模型

ARR (%)

AVOL (%)

MDD (%)

ASR

CR

SOR

Market

−1.77

17.58

29.14

−0.1004

−0.0606

−0.3466

EG

−10.60

21.66

44.28

−0.4891

−0.2393

−1.6803

PAMR

5.21

47.16

63.39

0.1104

0.0821

0.4691

EIIE

20.74

23.08

16.15

0.8988

1.2841

3.8417

AlphaStock

19.87

15.02

16.77

1.3229

1.1851

4.8720

EWT-PG

18.83

19.54

15.08

0.9635

1.2488

5.5737