
Free+
LIT、REMX、XME:PCA 殘差 sleeve,Sharpe 1.18
只做多的殘差均值回歸,標的為 LIT、REMX、XME(電池金屬對上綜合礦業)。實盤規則 e=−0.5 / x=+0.5:Sharpe 1.18、+482%、最大回撤 -18.5%。Walk-forward 樣本外 Sharpe 0.97。
Sign in to keep reading
This post is for registered accounts.

只做多的殘差均值回歸,標的為 LIT、REMX、XME(電池金屬對上綜合礦業)。實盤規則 e=−0.5 / x=+0.5:Sharpe 1.18、+482%、最大回撤 -18.5%。Walk-forward 樣本外 Sharpe 0.97。
Sign in to keep reading
This post is for registered accounts.