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LIT、REMX:PCA 殘差 sleeve,報酬 +139%
只做多的殘差均值回歸,標的為 LIT、REMX(鋰對上稀土)。實盤規則 e=−0.5 / x=+0.5:Sharpe 0.65、+139%、最大回撤 -23.9%。Walk-forward 樣本外 Sharpe 0.67。
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只做多的殘差均值回歸,標的為 LIT、REMX(鋰對上稀土)。實盤規則 e=−0.5 / x=+0.5:Sharpe 0.65、+139%、最大回撤 -23.9%。Walk-forward 樣本外 Sharpe 0.67。
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This post is for registered accounts.