{"id":1659,"date":"2020-08-18T10:25:58","date_gmt":"2020-08-18T02:25:58","guid":{"rendered":"http:\/\/yutingvpn.tw\/wordpress\/?p=1659"},"modified":"2020-08-19T11:48:05","modified_gmt":"2020-08-19T03:48:05","slug":"%e7%ad%96%e7%95%a5%e8%88%87%e8%b3%87%e9%87%91%e7%ae%a1%e7%90%86%e6%b5%81%e7%a8%8b%ef%bc%88%e4%ba%8c%ef%bc%89%e5%af%a6%e5%8b%99%e8%a3%9c%e5%85%85","status":"publish","type":"post","link":"https:\/\/quantbrains.club\/wordpress\/2020\/08\/18\/%e7%ad%96%e7%95%a5%e8%88%87%e8%b3%87%e9%87%91%e7%ae%a1%e7%90%86%e6%b5%81%e7%a8%8b%ef%bc%88%e4%ba%8c%ef%bc%89%e5%af%a6%e5%8b%99%e8%a3%9c%e5%85%85\/","title":{"rendered":"\u7b56\u7565\u8207\u8cc7\u91d1\u7ba1\u7406\u6d41\u7a0b\uff08\u4e8c\uff09\u5be6\u52d9\u88dc\u5145"},"content":{"rendered":"

策略與資金管理流程（二）實務補充<\/h1>\n\n\n\n

\u5ef6\u7e8c\u4e0a\u4e00\u7bc7<\u7b56\u7565\u8207\u8cc7\u91d1\u7ba1\u7406\u6d41\u7a0b\uff08\u4e8c\uff09>\uff0c\u4f86\u4f5c\u4e00\u4e9b\u5be6\u52d9\u8a2d\u5b9a\u4e0a\u7684\u88dc\u5145<\/p>\n\n\n\n

\u524d\u9762\u6211\u5011\u8b1b\u5230\uff0c\u6240\u8b02\u7b56\u7565\u6216\u6307\u6a19\u53ea\u662f\u6211\u5011\u6240\u6253\u9020\u7684\u6b66\u5668\u3001\u57fa\u672c\u62db\u5f0f\u6216\u98df\u8b5c\uff0c\u4f46\u771f\u7684\u8981\u6210\u70ba\u8077\u4eba\u7b49\u7d1a\uff0c\u6211\u5011\u8981\u4fee\u7df4\u7684\u91cd\u9ede\u5176\u5be6\u4e0d\u5728\u90a3\u88e1\uff0c\u56e0\u70ba\u771f\u6b63\u66f4\u91cd\u8981\u7684\u662f\u529b\u9053\u6216\u706b\u4faf\u7684\u63a7\u5236\u3001\u4f7f\u7528\u7684\u6642\u6a5f\u3001\u5371\u6a5f\u7684\u8655\u7406\u7b49\u7b49\uff0c\u9019\u624d\u662f\u771f\u6b63\u7684\u9748\u9b42\u6240\u5728\u3002\u7b56\u7565\u7684\u56de\u6e2c\u7d42\u7a76\u53ea\u662f\u56de\u6e2c\uff0c\u7b56\u7565\u4e0a\u7dda\u4e4b\u5f8c\u7684\u5404\u7a2e\u8655\u7406\u8207\u5206\u6790\u624d\u662f\u4ea4\u6613\u8005\u5011\u771f\u6b63\u7684\u6c7a\u52dd\u5834\u3002<\/p>\n\n\n\n

\u5be6\u52d9\u7bc7\u6211\u76e1\u91cf\u4e0d\u8b1b\u4e00\u4e9b\u5ee2\u8a71\uff08\u6709\u9ede\u96e3\uff09XD\uff0c\u9084\u662f\u76f4\u63a5\u770b\u5be6\u52d9\u3002\u6211\u5011\u5148\u4f86\u5e6b\u6211\u5011\u6240\u8981\u7ba1\u7406\u7684\u7b56\u7565\u52a0\u4e0a\u4e00\u9846\u8166\uff0c\u704c\u6ce8\u6211\u5011\u64cd\u4f5c\u9b42\u7684\u5730\u65b9<\/p>\n\n\n\n

\"\"<\/figure>\n\n\n\n

\u6211\u5011\u900f\u904e\u65b0\u589e\u4e00\u500b\u984d\u5916\u7684\u89c0\u5bdf\u8005\uff08\u884c\u8eca\u96fb\u8166\uff09\uff0c\u5728\u9019\u88e1\u9032\u884c\u7d71\u8a08\u8cc7\u8a0a\u7684\u5f59\u6574\u4ee5\u53ca\u90e8\u4f4d\u7ba1\u7406\u6f14\u7b97\u6cd5\u7684\u904b\u4f5c\uff0c\u4e0d\u53bb\u5e72\u9810\u6211\u5011\u539f\u59cb\u7b56\u7565\u7684\u904b\u884c\uff08\u5f88\u91cd\u8981\uff09<\/strong>\uff0c\u904e\u53bb\u7684\u6587\u7ae0\u88e1\u90fd\u6709\u8aaa\u904e\uff0c\u5f88\u591a\u6771\u897f\u6211\u5011\u7121\u6cd5\u5728\u7b56\u7565\u88e1\u9762\u76f4\u63a5\u64b0\u5beb\uff0c\u56e0\u70ba\u90a3\u6703\u7834\u58de\u539f\u59cb\u6a21\u578b\u7684\u6a5f\u7387\u5206\u5e03\uff0c\u4f8b\u5982\u6211\u5011\u524d\u4e00\u7bc7\u6240\u8209\u7684\u900f\u904e\uff24\uff24\u4f5c\u5747\u503c\u56de\u6b78\u98a8\u96aa\u7ba1\u7406\uff0c\u6211\u5011\u7121\u6cd5\u505a\u5230\u5728\u7b56\u7565\u88e1\u64b0\u5beb\u89c0\u5bdf\u904e\u5f80\uff24\uff24\u7684\u52d5\u4f5c\u76f4\u63a5\u9032\u884c\u90e8\u4f4d\u7684\u8b8a\u5316\uff0c\u56e0\u70ba\u4e00\u65e6\u76f4\u63a5\u5728\u7b56\u7565\u88e1\u9032\u884c\u90e8\u4f4d\u7684\u8b8a\u5316\uff0c\uff24\uff24\u7684\u884c\u70ba\u8207\u6a5f\u7387\u5206\u5e03\u5c31\u6539\u8b8a\u4e86\u3002\u540c\u7406\uff0c\u7b56\u7565\u54c1\u8cea\u5206\u6790\u4e5f\u662f\u4e00\u6a23\uff0c\u6240\u4ee5\u53ea\u80fd\u900f\u904e\u9019\u6a23\u65b0\u589e\u4e00\u500b\u89c0\u5bdf\u8005\uff08\u884c\u8eca\u96fb\u8166\uff09\u7684\u8173\u8272\uff0c\u4f86\u5e6b\u6211\u5011\u505a\u5230\u7b56\u7565\u7ba1\u7406\u7684\u52d5\u4f5c\u3002\u9019\u4e5f\u662f\u65b0\u4e00\u4ee3\u79d1\u6280\u6c7d\u8eca\u7279\u65af\u62c9\u7684\u958b\u767c\u91cd\u9ede\uff0c\u5c0e\u5165\uff21\uff29\uff08\u89c0\u5bdf\u8005\uff09\uff0c\u900f\u904e\u5404\u7a2e\u7d71\u8a08\u6578\u64da\u4f86\u9054\u5230\u66f4\u591a\u81ea\u52d5\u5316\u4ee5\u53ca\u5b89\u5168\u4fdd\u969c\u7684\u6f14\u7b97\u6cd5\u3002<\/p>\n\n\n\n

