0842 | 0.3087 |
EIIE | 11.27 | 25.11 | 34.03 | 0.4490 | 0.3313 | 1.2096 |
AlphaStock | 20.32 | 16.64 | 15.96 | 1.2212 | 1.2734 | 4.4770 |
EWT-PG | 26.31 | 17.43 | 16.42 | 1.5096 | 1.6017 | 5.9568 |