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组合-夏普比率pf_sharpratio,:=00025setsysparampn_stocksw801020,pn_dateendt,:=ndayn日期sp_time涨幅,stockzf3returnpf_sharpratio,…
组合-betapf_beta,:=inttodate20110630setsysparampn_dateendt,:=ndayn日期sp_time涨幅,2specstockzf3indexidreturnpf_beta,…
组合-跟踪误差pf_trackingerror,:=inttodate20110630setsysparampn_dateendt,:=ndayn日期sp_time涨幅,2specstockzf3indexidreturnpf_trackingerror,…
组合-信息比率pf_informationratio,:=inttodate20110630setsysparampn_dateendt,:=ndayn日期sp_time涨幅,2specstockzf3indexidreturnpf_informationratio,…
投资组合结果输出pf_output,…
计算组合收益率pf_stockszf,%fromtendreturnpf_stockszf,media2024-01-08_igyqnpdpfidoi2hcimage750,…
计算峰度与偏度pf_varkurtosisandskewness,fromtendsetsysparampn_stocksh000300,pn_date20180801t,pn_cyclecy,nday243开始日sp_time截止日,_time+365returnpf_varkurtosisandskewness,…
-索丁诺比率pf_sortinoratio,:=00025setsysparampn_stocksw801020,pn_dateendt,:=ndayn日期sp_time涨幅,stockzf3returnpf_sortinoratio,…
组合-超额收益率pf_excessreturn,:=inttodate20110630setsysparampn_dateendt,:=ndayn日期sp_time涨幅,2specstockzf3indexidreturnpf_excessreturnt,…
rachev比率pf_rachev,范例tcodesetsysparampn_stocksz000001,pn_date20180801t,pn_cyclecy,:=nday1000截止日sp_time涨幅,stockzf3returnpf_rachev,…