{"id":2335,"date":"2025-08-18T17:37:14","date_gmt":"2025-08-18T09:37:14","guid":{"rendered":"http:\/\/yutingvpn.tw\/wordpress\/?p=2335"},"modified":"2025-08-18T18:18:20","modified_gmt":"2025-08-18T10:18:20","slug":"quantbrains%e8%a9%95%e5%83%b9%e5%87%bd%e6%95%b8%e7%9a%84%e8%a8%ad%e8%a8%88%e6%80%9d%e8%b7%af","status":"publish","type":"post","link":"https:\/\/quantbrains.club\/wordpress\/2025\/08\/18\/quantbrains%e8%a9%95%e5%83%b9%e5%87%bd%e6%95%b8%e7%9a%84%e8%a8%ad%e8%a8%88%e6%80%9d%e8%b7%af\/","title":{"rendered":"[QuantBrains][\u7b56\u7565\u7ba1\u7406]\u8a55\u50f9\u51fd\u6578\u7684\u8a2d\u8a08\u601d\u8def"},"content":{"rendered":"\n<p>\u4e0a\u9031\u79c1\u4e0b\u8ddf\u5e7e\u4f4d\u540c\u5b78\u804a\u5230\u9019\u500b\u4e3b\u984c\uff0c\u4e5f\u5c31\u662f\u8a55\u50f9\u51fd\u6578\u5230\u5e95\u8a72\u600e\u9ebc\u9078\u64c7\u8207\u8a2d\u8a08<\/p>\n\n\n\n<p>\u4ee5\u524d\u4e5f\u5927\u6982\u4e5f\u8a0e\u8ad6\u904e\u5e7e\u6b21\uff0c\u6709\u4e9b\u5728 FB\u88e1\u7684\u9592\u804a\uff0c\u6709\u4e9b\u5728\u5b98\u7db2\u4e0a<\/p>\n\n\n\n<p><\/p>\n\n\n<ul class=\"wp-block-list\" style=\"\">\n<li>\n<\/ul>\n\n\n\n<p><a href=\"http:\/\/yutingvpn.tw\/wordpress\/2020\/05\/21\/%e8%a9%95%e5%83%b9%e5%87%bd%e6%95%b8%e7%9a%84%e9%81%b8%e6%93%87\/\">\u8a55\u50f9\u51fd\u6578\u7684\u9078\u64c7 \u2013 \u91cf\u5316\u601d\u7dad QuantBrains<\/a><\/p>\n\n\n\n<p><a href=\"http:\/\/yutingvpn.tw\/wordpress\/2020\/06\/24\/%e8%a9%95%e5%83%b9%e5%87%bd%e6%95%b8%e7%9a%84%e7%a9%a9%e5%81%a5%e7%89%b9%e6%80%a7\/\">\u8a55\u50f9\u51fd\u6578\u7684\u7a69\u5065\u7279\u6027(Robustness) \u2013 \u91cf\u5316\u601d\u7dad QuantBrains<\/a><\/p>\n\n\n\n<p><a href=\"http:\/\/yutingvpn.tw\/wordpress\/2022\/03\/30\/%e7%ad%96%e7%95%a5%e7%ae%a1%e7%90%86%e5%8b%95%e8%83%bd%e9%96%80%e6%aa%bb\/\">[\u7b56\u7565\u7ba1\u7406]\u52d5\u80fd\u9580\u6abb \u2013 \u91cf\u5316\u601d\u7dad QuantBrains<\/a><\/p>\n\n\n\n<p><a href=\"http:\/\/yutingvpn.tw\/wordpress\/2025\/03\/27\/%e5%a6%82%e4%bd%95%e8%a9%95%e4%bc%b0%e5%8b%95%e8%83%bd%e8%a9%95%e5%83%b9%e5%87%bd%e6%95%b8%e7%9a%84%e6%9c%89%e6%95%88%e6%80%a7\/\">\u5982\u4f55\u8a55\u4f30\u52d5\u80fd\u8a55\u50f9\u51fd\u6578\u7684\u6709\u6548\u6027 \u2013 \u91cf\u5316\u601d\u7dad QuantBrains<\/a><\/p>\n\n\n\n<p><\/p>\n\n\n\n<p>\u5728\u6211\u5011\u7684 QuantBrains \u52d5\u614b\u8cc7\u91d1\u7ba1\u7406\u7cfb\u7d71\uff0c\u8a55\u50f9\u51fd\u6578\u626e\u6f14\u7684\u6700\u5927\u8173\u8272\u662f\u8cc7\u91d1\u7684\u52d5\u614b\u5206\u914d\u6216\u7b56\u7565\u4e0a\u4e0b\u67b6\uff0c\u4e5f\u6709\u5c11\u90e8\u5206\u5546\u54c1\u8f03\u591a\u7684\u540c\u5b78\u6703\u7528\u8a55\u50f9\u51fd\u6578\u4f86\u4f5c\u70ba Ranking \u7be9\u9078\u5546\u54c1\u7684\u6e96\u5247<\/p>\n\n\n\n<p>\u6b78\u7d0d\u4e86\u5e7e\u500b\u540c\u5b78\u7684\u7528\u6cd5<\/p>\n\n\n\n<p>1.