\u5728\u91cf\u5316\u601d\u7dad\u6230\u7565\u4ea4\u6613\u5e73\u53f0\u88e1\u6703\u6709\u5169\u500b\u9019\u6a23\u7684\uff21\uff29\u8173\u8272\u53ef\u9032\u884c\u6f14\u7b97\u6cd5\u7684\u64b0\u5beb\uff0c\u4e00\u500b\u662f\u4e0a\u9762\u7684QuantBrains_Connect\uff08\u8ca0\u8cac\u6700\u57fa\u672c\u7684\u55ae\u5143\u4e5f\u5c31\u662f\u7b56\u7565\u6a21\u7d44\u7684\u8655\u7406\uff09\uff0c\u53e6\u4e00\u500b\u5247\u662fLevel-2\u8cc7\u91d1\u7ba1\u7406\u7b56\u7565\u6f14\u7b97\u6cd5\uff08\u8ca0\u8cac\u591a\u5546\u54c1\u52a0\u7e3d\u5f8c\u7684\u7e3d\u9ad4\u5e33\u6236\u7684Total BIAS\u8655\u7406\u6216Rebalance\u8655\u7406\u6f14\u7b97\u6cd5\uff0c\u6709\u8208\u8da3\u7684\u540c\u5b78\u53ef\u4ee5\u5148\u7ffb\u4e00\u4e0b\u4ee5\u524d\u7684\u4ecb\u7d39\u7684\u6587\u7ae0\uff0c\u6216\u9019\u90e8\u5206\u4e4b\u5f8c\u518d\u4f86\u8b1b\uff09<\/p>\n\n\n\n

\u65e2\u7136\u662f\u5be6\u52d9\u7bc7\uff0c\u90a3\u6211\u5011\u5c31\u76f4\u63a5\u4f86\u770b\u9019\u9846\u884c\u8eca\u96fb\u8166\u53ef\u4ee5\u5e6b\u6211\u5011\u505a\u54ea\u4e9b\u4e8b\u60c5\u6216\u90a3\u4e9b\u5206\u6790<\/p>\n\n\n\n

\u9996\u5148\u6211\u5011\u5148\u96a8\u4fbf\u62c9\u4e00\u96bb\u7b56\u7565\u9032\u4f86\u7576\u4f8b\u5b50\uff0c\u7db2\u8def\u6293\u7684\u6216Multicharts\u88e1\u9762\u7684\u7b49\u7d1a\u5c31\u53ef\u4ee5\u4e86\uff0c\u7576\u7136\u4f60\u7cbe\u5fc3\u8a2d\u8a08\u7684\u7b56\u7565\u4e5f\u53ef\u4ee5\u3002\u6211\u9019\u908a\u9084\u662f\u5ef6\u7e8c\u524d\u9762\u4f7f\u7528\u7684\u5e38\u898b\u5747\u7dda\u578b\u9806\u52e2\u7b56\u7565\uff0c\u7531high\u5747\u7dda\u8ddflow\u5747\u7dda\u7d44\u6210\u7684band\uff0cband\u4e0a\u4f5c\u591a\uff0cband\u4e0b\u653e\u7a7a\uff0c\u5f88\u7d93\u5178\u7684\u975e\u591a\u5373\u7a7a\u9806\u52e2\u578b\u8da8\u52e2\u8ddf\u8e64\u7b56\u7565\uff0c\u76f8\u4fe1\u6bcf\u500b\u4eba\u4e00\u5b9a\u90fd\u6709\u4e00\u652f\u9019\u6a23\u7684\u50bb\u74dc\u578b\u614b\u7b56\u7565<\/p>\n\n\n\n

\"\"<\/figure>\n\n\n\n
\"\"<\/figure>\n\n\n\n
\"\"<\/figure>\n\n\n\n

PF\u503c1.36\uff0c\u771f\u7684\u662f\u96a8\u4fbf\u62c9\u7684XD \u9019\u7a2e\u975e\u591a\u5373\u7a7a\u50bb\u74dc\u7b56\u7565\u5728\u4ee5\u524d\u662f\u5f88\u4e0d\u932f\u7528\u7684\uff0c\u53ea\u8981\u50bb\u50bb\u8ddf\u8e64\u8ffd\u96a8\uff0c\u5982\u679c\u4f60\u7684\u4fe1\u4ef0\u5920\u5805\u5b9a\u7684\u8a71\uff0c\u57fa\u672c\u4e0a\u9577\u671f\u5831\u916c\u9084\u662f\u6703\u8da8\u5411\u6b63\u503c<\/p>\n\n\n\n

\u63a5\u4e0b\u4f86\u6211\u5011\u76f4\u63a5\u5728Multicharts\u7684\u7b56\u7565\u5217\u8868\u639b\u4e0a\u6211\u5011\u7684\u884c\u8eca\u96fb\u8166\uff0c\u9032\u884c\u7b2c\u4e00\u6b65\u5206\u6790<\/p>\n\n\n\n

\u6211\u5011\u7684\u7b2c\u4e00\u6b65\u5206\u6790\u5148\u4f86\u5c0d\u7b56\u7565\u9032\u884c\u591a\u7a7a\u5206\u6790\uff0c\u57fa\u672c\u4e0a\u4e0d\u9700\u8981\u52d5\u4efb\u4f55\u8166\u888b\uff0c\u76f4\u63a5\u544a\u8a34\u884c\u8eca\u96fb\u8166\u6211\u5011\u8981\u5206\u6790\u7684\u4ea4\u6613\u5c6c\u6027<\/strong>\u4ee5\u53ca\u56de\u6eaf\u6642\u9593<\/strong>\u5373\u53ef<\/p>\n\n\n\n

\"\"<\/figure>\n\n\n\n

EquityType\u70ba\u6211\u5011\u8981\u5206\u6790\u7684\u4ea4\u6613\u578b\u614b\uff0c\u9810\u8a2d\u70ba0\uff08\u5206\u6790\u539f\u59cb\u578b\u614b\uff09\uff0c\u800c\u6211\u5011\u9019\u88e1\u6253\u7b97\u628a\u591a\u7a7a\u5c6c\u6027\u5206\u96e2\uff0c\u9032\u884c\u500b\u5225\u5206\u6790\uff0c\u6240\u4ee5\u6703\u586b\u4e0a 1 \u6216 -1\uff0c\u4ee3\u8868\u6211\u5011\u8981\u9032\u884c\u591a\u55ae\u5c6c\u6027\u8207\u7a7a\u55ae\u5c6c\u6027\u7684\u5206\u6790<\/p>\n\n\n\n

