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Factor\u3001RAR\u3001MAE\u3001MFR\u3001\u6de8\u5229\/MDD\u5230Tharp\u63d0\u51fa\u7684SQN\u6216\u662f\u57fa\u65bc\u8cc7\u8a0a\u7406\u8ad6\u7684\u51f1\u5229\u516c\u5f0f\u7b49\u7b49\u90fd\u7b97\u662f\u5177\u6709\u57fa\u672c\u8a55\u9451\u529f\u80fd\u7684\u6578\u5b78\u516c\u5f0f\u3002\u800c\u9019\u4e9b\u6771\u897f\u771f\u8981\u8a0e\u8ad6\u8d77\u4f86\u53c8\u53ef\u4ee5\u518d\u7d30\u5beb\u6210\u4e00\u672c\u66f8\u4e86\uff0c\u5305\u62ec\u4f55\u8005\u5177\u6709\u8f03\u4f73\u7684\u7d71\u8a08\u7a69\u5065\u6027\uff0c\u4f55\u8005\u5728\u4f7f\u7528\u4e0a\u5c0d\u539f\u59cb\u8cc7\u8a0a\u6709\u904e\u591a\u7684\u7701\u7565\u6216\u640d\u8017\uff0c\u4f55\u8005\u5177\u6709\u9ad8\u6548\u96dc\u8a0a\u904e\u6ffe\u529f\u80fd\u7b49\u7b49\uff5e\u6bd4\u8f03\u8a73\u76e1\u7684\u5167\u5bb9\u5c31\u653e\u5728\u8a0e\u8ad6\u5340\u88e1\u518d\u7e7c\u7e8c\u8a0e\u8ad6\u4e86\u3002<\/p>\n<p>\u7576\u7136\uff0c\u591a\u6578\u4eba\u6700\u5927\u7684\u7591\u554f\u662f\uff0c\u4e0a\u9762\u6240\u63d0\u5230\u7684\u8a55\u50f9\u51fd\u6578\u6240\u8a55\u91cf\u5f8c\u7684\u7d50\u679c\u662f\u5426\u771f\u7684\u6703\u5177\u6709\u7ba1\u7406\u4e0a\u7684\u512a\u52e2\u3002\u7b46\u8005\u6700\u5e38\u88ab\u554f\u5230\u7684\u5169\u500b\u554f\u984c\uff0c\u7b2c\u4e00\u500b\u5c31\u662f\u8a55\u50f9\u51fd\u6578\u770b\u8d77\u4f86\u4e5f\u5982\u540c\u6307\u6a19\u4e00\u822c\uff0c\u5c6c\u65bc\uff02\u843d\u5f8c\u8cc7\u8a0a\uff02\uff0c\u4f7f\u7528\u843d\u5f8c\u8cc7\u8a0a\u4f5c\u70ba\u7ba1\u7406\u4e0d\u6703\uff02\u592a\u6162\uff02\u55ce\uff1f\u7b2c\u4e8c\u500b\u554f\u984c\u5176\u5be6\u4e5f\u8ddf\u7b2c\u4e00\u500b\u5f88\u50cf\uff0c\u543e\u4eba\u5728\u64cd\u4f5c\u5546\u54c1\u6642\uff0c\u5e38\u5e38\u6703\u9047\u5230\u53ef\u80fd\u67d0\u500b\u5546\u54c1\u5728\u67d0\u4e00\u6bb5\u6642\u671f\u4e0d\u597d\uff0c\u4f46\u6490\u904e\u53bb\u4e4b\u5f8c\u67d0\u4e00\u6bb5\u6642\u671f\u53c8\u6703\u633a\u4e0d\u932f\uff0c\u6703\u4e0d\u6703\u7576\u8a55\u50f9\u51fd\u6578\u5728\u7b2c\u4e00\u500b\u6642\u671f\u4e4b\u5f8c\u5c31\u7d66\u4e86\u4e0d\u597d\u7684\u8a55\u5206\u7d50\u679c\uff0c\u6211\u5011\u7528\u4e86\u4e0d\u597d\u7684\u8a55\u5206\u7d50\u679c\u4f86\u7ba1\u7406\u8a72\u5546\u54c1\u6216\u7b56\u7565\uff0c\u5c0e\u81f4\u6211\u5011\u932f\u904e\u5f8c\u7e8c\u7f8e\u597d\u7684\u5229\u6f64\u3002\u7b46\u8005\u8a8d\u70ba\u95dc\u65bc\u7b2c\u4e00\u500b\u554f\u984c\uff0c\u9019\u727d\u6d89\u5230\u4f60\u5c0d\u5e02\u5834\u7684\u770b\u6cd5\u8207\u524d\u63d0\u3002\u5982\