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AMLP、XLE:PCA 殘差 sleeve,報酬 +116%
只做多的殘差均值回歸,標的為 AMLP、XLE(中游 MLP 對上廣泛能源)。實盤規則 e=−0.5 / x=+0.5:Sharpe 0.71、+116%、最大回撤 -23.3%。Walk-forward 樣本外 Sharpe 0.60。
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只做多的殘差均值回歸,標的為 AMLP、XLE(中游 MLP 對上廣泛能源)。實盤規則 e=−0.5 / x=+0.5:Sharpe 0.71、+116%、最大回撤 -23.3%。Walk-forward 樣本外 Sharpe 0.60。
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This post is for registered accounts.