\u56de\u6eaf\u6642\u9593\u70ba\u6211\u5011\u79fb\u52d5\u7a97\u683c\u7684\u7bc4\u570d\u3002\u6211\u5011\u5728Multicharts\u4e2d\u9032\u884c\u6700\u4f73\u5316\u4e00\u822c\u7684\u7fd2\u6163\u662f\u6709\u591a\u4e45\u6b77\u53f2\u8cc7\u6599\u5c31\u7528\u591a\u4e45\u6b77\u53f2\u8cc7\u6599\uff0c\u6709\u5341\u5e74\u5c31\u7528\u5341\u5e74\uff0c\u6709\u4e8c\u5341\u5e74\u5c31\u7528\u4e8c\u5341\u5e74\uff0c\u4f46\u5176\u5be6\u9019\u6a23\u7684\u56de\u6e2c\u6642\u9593\u610f\u7fa9\u4e26\u4e0d\u5927\uff0c\u5341\u5e74\u524d\u7684\u6642\u7a7a\u80cc\u666f\u8ddf\u5546\u54c1\u5c6c\u6027\u53ef\u80fd\u8ddf\u73fe\u5728\u65e9\u5df2\u6709\u5f88\u5927\u7684\u5dee\u7570\uff0c\u6240\u4ee5\u4e00\u822c\u6211\u5011\u9032\u884c\u5206\u6790\u53ea\u8981\u6293\u8fd1\u5e7e\u5e74\u7684\u5c31\u53ef\u4ee5\u4e86\uff0c\u500b\u4eba\u7fd2\u6163\u662f\u4e00\u5e74\u5230\u4e09\u5e74\uff08250~750\uff09\u90fd\u53ef\u4ee5\u63a5\u53d7\uff0c\u8d85\u904e\u4e09\u5e74\u4ee5\u4e0a\u7684\u8cc7\u6599\u610f\u7fa9\u4e26\u4e0d\u5927\u3002\u7576\u7136\u5982\u679c\u4f60\u60f3\u8a2d10\u5e74\u4e5f\u6c92\u6709\u4e0d\u53ef\u4ee5\u3002<\/p>\n\n\n\n

\"\"<\/figure>\n\n\n\n

\u6240\u4ee5\u73fe\u5728\u591a\u4e86\u5169\u9846\u8166\uff0c\u4e00\u9846\u4e0a\u8166\u4e00\u9846\u4e0b\u8166\u3002\u639b\u4e0a\u5f8c\uff0c\u6211\u5011\u5c31\u53ef\u4ee5\u770b\u5230\u5728\u8a72\u56de\u6eaf\u5468\u671f\u7684\u5206\u6790\u7d50\u679c\u5df2\u7d93\u51fa\u73fe\u5728\u5716\u8868\u4e0a\u982d\uff0c\u4e0a\u6392\u6578\u503c\u70ba\u9019\u500b\u7b56\u7565\u7684\u591a\u55ae\u5c6c\u6027\u54c1\u8cea\uff0c\u4e0b\u6392\u70ba\u9019\u500b\u7b56\u7565\u7684\u7a7a\u55ae\u5c6c\u6027\u54c1\u8cea\u3002<\/p>\n\n\n\n

\"\"<\/figure>\n\n\n\n
\"\"<\/figure>\n\n\n\n

\u5f9e\u9019\u88e1\u958b\u59cb\uff0c\u5783\u573e\u5df2\u7d93\u958b\u59cb\u6162\u6162\u8b8a\u6210\u9ec3\u91d1\u3002\u900f\u904e\u884c\u8eca\u96fb\u8166\u7684\u6578\u503c\u52d5\u614b\u81ea\u52d5\u8ffd\u8e64\u8ddf\u5206\u6790\uff0c\u591a\u55ae\u88ab\u8a8d\u5b9a\u70ba\u9577\u671f\u5177\u6709\u4e00\u5b9a\u7684\u64cd\u4f5c\u50f9\u503c\uff08\u6163\u6027\uff09\uff0c\u800c\u7a7a\u55ae\u5247\u5e7e\u4e4e\u5b8c\u5168\u6c92\u6709\u904b\u4f5c\u6548\u76ca\uff0c\u56e0\u6b64\u5728\u6b64\u523b\uff0c\u591a\u55ae\u5c07\u81ea\u52d5\u88ab\u5206\u914d0.49\u4efd\u8cc7\u91d1\u6b0a\u91cd\uff0c\u800c\u7a7a\u55ae\u5247\u5e7e\u4e4e\u6c92\u6709\u88ab\u914d\u91cd\u3002\u7576\u7136\u53ef\u80fd\u6709\u4eba\u6703\u89ba\u5f97\uff0c\u90a3\u6211\u5011\u81ea\u5df1\u628a\u7a7a\u55ae\u95dc\u6389\u5c31\u53ef\u4ee5\u4e86\uff0c\u4e5f\u4e0d\u662f\u4e0d\u884c\uff0c\u53ea\u662f\u7576\u4f60\u7b56\u7565\u578b\u614b\u8ddf\u5546\u54c1\u578b\u614b\u591a\u4e86\u4e4b\u5f8c\uff0c\u6bcf\u4e00\u652f\u7b56\u7565\u8ddf\u5546\u54c1\u90fd\u8981\u5b9a\u671f\u53bb\u6aa2\u67e5\u4e26\u7d66\u4e88\u6b0a\u91cd\uff0c\u5c31\u6703\u767c\u73fe\u9019\u7a2e\u5be6\u5728\u4e0d\u9700\u8981\u4eba\u5de5\u7684\u52d5\u4f5c\uff0c\u9084\u662f\u8b93\u4ed6\u81ea\u52d5\u5316\u5c31\u597d\uff0c\u90fd\u8981\u4f5c\u91cf\u5316\u4ea4\u6613\u7a0b\u5f0f\u4ea4\u6613\u4e86\uff0c\u7136\u5f8c\u9084\u8981\u4e00\u5929\u5230\u665a\u81ea\u5df1\u624b\u52d5\u5be6\u5728\u6c92\u4ec0\u9ebc\u610f\u601d\u3002\u81ea\u52d5\u5316\u7684\u597d\u8655\u662f\u7701\u5fc3\u7701\u529b\u53c8\u53ca\u6642\uff0c\u54ea\u4e00\u5929\u5c6c\u6027\u6539\u8b8a\u4e86\uff0c\u8f49\u6210\u4e86\u7a7a\u982d\u5927\u6ce2\u6ce2\u7576\u9053\uff0c\u624d\u767c\u73fe\u9019\u500b\u5546\u54c1\u5fd8\u4e86\u5b9a\u671f\u6aa2\u8996\uff0c\u90a3\u500b\u7b56\u7565\u5fd8\u4e86\u91cd\u65b0\u914d\u91cd\uff0c\u5c11\u8cfa\u4e0d\u6253\u7dca\uff0c\u591a\u8ce0\u53ef\u80fd\u6703\u8981\u547d\u3002<\/p>\n\n\n\n

\u591a\u7a7a\u81ea\u52d5\u5206\u62c6\u5206\u6790\u5927\u6982\u662f\u6700\u7121\u8166\u4ec0\u9ebc\u4e8b\u90fd\u4e0d\u7528\u4f5c\u5c31\u53ef\u4ee5\u7acb\u5373\u63d0\u5347\u7b56\u7565\u54c1\u8cea\u7684\u6b65\u9a5f<\/strong>\u3002\uff08ProfitFactor\uff1a1.36 –> 2.36\uff09<\/p>\n\n\n\n

\u4e0d\u904e\u591a\u7a7a\u5c6c\u6027\u5206\u62c6\u5206\u6790\u500b\u5225\u904b\u4f5c\u53ea\u662f\u6700\u57fa\u672c\u7684\u3002\u5728\u4e0a\u4e00\u7bc7\u6211\u5011\u6709\u63d0\u5230\uff0c\u5176\u5be6\u8a55\u50f9\u51fd\u6578\u9084\u6709\u5f88\u591a\u53ef\u81ea\u8a02\u7684\u767c\u63ee\u7a7a\u9593<\/p>\n\n\n\n

\u65e2\u7136\u662f\u5be6\u52d9\u7bc7\uff0c\u76f4\u63a5\u4f86\u770b\u4e00\u4e0b\u6211\u5011QuantBrains_X1\u884c\u8eca\u96fb\u8166\u88e1\u9762\u5728\u4f5c\u4ec0\u9ebc\uff0c\u88e1\u982d\u4e3b\u8981\u6709\u5169\u500b\u5340\u584a\uff0c\u5206\u5225\u662f\u57fa\u790e\u7684EVA\u5340\u584a\u4ee5\u53ca\u98a8\u96aa\u7ba1\u7406\u5340\u584a<\/p>\n\n\n\n