u679c\u4f60\u8a8d\u70ba\u9019\u500b\u5e02\u5834\u662f\u96a8\u6a5f\u5206\u5e03\uff0c\u65e2\u7136\u662f\u96a8\u6a5f\u5206\u5e03\uff0c\u90a3\u6211\u60f3\u4e0d\u8ad6\u4f60\u7528\u4ec0\u9ebc\u65b9\u6cd5\u5176\u5be6\u90fd\u5927\u540c\u5c0f\u7570\uff08\u6216\u8a31\u6c42\u795e\u62dc\u4f5b\u7948\u6c42\u597d\u904b\u662f\u6700\u597d\u7684\uff09\uff0c\u4e5f\u7121\u8b02\u8cc7\u8a0a\u843d\u4e0d\u843d\u5f8c\u4e86\u3002\u4f46\u5982\u679c\u4f60\u548c\u6211\u4e00\u6a23\u8a8d\u70ba\u9019\u500b\u5e02\u5834\u662f\u539a\u5c3e\u5206\u5e03\uff0c\u6240\u6709\u7684\u50f9\u683c\u8207\u6ce2\u52d5\u8d70\u52e2\u5747\u6709\u5ef6\u7e8c\u6027\uff0c\u4e00\u65e6\u8da8\u52e2\u8207\u52d5\u80fd\u6210\u5f62\uff0c\u4fbf\u6703\u6709\u6163\u6027\u904b\u52d5\uff0c\u4e0d\u6703\u8f15\u6613\u4e2d\u6b62\uff0c\u90a3\u8a55\u50f9\u51fd\u6578\u4fbf\u6703\u662f\u4e00\u500b\u4e0d\u932f\u7684\u52d5\u80fd\u4f30\u8a08\u53c3\u8003\uff0c\u6709\u5927\u52d5\u80fd\u5c31\u7d66\u5927\u8cc7\u91d1\uff0c\u5c0f\u52d5\u80fd\u5c31\u7d66\u5c0f\u8cc7\u91d1\uff0c\u6c92\u52d5\u80fd\u6216\u8ca0\u52d5\u80fd\u5c31\u5148\u64f1\u4e00\u65c1\u76e3\u63a7\u3002\u7b2c\u4e8c\u500b\u554f\u984c\u6216\u8a31\u6709\u90e8\u5206\u662f\u8ddf\u7b2c\u4e00\u500b\u554f\u984c\u91cd\u758a\uff0c\u4f46\u66f4\u591a\u7684\u7591\u554f\u5176\u5be6\u662f\u60f3\u4e86\u89e3\uff0c\u5982\u679c\u8a72\u5546\u54c1\u5177\u6709Mean Reversion\u7684\u7279\u6027\uff0c\u90a3\u662f\u5426\u9084\u9069\u5408\u4f7f\u7528\u8a55\u50f9\u51fd\u6578\u4f86\u505a\u7ba1\u7406\u3002\u5728\u6211\u7684\u770b\u6cd5\u662f\uff0c\u7ba1\u7406\u5c64\u8207\u7b56\u7565\u5c64\u61c9\u8a72\u662f\u975e\u5e38\u6e05\u695a\u7684\u5206\u5c64\u3002\u7ba1\u7406\u5c64\u53ea\u9700\u8981\u505a\u597d\u54e1\u5de5\u7684\u7e3e\u6548\u7ba1\u7406\u5c31\u597d\uff0c\u773c\u898b\u70ba\u6191\uff0c\u53ea\u8981\u6839\u64da\u8a55\u50f9\u7d50\u679c\u505a\u6700\u55ae\u7d14\u7684\u7ba1\u7406\uff0c\u4e0d\u61c9\u8a72\u53bb\u81c6\u6e2c\u6216\u5047\u8a2d\u5546\u54c1\u4e5f\u8a31\u6703\u6709\u67d0\u4e9b\u7279\u6027\uff08\u5982Mean Reversion\uff09\uff0c\u61c9\u8a72\u55ae\u7d14\u5730\u53ea\u628a\u6240\u6709\u54e1\u5de5\u7576\u6210\u662f\u201d\u5c01\u88dd\u7684\u201d\u9ed1\u76d2\u5b50\u3002\u800c\u9019\u985e\u7279\u6b8a\u5c6c\u6027\u5982Mean