
Free+
XLE、XOP:PCA 殘差 sleeve,報酬 +239%
只做多的殘差均值回歸,標的為 XLE、XOP(綜合能源對上上游 E&P)。實盤規則 e=−0.5 / x=+0.5:Sharpe 0.76、+239%、最大回撤 -30.9%。Walk-forward 樣本外 Sharpe 0.69。
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只做多的殘差均值回歸,標的為 XLE、XOP(綜合能源對上上游 E&P)。實盤規則 e=−0.5 / x=+0.5:Sharpe 0.76、+239%、最大回撤 -30.9%。Walk-forward 樣本外 Sharpe 0.69。
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This post is for registered accounts.