\"\"<\/figure>\n\n\n\n
\"\"<\/figure>\n\n\n\n

\u7b2c\u4e00\u500b\u5340\u584a\u662f EVA function \uff08EVA(x)\uff09\uff0c\u76ee\u7684\u662f\u8b93\u6211\u5011\u53ef\u4ee5\u5c0d\u6211\u5011\u7684\u7b56\u7565\u6709\u4e00\u500b\u57fa\u672c\u7684\u54c1\u8cea\u8a8d\u8b58\uff0c\u6211\u5011\u5728\u9019\u88e1\u53ef\u4ee5\u76f4\u63a5\u81ea\u8a02\u7b56\u7565\u57fa\u672c\u54c1\u8cea\u8a55\u9451\u7684\u4e00\u500b\u6a19\u6e96\u3002\u5728\u9810\u8a2d\u7bc4\u4f8b\u4e2d\u6211\u5011\u4f7f\u7528\u7684\u662f\u6bd4\u8f03\u5ee3\u70ba\u4eba\u77e5\u7684 Optimal-f\uff0c\u539f\u59cb\u8a2d\u8a08\u7684\u57fa\u672c\u539f\u7406\u4e3b\u8981\u662f\u4ee5\u7372\u5229\u6700\u5927\u5316\u4f5c\u70ba\u76ee\u6a19\u3002\u5728\u6a5f\u5668\u5b78\u7fd2\u7684\u67b6\u69cb\u88e1\uff0c\u8a55\u50f9\u51fd\u6578\u4e5f\u88ab\u7a31\u70ba\u76ee\u6a19\u51fd\u6578\uff0c\u4e5f\u5c31\u662f\u8aaa\uff0c\u9019\u500b\u51fd\u6578\u7684\u8a2d\u8a08\u662f\u53ef\u4ee5\u6839\u64da\u6211\u5011\u7684\u76ee\u6a19\u800c\u5b9a\u7684\uff0c\u50cf\u662f\u9019\u88e1\u7684Optimal-f\u8a2d\u8a08\u76ee\u6a19\u53ef\u80fd\u70ba\u7372\u5229\u6700\u5927\u5316\uff0c\u4f46\u4e0d\u4e00\u5b9a\u6703\u53bb\u8003\u91cf\u5176\u4ed6\u65b9\u9762\uff0c\u50cf\u662f\u6b0a\u76ca\u66f2\u7dda\u7684\u6ce2\u52d5\u7a0b\u5ea6\u5c31\u4e0d\u5728OptF\u7684\u8a2d\u8a08\u8003\u91cf\u88e1\uff0c\u6240\u4ee5\u5982\u679c\u6211\u5011\u5e0c\u671b\u6b0a\u76ca\u66f2\u7dda\u7684\u6ce2\u52d5\u7a0b\u5ea6\u6216\u662f\u767c\u751f\u4e2d\u7684drawdown\u7b49\u4e5f\u88ab\u7d0d\u5165\u8003\u91cf\uff0c\u90a3\u6211\u5011\u4e5f\u53ef\u4ee5\u5c07\u9019\u4e9b\u5143\u7d20\u76f4\u63a5\u7d0d\u5165\u8a55\u50f9\u51fd\u6578\uff08\u76ee\u6a19\u51fd\u6578\uff09\u7684\u8a2d\u8a08\u4e2d\uff0c\u597d\u6bd4\u73fe\u6210\u7684Sharpe Ratio\u6216\u662fSortino Ratio\u9019\u6a23\u7684\u8a2d\u8a08\u3002<\/p>\n\n\n\n

\u4e5f\u6709\u5176\u4ed6\u7684\u66f4\u76f4\u89ba\u7684\u8a2d\u8a08\u6cd5\uff0c\u50cf\u662f\u56de\u6b78\u7dda\u8da8\u52e2\u659c\u7387\u3001\u89d2\u5ea6\u3001\u7a4d\u5206\u7b49\u7b49\uff0c\u4e5f\u90fd\u662f\u53ef\u4ee5\u4f5c\u70ba\u7b56\u7565\u57fa\u672c\u54c1\u8cea\u5206\u6790\u51fd\u6578\u7684\u9078\u64c7\u4e4b\u4e00\u3002\u8981\u662f\u8d85\u7d1a\u61f6\u5f97\u60f3\uff0c\u76f4\u63a5\u7528\u6211\u5011\u6700\u4f73\u5316\u6642\u6700\u5e38\u7528\u7684netprofit%\u6216\u76f4\u63a5\u7d66\u500b\u56fa\u5b9a\u503c\uff08\u53ef\u80fd\u9700\u8981\u5b9a\u671f\u6aa2\u8996\uff09\u4e5f\u6c92\u6709\u4e0d\u53ef\u4ee5\u3002<\/p>\n\n\n\n

\u7b2c\u4e00\u500b\u5340\u584a\u57fa\u672c\u4e0a\u5927\u5bb6\u90fd\u5f88\u719f\u6089\u4e86\uff0c\u4e5f\u5927\u90fd\u6709\u73fe\u6210\u7684\u51fd\u6578\u53ef\u4ee5\u76f4\u63a5\u8abf\u7528\uff0c\u5c31\u4e0d\u4f54\u7528\u592a\u591a\u7248\u9762\u3002\u63a5\u4e0b\u4f86\u884c\u8eca\u96fb\u8166\u539f\u59cb\u78bc\u4e2d\u7684\u7b2c\u4e8c\u500b\u5340\u584a\u5247\u6bd4\u8f03\uff02\u500b\u4eba\u5316\uff02\uff0c\u6211\u5011\u53ef\u4ee5\u5728\u9019\u88e1\u5be6\u4f5c\u6211\u5011\u7684\u64cd\u4f5c\u9b42\u3002<\/p>\n\n\n\n

\u5728\u9019\u500b\u5340\u584a\u4e2d\uff0c\u6211\u5011\u53ef\u4ee5\u505a\u5169\u4ef6\u4e8b\u60c5\uff0c\u7b2c\u4e00\u500b\u61c9\u7528\u662f\u5c07\u539f\u672c\u7b56\u7565\u4e2d\u7684\u6ffe\u93e1\u62c9\u5230\u9019\u500b\u90e8\u5206\u4f86\u3002<\/p>\n\n\n\n

\u6ffe\u93e1\u5728\u6211\u5011\u7684\u7b56\u7565\u4e2d\u539f\u672c\u7684\u7528\u9014\u662f\u7528\u63d0\u9ad8\u8a0a\u865f\u53ef\u4fe1\u5ea6\u3001\u4f5c\u70ba\u964d\u4f4e\u96dc\u8a0a\u6216\u5340\u5206\u98a8\u96aa\u7684\u5de5\u5177\uff0c\u6240\u4ee5\u5176\u5be6\u6ffe\u93e1\u5c31\u662f\u7b56\u7565\u88e1\u6211\u5011\u5c0d\u8a0a\u865f\u7684\u7ba1\u7406\uff0c\u901a\u5e38\u6211\u5011\u6703\u5728\uff1c\u9032\u5834\u6642\uff1e\u53c3\u8003\u9019\u500b\u6578\u64da\u4f86\u6c7a\u5b9a\u8a0a\u865f\u662f\u5426\u8981\u958b\u555f\u6216\u95dc\u9589\uff08\u8a72\u6b7b\u7684\u4e8c\u5206\u6cd5\uff0c\u4e00\u8def\u5236\u7d04\u4e86\u6211\u5011\u7684\u601d\u8003\u5f88\u9577\u7684\u4e00\u6bb5\u6642\u9593\uff09\uff0c\u6709\u90e8\u4f4d\u7ba1\u7406\u6982\u5ff5\u7684\u4eba\u5247\u53ef\u80fd\u597d\u4e00\u4e9b\uff0c\u6703\u8b93\uff08\u9032\u5834\uff09\u90e8\u4f4d\u6709\u5927\u5c0f\u7a0b\u5ea6\u4e0a\u7684\u5340\u5225\uff0c\u4f46\u901a\u5e38\u4e5f\u50c5\u6b62\u65bc\uff1c\u9032\u5834\u7684\u7576\u4e0b\uff1e\u3002\u53ea\u6709\u6975\u5c11\u90e8\u5206\u7684\u4eba\u6703\u900f\u904e\u52a0\u6e1b\u78bc\u6a21\u7d44\u4f86\u6839\u64da\u6ffe\u93e1\u6578\u64da\u9032\u884c\u52d5\u614b\u63a7\u5236\uff08\u9700\u8981\u5c0d\uff30\uff2c\u6709\u4e00\u5b9a\u7684\u719f\u6089\u7a0b\u5ea6\uff0c\u4e0d\u5bb9\u6613\u64b0\u5beb\uff09\u3002<\/p>\n\n\n\n