Reversion\uff08\u5b63\u7bc0\u56de\u6b78\u6216\u6ce2\u52d5\u56de\u6b78\uff09\u61c9\u8a72\u5728\u7b56\u7565\u5c64\u53bb\u8655\u7406\uff0c\u4e5f\u8a31\u662f\u505a\u6210\u6ffe\u93e1\u4e5f\u8a31\u662f\u505a\u6210\u7279\u6b8a\u689d\u4ef6\u5f0f\uff0c\u800c\u4e0d\u61c9\u8a72\u7531\u7ba1\u7406\u5c64\uff08\u4e0d\u8ad6\u662f\u90e8\u4f4d\u7ba1\u7406\u6216\u8cc7\u91d1\u7ba1\u7406\uff09\u53bb\u8655\u7406\u3002<\/p>\n<p>\u800c\u6211\u5011\u53c8\u8a72\u5982\u4f55\u900f\u904e\u8a55\u50f9\u51fd\u6578\u4f86\u505a\u90e8\u4f4d\u7ba1\u7406\u8207\u8cc7\u91d1\u7ba1\u7406\u5462\uff1f\u53c8\u5982\u4f55\u77e5\u9053\u8a55\u50f9\u51fd\u6578\u662f\u771f\u7684\u5177\u6709\u512a\u52e2\u7ba1\u7406\u7684\u80fd\u529b\uff1f\u3000\u57fa\u672c\u4e0a\u5230\u9019\u500b\u90e8\u5206\u7684\u61c9\u7528\uff0c\u5df2\u7d93\u5982\u540c\u524d\u9762\u6240\u8aaa\uff0c\u975e\u5e38\u63a5\u8fd1\uff02\u672c\u80fd\u53cd\u61c9\uff02\u4e86\uff0c\u8a55\u50f9\u51fd\u6578\u5728\u90e8\u4f4d\u7ba1\u7406\u8207\u8cc7\u91d1\u7ba1\u7406\u4e0a\u7684\u61c9\u7528\u57fa\u672c\u4e0a\u53ef\u4ee5\u8aaa\u662f\u975e\u5e38\u76f4\u89ba\u7684\u3002\u57fa\u672c\u539f\u5247\u975e\u5e38\u7c21\u55ae\uff0c\u5c0d\u65bc\u597d\u54e1\u5de5\u597d\u7e3e\u6548\uff08\u8a55\u50f9\uff09\uff0c\u7406\u6240\u7576\u7136\u6211\u5011\u7d66\u4e88\u9ad8\u85aa\uff0c\u5c0d\u65bc\u4e0d\u597d\u7684\u54e1\u5de5\u4e0d\u597d\u7684\u7e3e\u6548\uff08\u8a55\u50f9\uff09\u6211\u5011\u4fbf\u7d66\u4e88\u8f03\u5c11\u7684\u85aa\u6c34\u751a\u81f3\u662f\u7559\u8077\u505c\u85aa\u3002\u4f5c\u70ba\u90e8\u4f4d\u7ba1\u7406\uff0c\u6211\u5011\u53ef\u4ee5\u4e00\u5e74\u70ba\u671f\uff08\u96a8\u500b\u4eba\u559c\u597d\u8207\u8a2d\u5b9a\uff0c\u4f46\u7531\u65bc\u592a\u77ed\u6c92\u6709\u7d71\u8a08\u6548\u76ca\uff0c\u904e\u4e45\u7684\u6642\u9593\u53c8\u6c92\u6709\u5be6\u8cea\u610f\u7fa9\uff0c\u6545\u4e00\u822c\u662f\u77ed\u70ba\u534a\u5e74\u9577\u81f3\u5169\u5e74\uff09\u4f5c\u70ba\u8a55\u4f30\u7bc4\u570d\uff0c\u5c07K\u7dda\u5c0e\u5165\u8a55\u50f9\u51fd\u6578\uff0c\u7136\u5f8c\u5c07\u8f38\u51fa\u4f5c\u70ba\u8a55\u50f9\u53c3\u8003\u3002\u4f8b\u5982\u53ef\u4ee5\u5c07\u4f60\u6240\u4f7f\u7528\u7684\u8a55\u50f9\u51fd\u6578\u5176\u5927\u81f4\u4e0a\u7684\u5206\u5e03\u7bc4\u570d\u505a\u5207\u5272\uff0c\u4e26\u505a\u51fa\u76f8\u61c9\u53e3\u6578\u7684\u8b8a\u5316\uff08Ex. \u8a55\u50f9\u7bc4\u570d-1~1\u53ef\u4ee5\u7d30\u5207\u6210\u6bcf0.1\u70ba\u4e00\u53e3\u6216\u4e00\u624b\uff0c\u5373-0.3\u5c0d\u61c9\u653e\u7a7a\u4e09\u53e3\uff0c0.5\u5c0d\u61c9\u505a\u591a5\u53e3\uff09\u3002\u900f\u904e\u9019\u6a23\u7684\u65b9\u5f0f\uff0c\u518d\u7d93\u7531multicharts\/tradestation\u7b49\u7a0b\u5f0f\u4ea4\u6613\u8edf\u9ad4\u524d\u5f8c\u6bd4\u5c0d\u505a\u8207\u4e0d\u505a\u90e8\u4f4d\u7ba1\u7406\u7684