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CPER、COPX:PCA 殘差 sleeve,Sharpe 0.92
只做多的殘差均值回歸,標的為 CPER、COPX(銅期貨對上銅礦股)。實盤規則 e=−0.5 / x=+0.5:Sharpe 0.92、+277%、最大回撤 -21.4%。Walk-forward 樣本外 Sharpe 0.38。
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只做多的殘差均值回歸,標的為 CPER、COPX(銅期貨對上銅礦股)。實盤規則 e=−0.5 / x=+0.5:Sharpe 0.92、+277%、最大回撤 -21.4%。Walk-forward 樣本外 Sharpe 0.38。
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This post is for registered accounts.