\u6ffe\u93e1\u7684\u7a2e\u985e\u7b97\u662f\u975e\u5e38\u591a\u5143\u5316\uff0c\u5e38\u898b\u7684\u6709\u50f9\u5dee\uff0f\u6ce2\u52d5\u7387\uff0f\u6cd5\u4eba\u7559\u5009\u7c4c\u78bc\uff0f\u6210\u4ea4\u91cf\u8b8a\u5316\uff0f\u76e4\u4e2d\u5373\u6642\u8cc7\u8a0a\u751a\u81f3\u662f\u5929\u6c23\u9810\u6e2c\uff08\u8fb2\u7522\u54c1\uff09\uff0f\u5b63\u7bc0\u5faa\u74b0\uff0f\u516c\u53f8\u7684\u71df\u6536\uff08\u80a1\u7968\u985e\uff09\uff0f\u5229\u7387\u7b49\u7b49\u90fd\u53ef\u4ee5\u662f\u6ffe\u93e1\u7684\u4e00\u500b\u4f86\u6e90\uff0c\u800c\u9019\u4e9b\u6578\u64da\u4e26\u975e\u975c\u614b\u7684\uff0c\u53ef\u80fd\u6bcf\u5929\u90fd\u6703\u6709\u8b8a\u5316\uff0c\u4e5f\u5e38\u5728\uff02\u9032\u5834\u5f8c\uff02\u624d\u8b8a\u52d5\u6216\u767c\u751f\u3002<\/p>\n\n\n\n

\u4ee5\u6211\u81ea\u5df1\u5e38\u7528\u7684\u4e00\u500b\u98a8\u96aa\u6ffe\u93e1\u70ba\u4f8b\uff0c\uff08\u4e0b\u65b9\uff09\u6578\u503c\u5e7e\u4e4e\u662f\u5e38\u6709\u8b8a\u52d5\uff08\u5e02\u5834\u662f\u6d3b\u7684\uff09\uff0c\u4f46\u539f\u672c\u5982\u679c\u53ea\u5beb\u5728\u7b56\u7565\u88e1\uff0c\u53ef\u80fd\u53ea\u6709\u4f5c\u70ba\u8cc7\u91d1\u6a19\u6e96\u5316\u51fd\u6578\u8a08\u7b97\u5f8c\u7684\u9032\u5834\u90e8\u4f4d\u52a0\u6b0a\uff0c\u96d6\u7136\u5df2\u7d93\u80fd\u770b\u5230\u566a\u97f3\u4e0b\u964d\u7684\u6539\u5584\uff0c\u4f46\u5982\u679c\u566a\u97f3\u6216\u662f\u98a8\u96aa\u662f\u5728\uff1c\u9032\u5834\u5f8c\uff1e\u624d\u62c9\u5347\uff0c\u5f88\u986f\u7136\u5373\u4f7f\u6211\u5011\u660e\u660e\u77e5\u9053\u689d\u4ef6\u53ef\u80fd\u5df2\u7d93\u6709\u6240\u8b8a\u5316\uff0c\u5c0d\u65bc\u90e8\u4f4d\u7684\u7ba1\u7406\u61c9\u8a72\u9084\u6709\u6539\u5584\u7a7a\u9593\uff0c\u4f46\u901a\u5e38\u9084\u662f\u6703\u56e0\u70ba\uff2d\uff23\u64b0\u5beb\u4e0a\u7684\u56f0\u96e3\u6216\u5236\u7d04\u800c\u9078\u64c7\u7121\u8996\uff08\u5982\u679c\u4ee5\u5927\u5bb6\u624b\u4e2d\u5e7e\u4e4e\u90fd\u6709\u7684\u50f9\u5dee\u6ffe\u93e1\u70ba\u4f8b\uff0c\u5927\u6982\u4e5d\u6210\u7684\u4eba\u4f7f\u7528\u7684\u65b9\u6cd5\u90fd\u4ecd\u505c\u7559\u5728\u9006\u50f9\u5dee\u624d\u9032\u5834\u4f5c\u591a\uff0c\u6b63\u50f9\u5dee\u624d\u9032\u5834\u653e\u7a7a\u9019\u6a23\u7684\u5beb\u6cd5\uff0c\u5982\u679c\u67d0\u4e00\u5929\u8a0a\u865f\u9084\u5728\uff0c\u4f46\u5373\u6642\u50f9\u5dee\u537b\u5df2\u7d93\u7ffb\u6b63\u5230\u4e00\u5b9a\u7a0b\u5ea6\uff0c\u4f60\u662f\u5426\u6703\u6709\u5c0d\u61c9\u7684\u90e8\u4f4d\u63a7\u5236\uff1f\uff09\u3002<\/p>\n\n\n\n

\"\"<\/figure>\n\n\n\n

\u5982\u679c\u628a\u9019\u500b\u6ffe\u93e1\u5f9e\u7b56\u7565\u88e1\u6539\u79fb\u5230\u884c\u8eca\u96fb\u8166\u7684\u7b2c\u4e8c\u500b\u5340\u584a\u4f86\u5be6\u4f5c\uff0c\u76f4\u63a5\u4f5c\u70baEVA(x)\u7684\u6b0a\u503c\uff0c\u6211\u5011\u5c31\u66f4\u80fd\u8cbc\u8fd1\u539f\u672c\u6ffe\u93e1\u8655\u7406\u566a\u97f3\u7684\u539f\u7406\uff0c\u4e5f\u80fd\u4f5c\u5230\u5373\u4f7f\u662f\u9032\u5834\u5f8c\u4e5f\u80fd\u900f\u904e\u8a55\u50f9\u51fd\u6578\u52d5\u614b\u63a7\u5236\u90e8\u4f4d\u7684\u7e2e\u653e\u3002<\/p>\n\n\n\n

