模型 | ARR (%) | AVOL (%) | MDD (%) | ASR | CR | SOR |
Market | 13.23 | 18.38 | 23.07 | 0.7196 | 0.5733 | 1.7519 |
EG | 14.45 | 21.13 | 23.40 | 0.6837 | 0.6172 | 1.9095 |
PAMR | 16.51 | 21.67 | 25.43 | 0.7619 | 0.6490 | 2.9354 |
EIIE | 14.57 | 18.64 | 22.00 | 0.7814 | 0.6621 | 2.0092 |
AlphaStock | 17.91 | 15.19 | 19.81 | 1.1795 | 0.9040 | 4.7446 |
EWT-PG | 22.00 | 18.10 | 14.30 | 1.2157 | 1.5384 | 6.3700 |