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 |