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