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