\u56de\u6e2c\u524d\u5f8c\u5dee\u7570\uff0c\u4fbf\u53ef\u4ee5\u6e05\u695a\u77e5\u9053\u8a55\u50f9\u51fd\u6578\u7684\u6709\u6548\u6027\u3002<\/p>\n<p>\u540c\u7406\u53ef\u8b49\uff0c\u8cc7\u91d1(\u7b56\u7565)\u7ba1\u7406\u7684\u90e8\u5206\u4ea6\u662f\u5b8c\u5168\u76f8\u540c\u7684\u9053\u7406\uff0c\u60df\u90e8\u4f4d\u7ba1\u7406\u662f\u5c07K\u7dda\u8f38\u5165\u8a55\u50f9\u51fd\u6578\u4f5c\u70ba\u8a55\u50f9\u57fa\u790e\uff0c\u53d6\u800c\u4ee3\u4e4b\u7684\u662f\uff0c\u8cc7\u91d1\u7ba1\u7406\u662f\u5c07\u7b56\u7565\u7684\u904b\u4f5c\u7d50\u679c\uff0c\u4e5f\u5c31\u662f\u7b56\u7565\u7684\u6bcf\u65e5\u640d\u76ca\u5716\u8868\uff08equity curve\uff09\u7576\u6210\u8f38\u5165\u9935\u5165\u8a55\u50f9\u51fd\u6578\u9032\u884c\u8a55\u50f9\u3002\u4ee5\u524d\u6bb5\u70ba\u4f8b\uff0c\u5982\u679c\u8a55\u50f9\u7bc4\u570d\u70ba -1\uff5e1\uff0c\u5247\u7d93\u904e\u5207\u5272\u5c0d\u61c9\uff0c\u53ef\u80fd0\u503c\u4ee5\u4e0b\u4fbf\u76f4\u63a5\u62bd\u56de\u5168\u90e8\u8cc7\u91d1\uff08\u4f46\u4ecd\u6301\u7e8c\u76e3\u63a7equity curve\u7684\u8b8a\u5316\uff09\u30020.3\u5247\u7d66\u4e88\u7b56\u7565\u7e3d\u8cc7\u91d1\uff0a\u81ea\u8a02\u69d3\u687f\uff0a0.3%\u7684\u6b0a\u9650\uff0c0.7\u5247\u7d66\u4e88\u7b56\u7565\u7e3d\u8cc7\u91d1\uff0a\u81ea\u8a02\u69d3\u687f\uff0a0.7%\u7684\u6b0a\u9650\u3002\u5176\u9918\u7684\u4fbf\u53ea\u5269\u7e3d\u9ad4\u98a8\u96aa\u9650\u5236\u6216 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href=\"https:\/\/quantbrains.club\/QuantBrainsBento\/index.html\">QuantBrains \u91cf\u5316\u601d\u7dad\u6230\u7565\u4ea4\u6613\u5e73\u53f0<\/a><\/p>\n<p>\u7c89\u7d72\u5718\u5c08\u9801<\/p>\n<p>https:\/\/www.facebook.com\/quantbrains.club\/<\/p>\n<p>\u9032\u5316\u7279\u5340<\/p>\n<blockquote class=\"wp-embedded-content\" data-secret=\"8NI9xd51CT\"><p><a href=\"https:\/\/quantbrains.club\/wordpress\/purchase\/\">\u9032\u5316\u7279\u5340<\/a><\/p><\/blockquote>\n<p><iframe class=\"wp-embedded-content\" sandbox=\"allow-scripts\" security=\"restricted\" style=\"position: absolute; visibility: hidden;\" title=\"\u9032\u5316\u7279\u5340 &#8212; \u91cf\u5316\u601d\u7dad QuantBrains\" src=\"https:\/\/quantbrains.club\/wordpress\/purchase\/embed\/#?secret=dRu0jIcJnZ#?secret=8NI9xd51CT\" data-secret=\"8NI9xd51CT\" width=\"500\" height=\"282\" frameborder=\"0\" marginwidth=\"0\" marginheight=\"0\" scrolling=\"no\"><\/iframe><\/p>\n<p>\u683c\u6797\u5a01\u6cbb\u4ea4\u6613\u5718\u968a 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