\"\"<\/figure>\n\n\n\n

\u4e00\u822c\u4f86\u8aaa\u6ffe\u93e1\u7684\u8490\u96c6\u8207\u77e5\u9053\u5982\u4f55\u53bb\u4f7f\u7528\uff0c\u5982\u679c\u6c92\u6709\u4eba\u5e36\uff0c\u901a\u5e38\u9700\u8981\u5076\u723e\u795e\u4f86\u4e00\u7b46\u7684\u9813\u609f\u8ddf\u6642\u9593\u7684\u7d2f\u7a4d\uff0c\u96a8\u8457\u4ea4\u6613\u7684\u6642\u9593\u8d8a\u4e45\u7d93\u9a57\u8d8a\u8db3\uff0c\u5c0d\u67d0\u4e9b\u5546\u54c1\u7279\u6027\u3001\u7279\u5fb5\u73fe\u8c61\uff08\u6bd4\u5982\u539a\u5c3e\u8ddf\u6ce2\u52d5\u7387\u4e4b\u9593\u7684\u95dc\u4fc2\uff09\u6216\u8cc7\u6599\uff08\u73fe\u8ca8\u3001\u6cd5\u4eba\u7c4c\u78bc\u7b49\uff09\u6709\u4e86\u57fa\u672c\u638c\u63e1\u4e4b\u5f8c\u624d\u6703\u6709\u6bd4\u8f03\u77e5\u9053\u600e\u9ebc\u53bb\u9032\u884c\u91cf\u5316\u4ee5\u53ca\u9806\u624b\u7684\u904b\u7528\uff08\u5982\u679c\u662f\u5beb\u5728\u7b56\u7565\u88e1\u5c31\u6703\u958b\u59cb\u5448\u73fe\u6f02\u4eae\u7684\u968e\u68af\u72c0\uff09\u3002\u7136\u5f8c\u6211\u5011\u5c31\u6703\u958b\u59cb\u6709\u6a5f\u6703\u5f9e\u4e00\u822c\u7684\u96dc\u9b5a\u514c\u8b8a\u6210\u50b3\u8aaa\u4e2d\u7684\u8001\u53f8\u6a5f\u3002<\/p>\n\n\n\n

\u8b1b\u5b8c\u4e86\u6ffe\u93e1\uff0c\u4f86\u8b1b\u9019\u7b2c\u4e8c\u500b\u5340\u584a\u7684\u53e6\u4e00\u500b\u61c9\u7528\uff0c\u8cc7\u91d1\uff08\u98a8\u96aa\uff09\u914d\u7f6e\u7ba1\u7406\u3002\u6211\u500b\u4eba\u662f\u9019\u6a23\u6b78\u985e\uff0c\u5982\u679c\u8aaa\u6ffe\u93e1\u662f\u4e3b\u52d5\u5f0f\u7684\u7ba1\u7406\uff08\u53ef\u80fd\u662f\u67d0\u7a2e\u5546\u54c1\u7279\u5fb5\u7279\u6027\u6216\u662f\u984d\u5916\u8cc7\u8a0a\uff0c\u6211\u5011\u5728\u4f7f\u7528\u6642\u5df2\u7d93\u5f88\u6e05\u695a\u77e5\u9053\u6297\u566a\u539f\u7406\u6216\u56e0\u679c\u7684\uff09\uff0c\u90a3\u8cc7\u91d1\u8207\u98a8\u96aa\u914d\u7f6e\u7ba1\u7406\u5c31\u53ef\u4ee5\u7b97\u662f\u88ab\u52d5\u5f0f\u7684\u7ba1\u7406\uff0c\u50cf\u662f\u6211\u5011\u5728\u524d\u4e00\u7bc7\u4f8b\u5b50\u88e1\u6240\u8209\u7684drawdown\u98a8\u96aa\u7ba1\u7406\u3002\u63db\u53e5\u8a71\u8aaa\uff0c\u6ffe\u93e1\u6ce8\u91cd\u7684\u662f\u67d0\u4e9b\u73fe\u8c61\u6216\u566a\u97f3\u7684\u56e0\u679c\u95dc\u4fc2\uff0c\u4f8b\u5982\u6cd5\u4eba\u76e4\u5f8c\u7559\u5009\u91cf\u662f\u5927\u91cf\u4f5c\u591a\uff0c\u56e0\u6b64\u6211\u5011\u4e5f\u5c31\u8ddf\u8457\u4f5c\u591a\uff08\u56e0\u679c\uff09\uff0c\u6216\u662f\u53ef\u80fd\u5929\u707d\u7684\u9810\u6e2c\u6216\u5ef6\u7e8c\u6703\u9020\u6210\u8fb2\u7522\u54c1\u671f\u8ca8\u4f9b\u9700\u7684\u6539\u8b8a\uff08\u56e0\u679c\uff09\uff0c\u6216\u662f\u7db2\u8def\u4e0a\u5728\u5341\u5206\u9418\u5167\u7a81\u7136\u51fa\u73fe\u5927\u91cf\u7684\u65b0\u805e\u6a19\u984c\u51fa\u73fe\uff02\u7206\u70b8\uff02\u5169\u500b\u95dc\u9375\u5b57\u53ef\u80fd\u6703\u9023\u52d5\u80a1\u5e02\u9020\u6210\u77ed\u66ab\u7684\u77ac\u8dcc\uff08\u56e0\u679c\uff09\uff0c\u77e5\u9053\u56e0\u679c\u95dc\u4fc2\u53ef\u4ee5\u8b93\u6211\u5011\u5728\u62bc\u6ce8\u8a0a\u865f\u7684\u6642\u5019\u6709\u6bd4\u8f03\u9ad8\u7684\u6e96\u78ba\u6027\uff0c\u6e1b\u5c11\u6c92\u6709\u6548\u7387\u7684\u51fa\u624b\u3002<\/p>\n\n\n\n

\u800c\u63a5\u4e0b\u4f86\u8981\u8b1b\u7684\u8cc7\u91d1\u898f\u5283\u6216\u8cc7\u91d1\u914d\u7f6e\u4e5f\u5c31\u662f\u524d\u4e00\u7bc7\u8aaa\u7684\uff08\u5df2\u767c\u751f\u7684\uff09\u98a8\u96aa\u7ba1\u7406\uff0c\u5247\u662f\u8b8a\u6210\u8001\u53f8\u6a5f\u7684\u53e6\u4e00\u689d\u8def\uff0c\u6ffe\u93e1\u53ef\u4ee5\u5e6b\u6211\u5011\u51fa\u624b\u51fa\u7684\u7cbe\u6e96\u6709\u6548\u7387\uff0c\u800c\u8cc7\u91d1\u898f\u5283\u914d\u7f6e\u5247\u53ef\u4ee5\u5e6b\u6211\u5011\u76e1\u91cf\u6162\u9ede\u6b7b\uff08\u6bd4\u5225\u4eba\u6162\u4e00\u9ede\u6b7b\uff0c\u6490\u5230\u9ece\u660e\u90a3\u4e00\u523b\u7684\u6a5f\u6703\u5c31\u6bd4\u5225\u4eba\u591a\u4e00\u9ede\uff09<\/p>\n\n\n\n

