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板块标准差系统风险bk_stddevindexid,=24307a参考refpf_standarddeviation,…
板块sharp指数bk_sharpmeasureindexid,=24307a参考refpf_sharpratio,…
板块treynor指数bk_treynormeasureindexid,=24307a参考refpf_standarddeviation,…
var历史模拟法bk_varbegt,新建分类stockarrsetsysparampn_bkmybk,bk_varinttodate,29253code参考refpf_standarddeviation,…
一期的相关系数矩阵correlm_ewma,涨幅%矩阵returns:=pf_getportfoliorate,endt11returncorrelm_ewmreturns,media2026-01-29_cdnhy4sy6j03qg5zimage30,…
一期的协方差矩阵covariance_ewma,media2026-01-29_cdnhy4sy6j03qg5zimage22,eequottarget=quot_blankquot,涨幅%矩阵returns:=pf_getportfoliorate,endt11returncovariance_ewmreturns,…
的有下面两个1pf_sharpratio,=28749faq2fi_sharpe_,下面示例主要展示fi_sharpe_,endt:=20260320tsetsysparampn_stockstockid,当前证券setsysparampn_cyclecy,…
数据调用组合换手率接口pf_turnoverrate,进行处理后调用函数pf_turnoverrate,实现title2codefunctiontsdn_bthsltest_,例objfcycle:=cy_day//,fromzcpzendr:=pf_turnoverrate,objgetrollingreturnbegtendtcy_month//,…
涨幅%矩阵returns:=pf_getportfoliorate,media2026-01-29_cdnhy4sy6j03qg5zimage20,…
处理逻辑在公用函数pf_maxdrawdown,使用说明title1codesetsysparampn_stocksh000300,stockmaxdrawdown_tsdn20210101t,…