\u7406\u8ad6\u578b<\/p>\n\n\n\n<p>\u7db2\u8def\u4e0a\u6709\u6bd4\u8f03\u591a\u7684\u8ad6\u8ff0\u57fa\u790e\uff0c\u5bb9\u6613\u7406\u89e3\uff0c\u4e5f\u56e0\u70ba\u662f\u6211\u5011\u7684\u73fe\u6210\u7bc4\u4f8b \uff0c\u6240\u4ee5\u61c9\u8a72\u662f\u76ee\u524d\u6bd4\u8f03\u591a\u540c\u5b78\u76f4\u63a5\u62ff\u4f86\u5c31\u7528\u7684\uff0c\u50cf\u662f Optimal-f\u3001Kelly formula\uff0c\u96d6\u7136\u7406\u8ad6\u5bb9\u6613\u7406\u89e3\uff0c\u4f46\u4e5f\u6709\u5176\u7f3a\u9ede\uff0c\u50cf\u662f\u8d77\u4f0f\u904e\u65bc\u654f\u611f<\/p>\n\n\n\n<p>2.\u7a69\u5065\u578b<\/p>\n\n\n\n<p>\u5728 &lt;\u6d77\u9f9c\u6295\u8cc7\u6cd5\u5247&gt; \u4e2d\u6709\u7279\u5225\u958b\u4e86\u4e00\u7ae0 (\u7b2c\u5341\u4e8c\u7ae0) \u5728\u8b1b\u9019\u500b\u7279\u6027\uff0c\u50cf\u662fMAE\/MFE\uff0c\u9019\u985e\u516c\u5f0f\u6bd4\u8f03\u4e0d\u6703\u53d7\u77ed\u671f\u7e3e\u6548\u7684\u8b8a\u5316\u5f71\u97ff\uff0c&lt;\u52d5\u80fd\u6295\u8cc7\u6cd5&gt;\u4e00\u66f8\u88e1\u7684\u8a55\u50f9\u51fd\u6578 \u6307\u6578\u56de\u6b78*R^2 \u4e5f\u6709\u9019\u6a23\u7684\u7279\u6027\uff0c\u53ef\u4ee5\u53c3\u8003\u524d\u9762\u90a3\u7bc7\u7a69\u5065\u7279\u6027\u7684\u6587\u7ae0<\/p>\n\n\n\n<p>3. \u7d9c\u5408\u578b<\/p>\n\n\n\n<p>\u7b2c\u4e09\u7a2e\u662f\u7d9c\u5408\u578b\uff0c\u6211\u9084\u883b\u63a8\u9019\u500b\u7d9c\u5408\u578b\u7684\u601d\u8def\uff0c\u4e5f\u8981\u8b1d\u8b1d\u67d0\u4f4d\u540c\u5b78\u7684\u8a2d\u8a08\u5206\u4eab\u3002\u7d9c\u5408\u578b\u4e3b\u6253\u4e00\u500b\u901a\u901a\u4e0d\u7528\u5435\uff0c\u901a\u901a\u647b\u5728\u4e00\u8d77\u505a\u6210\u6492\u5c3f\u725b\u4e38\u5c31\u597d\u4e86\uff0c\u8a2d\u8a08\u601d\u8def\u662f\u4e0b\u9762\u9019\u6a23\u7684<\/p>\n\n\n\n<p>\u4ee4  EVA = \u9577  +  \u4e2d  +  \u77ed    (\u53ea\u662f\u8a0e\u8ad6\u6982\u5ff5\uff0c\u9019\u88e1\u6bd4\u4f8b\u5c31\u76f4\u63a5 1:1:1 \u4e86\uff0c\u4f9d\u500b\u4eba\u559c\u597d\u8abf\u6574)<\/p>\n\n\n\n<p>\u5176\u4e2d<br><br>&#8220;<strong>\u9577<\/strong>&#8221; \u7684\u6578\u503c\u53d6\u7b56\u7565\u56de\u6e2c\u5831\u544a\u4e2d\u7684\u9577\u671f\u7d71\u8a08\u7d50\u679c\u7576\u6210\u555f\u52d5\u8cc7\u91d1\uff0c\u5982\u679c\u7b56\u7565\u57fa\u672c\u9ad4\u8cea\u597d\uff0c\u5c31\u6703\u53d6\u5f97\u8f03\u597d\u8f03\u512a\u5148\u7684\u57fa\u672c\u4fdd\u969c\uff0c\u7531\u65bc\u662f\u9577\u671f\u7684\u7d71\u8a08\u6578\u503c\uff0c\u6240\u4ee5\u4e5f\u4e0d\u7528\u7279\u5225\u53bb\u5beb\u4ec0\u9ebc\u51fd\u6578\uff0c\u76f4\u63a5\u5f9e\u56de\u6e2c\u5831\u544a\u4e2d\u53d6\u5f97\u5c31\u53ef\u4ee5\u4e86\uff0c\u53ef\u80fd\u662f ProfitFactor \u3001 Z-score\u3001Sharpe Ratio (\u53ef\u4f9d\u9700\u8981 -1 \u6216\u8abf\u6574)\uff0c\u4e00\u5e74\u66f4\u65b0\u4e00\u6b21\u5c31\u53ef\u4ee5\u4e86 (\u5e95\u85aa)<br><br>&#8220;<strong>\u4e2d<\/strong>&#8221; \u7684\u6578\u503c\u5247\u53ef\u80fd\u662f\u4e00\u500b\u4e2d\u671f\u7bc4\u570d\u51fd\u6578\uff0c\u4f8b\u5982 1~2\u5e74\u7684\u56de\u6eaf\u6642\u9593\uff0c\u4ee3\u8868\u6d3b\u8e8d\u4e2d\u7684\u5e02\u5834\u7279\u6027\u6216\u7b56\u7565\u5728\u6b64\u7bc4\u570d\u5167\u7684performance\u8b8a\u5316 (\u5e74\u5ea6\u7e3e\u6548\u734e\u91d1)\uff0c\u53ef\u5141\u8a31\u6709\u8ca0\u6578<\/p>\n\n\n\n<p>&#8220;<strong>\u77ed<\/strong>&#8221; 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