===>\u4e0b\u9762\u9019\u5169\u6bb5\u5f88\u91cd\u8981<\/span><\/p>\n\n\n\n

\u5df4\u83f2\u7279\u8aaa\u904e\uff1a\u300c\u7121\u8ad6\u662f\u896a\u5b50\u9084\u662f\u80a1\u7968\uff0c\u6211\u90fd\u559c\u6b61\u5728\u6e1b\u50f9\u6642\u8cb7\u512a\u8cea\u7684\u5546\u54c1\u3002\u300d\u3001\u300c\u5225\u4eba\u8caa\u5a6a\u6642\u6211\u6050\u61fc\uff0c\u5225\u4eba\u6050\u61fc\u6642\u6211\u8caa\u5a6a\u300d\uff0c\u5fb7\u570b\u80a1\u795e\u79d1\u65af\u6258\u862d\u5c3c\u7684\u96de\u86cb\u5faa\u74b0\u7406\u8ad6\uff0c\u8b1b\u7684\u5168\u90fd\u662f\u540c\u4e00\u4ef6\u4e8b\u60c5\uff0c\u5176\u5be6\u771f\u6b63\u5b89\u5168\u4e14\u5229\u76ca\u8c50\u539a\u7684\u9032\u5834\u9ede\uff0c\u5f80\u5f80\u90fd\u767c\u751f\u5728\u5371\u6a5f\uff08\u98a8\u96aa\uff09\u51fa\u73fe\u4e4b\u5f8c<\/strong>\u3002\u5982\u679c\u6211\u5011\u59cb\u7d42\u90fd\u6c92\u6709\u9806\u624b\u7684\u6ffe\u93e1\uff08\u9700\u8981\u7d93\u9a57\u7684\u6dec\u934a\uff0c\u6c92\u4eba\u5e36\u6025\u4e0d\u4f86\uff09\uff0c\u66f4\u7c21\u55ae\u7684\u505a\u6cd5\u5c31\u662f\u4fdd\u7559\u6216\u5207\u5272\u67d0\u4e00\u90e8\u4efd\u73fe\u91d1\u5c08\u6b3e\u5c08\u7528\uff0c\u76f4\u63a5\u7b49\u98a8\u96aa\uff08\u566a\u97f3\uff09\u7684\u767c\u751f\u6210\u70ba\u65e2\u5b9a\u7684\u4e8b\u5be6<\/span>\u4e4b\u5f8c\u518d\u51fa\u624b\u5c31\u597d<\/strong>\uff08\u5c0d\u9019\u7b46\u8cc7\u91d1\u800c\u8a00\uff0c\u6c92\u8ce0\u5230\u7684\u90e8\u5206\u5c31\u7b49\u65bc\u662f\u8cfa\u5230\uff09\uff0c\u5c0d\u9019\u7b46\u73fe\u91d1\u800c\u8a00\uff0c\u5df2\u767c\u751f\u7684\u98a8\u96aa\u4e0d\u662f\u98a8\u96aa\uff0c\u662f\u512a\u52e2\uff01<\/strong>\u671f\u8ca8\u662f\u96f6\u548c\u904a\u6232\uff0c\u8207\u5176\u7e3d\u662f\u5728\u5371\u6a5f\uff08\uff24\uff24\uff09\u6b63\u5728\u767c\u751f\u6642\u4e00\u76f4\u544a\u8a34\u81ea\u5df1\u9019\u662f\u4fe1\u4ef0\u9019\u662f\u4fe1\u5ff5\u82e6\u82e6\u7b49\u5019\u9ece\u660e\u7684\u5230\u4f86\uff0c\u4e0d\u5982\u50cf\u90b1\u5409\u723e\u8aaa\u7684\uff02\u5225\u6d6a\u8cbb\u6bcf\u4e00\u5834\u5371\u6a5f\uff01\uff02\uff0c\u5371\u6a5f\u771f\u5be6\u767c\u751f\u5f8c\u5f80\u5f80\u662f\u6700\u597d\u7684\u52a0\u78bc\u6642\u6a5f\uff01\u3000\u4e00\u822c\u4ea4\u6613\u8005\u8ddf\u8001\u53f8\u6a5f\u7684\u5dee\u7570\u9ede\u5c31\u5728\u65bc\uff0c\u4e00\u822c\u4ea4\u6613\u8005\u53ea\u9760\u4fe1\u4ef0\u4fe1\u5ff5\u652f\u6490\u7b49\u5f85\uff08\u5e73\u6ce8\u7684\u60b2\u54c0\uff09\uff0c\u8001\u53f8\u6a5f\u5247\u5df2\u7d93\u864e\u8996\u7708\u7708\u6e96\u5099\u8457\u9032\u884c\u9810\u5099\u8cc7\u91d1\u7684\u6230\u7565\u90e8\u7f72\uff0c\u540c\u6a23\u7684\u98df\u8b5c\uff0c\u540c\u6a23\u7684\u4e00\u500b\u7b56\u7565\uff0c\u537b\u6709\u8457\u4e0d\u4e00\u6a23\u7684\u8cc7\u91d1\u6230\u7565\u90e8\u7f72\u7bc0\u594f<\/strong>\uff0c\u4e0d\u4e00\u6a23\u7684\u706b\u4faf\u63a7\u5236\uff0c\u5728\u884c\u60c5\u91cd\u65b0\u555f\u52d5\u4e4b\u5f8c\uff0c\u4e00\u822c\u4ea4\u6613\u8005\u9084\u5728\u6162\u6162\u88dcDD\uff0c\u8001\u53f8\u6a5f\u5011\u5247\u56e0\u70ba\u5728DD\u6642\u5df2\u7387\u5148\u5229\u7528\u597d\u6642\u6a5f\u6230\u7565\u90e8\u7f72\u63d0\u65e9\u5275\u9ad8\u4e86\u3002<\/p>\n\n\n\n

\u4e0b\u6ce8\u7bc0\u594f<\/strong>\u5f88\u91cd\u8981\uff0c\u56e0\u70ba\u9019\u90e8\u5206\u76f4\u63a5\u727d\u6d89\u6211\u5011\u7684\uff02\u4ea4\u6613\u5fc3\u7406<\/strong>\uff02\uff0c\u5982\u679c\u6211\u5011\u7b56\u7565\u7528\u7684\u6c38\u9060\u90fd\u662f\u5e73\u6ce8\u9032\u51fa\uff0c\u4e00\u65e6\u9047\u5230\u5371\u6a5f\u6216\uff24\uff24\uff0c\u90a3\u5fc3\u7406\u53ef\u80fd\u5f88\u76f4\u63a5\u7684\u5c31\u662f\u75db\u82e6\u8207\u6050\u61fc\u3002\u4f46\u5982\u679c\u6211\u5011\u7684\u7bc0\u594f\u5c0d\u4e86\uff0c\u77e5\u9053\u8981\u5207\u5272\u4e00\u90e8\u4efd\u8cc7\u91d1\u6216\u90e8\u4f4d\u4f86\u9032\u884c\u98a8\u96aa\u7ba1\u7406\uff0c\u9019\u5c31\u975e\u5e38\u6709\u8da3\uff0c\u6211\u5011\u6703\u767c\u73fe\u6211\u5011\u53cd\u800c\u6703\u6709\u4e00\u7a2e\u98a8\u96aa\u9810\u671f\u7684\u5fc3\u7406\uff0c\u6050\u61fc\u6e1b\u5c11\u4e86\uff0c\u53cd\u800c\u9084\u53ef\u80fd\u6703\u6709\u5fae\u5999\u7684\u90e8\u5206\u5fc3\u7406\u5728\u671f\u5f85\u4ed6\u767c\u751f\uff0c\u56e0\u70ba\u9019\u6a23\u9810\u5099\u91d1\u624d\u6709\u6a5f\u6703\u6d3e\u4e0a\u7528\u5834\u3002\u63db\u53e5\u8a71\u8aaa\uff0c\u5176\u5be6\u98a8\u96aa\u7ba1\u7406\u7ba1\u7406\u7684\u4e0d\u53ea\u662f\u98a8\u96aa\uff0c\u4ed6\u540c\u6642\u4e5f\u7ba1\u7406\u8457\u6211\u5011\u7684\u5fc3\u614b<\/strong>\uff0c\u5fc3\u7406\u7d20\u8cea\u7684\u91cd\u8981\u6027\u5728\u4ea4\u6613\u88e1\u6709\u591a\u91cd\u8981\u9019\u61c9\u8a72\u4e0d\u7528\u518d\u8b1b\u4e86\u3002<\/p>\n\n\n\n

<===\u4e0a\u9762\u9019\u5169\u6bb5\u5f88\u91cd\u8981<\/span><\/p>\n\n\n\n

\u4e0d\u904e\u9019\u88e1\u8981\u7279\u5225\u63d0\u9192\u7684\u662f\uff0c\u4e0a\u9762\u8001\u5df4\u5176\u5be6\u8a71\u88e1\u5df2\u7d93\u544a\u8a34\u6211\u5011\uff02\u512a\u8cea\u7684\u5546\u54c1\uff02\uff0c\u80a1\u795e\u9760\u57fa\u672c\u9762\u4f86\u5224\u65b7\u5546\u54c1\u7684\u512a\u8cea\u7a0b\u5ea6\uff0c\u6211\u5011\u505a\u91cf\u5316\u7684\u5247\u9760\u7d71\u8a08\uff08\u8a55\u50f9\uff09\u3002\u53ea\u8981\u900f\u904eEVA(x)\u4f5c\u70ba\u57fa\u790e\u9632\u706b\u7246\uff0c\u78ba\u8a8d\u52d5\u80fd\uff08\u671f\u671b\u503c\uff09\u5411\u4e0a\uff0c\u6211\u5011\u624d\u53ef\u4ee5\u653e\u5fc3\u4f5c\u9019\u6a23\u5747\u503c\u56de\u6b78\u7684\u98a8\u96aa\u8cc7\u91d1\u914d\u7f6e\u3002\u5982\u679c\u6c92\u6709EVA(x) \u9019\u5c64\u9632\u706b\u7246\uff0c\u614e\u9632\u8b8a\u6210\u60e1\u540d\u662d\u5f70\u7684\u99ac\u4e01\u683c\u723e\u3002<\/p>\n\n\n\n

\u9019\u6a23\u7684\u914d\u7f6e\u9700\u8981\u5f88\u591a\u7684\u8cc7\u91d1\u55ce\uff1f\u4e0d\u9700\u8981\uff0c\u5169\u53e3\u5c0f\u53f0\u5c31\u80fd\u4f5c\u4e86\u3002\u5982\u679c\u6211\u5011\u73fe\u5728\u6709\u5169\u53e3\u6216\u591a\u53e3\u5c0f\u53f0\u6b0a\u9650\u80fd\u5920\u904b\u7528\uff0c\u6211\u5011\u8a72\u600e\u9ebc\u5206\u914d\uff1f\u6211\u500b\u4eba\u6703\u512a\u5148\u8003\u616e\u50cf\u4e0a\u9762\u9019\u6a23\u7684\u6230\u7565\u914d\u7f6e\u90e8\u7f72\uff0c\u800c\u4e0d\u662f\u5206\u6210\u5169\u500b\u6216\u591a\u500b\u55ae\u53e3\u7b56\u7565\u3002<\/p>\n\n\n\n

\u9664\u4e86\u9019\u908a\u6240\u63d0\u7684DD\u98a8\u96aa\u7ba1\u7406\u4e4b\u5916\uff0c\u640d\u76ca\u7ba1\u7406<\/strong>\u4ea6\u53ef\u4ee5\u5728\u9019\u4e00\u500b\u5340\u584a\u4e2d\u5be6\u4f5c\uff0c\u50cf\u662f\u6211\u5011\u6bd4\u8f03\u719f\u6089\u7684inc\u9805\uff08\u5f9e\u8a72\u7b46\u4ea4\u6613\u4e2d\u640d\u76ca\u64a5\u51fa\u7279\u5b9a\uff05\u6578\u518d\u6295\u5165\u5192\u96aa\uff09\uff0c\u6216\u662f\u8ddf\u8e64\u505c\u640d\uff08\u9650\u5236\u8a72\u7b46\u4ea4\u6613\u7684\u56de\u843d\uff09\u7b49\u7b49\u2026..\u518d\u7e7c\u7e8c\u8b1b\u53ef\u80fd\u771f\u7684\u5927\u5bb6\u90fd\u61f6\u5f97\u770b\u4e86\u2026.<\/p>\n\n\n\n

\u62c9\u56de\u98a8\u96aa\u7ba1\u7406\u5be6\u52d9\uff0c\u6240\u4ee5\u6211\u5011\u5c31\u53ef\u4ee5\u5728\u884c\u8eca\u96fb\u8166\u7684\u9019\u500b\u7b2c\u4e8c\u5340\u584a\u4e2d\uff0c\u900f\u904e\u4e0b\u9762\u7684\u7a0b\u5f0f\u78bc\u9032\u884c\u6211\u5011\u624b\u4e2d\u7c4c\u78bc\u7684\u6230\u7565\u90e8\u7f72<\/p>\n\n\n\n

filter=filter[1];<\/p>\n\n\n\n

if \u5df2\u5275\u9ad8and marketposition<>marketposition[1] then filter=0; \/\/clear<\/p>\n\n\n\n

If DD<-2*StdDev(i_OpenEquity,250) then filter=1;<\/p>\n\n\n\n

EVA=EVA\/2+filter*EVA\/2;<\/p>\n\n\n\n

\u5982\u6b64\u9019\u822c\uff0c\u7531\u65bcEVA\u6703\u5728\u8cc7\u91d1\u7ba1\u7406\u5e73\u53f0\u5167\u4f5c\u70ba\u8cc7\u91d1\u6a19\u6e96\u5316\u51fd\u6578\u7d50\u679c\u7684\u6b0a\u91cd\uff0c\u4e00\u65e6EVA\u689d\u4ef6\u7b26\u5408\uff0c\u6578\u503c\u6709\u4e86\u52d5\u614b\u8b8a\u5316\uff0c\u8cc7\u91d1\u7ba1\u7406\u5e73\u53f0\u4fbf\u6703\u7acb\u5373\u81ea\u52d5\u9032\u884c\u90e8\u4f4d\u7684\u91cd\u65b0\u914d\u7f6e\u3002\u7576\u7136\uff0c\u6709\u4e86\u6982\u5ff5\u4e4b\u5f8c\u8981\u624b\u52d5\u9032\u884c\u52a0\u78bc\u4e5f\u662f\u53ef\u4ee5\uff0c\u4e0d\u904e\u5c31\u50cf\u524d\u9762\u8aaa\u7684\uff0c\u90fd\u5df2\u7d93\u4f5c\u4e86\u91cf\u5316\u4ea4\u6613\u3001\u7a0b\u5f0f\u4ea4\u6613\uff0c\u81ea\u52d5\u5316\u624d\u662f\u738b\u9053\u3002<\/p>\n\n\n\n

<\/p>\n\n\n

粉絲專頁<\/a><\/h2>\n\n\n

進化特區<\/a><\/h2>\n","protected":false},"excerpt":{"rendered":"

策略與&#3603…<\/p>\n","protected":false},"author":1,"featured_media":1669,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-1659","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-uncategorized","wpcat-1-id"],"_links":{"self":[{"href":"https:\/\/quantbrains.club\/wordpress\/wp-json\/wp\/v2\/posts\/1659","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/quantbrains.club\/wordpress\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/quantbrains.club\/wordpress\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/quantbrains.club\/wordpress\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/quantbrains.club\/wordpress\/wp-json\/wp\/v2\/comments?post=1659"}],"version-history":[{"count":13,"href":"https:\/\/quantbrains.club\/wordpress\/wp-json\/wp\/v2\/posts\/1659\/revisions"}],"predecessor-version":[{"id":1686,"href":"https:\/\/quantbrains.club\/wordpress\/wp-json\/wp\/v2\/posts\/1659\/revisions\/1686"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/quantbrains.club\/wordpress\/wp-json\/wp\/v2\/media\/1669"}],"wp:attachment":[{"href":"https:\/\/quantbrains.club\/wordpress\/wp-json\/wp\/v2\/media?parent=1659"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/quantbrains.club\/wordpress\/wp-json\/wp\/v2\/categories?post=1659"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/quantbrains.club\/wordpress\/wp-json\/wp\/v2\/tags?post=1659"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}