From: Research on a stock-matching trading strategy based on bi-objective optimization
Trading period | λ | BQQ strategy performance | SSE 50 range ups and downs | ||||||
---|---|---|---|---|---|---|---|---|---|
Strategic income | Annualized income | Coefficient α | Coefficient β | Sharpe ratio | Win rate | Maximum withdrawal | |||
2016.01–2016.12 | 0 | 5.11% | 5.24% | 0.99 | −0.035 | 0.334 | 0.449 | 1.35% | −5.53% |
0.1 | 5.64% | 5.78% | 0.012 | −0.057 | 0.186 | 0.520 | 5.06% | −5.53% | |
0.2 | 11.13% | 11.41% | 0.068 | −0.065 | 1.028 | 0.633 | 2.28% | −5.53% | |
0.3 | 25.49% | 26.19% | 0.209 | −0.131 | 2.292 | 0.667 | 2.17% | −5.53% | |
0.4 | 19.26% | 19.78% | 0.160 | 0.025 | 1.889 | 0.500 | 1.51% | −5.53% | |
0.5 | 17.64% | 18.11% | 0.144 | 0.029 | 1.557 | 0.529 | 3.03% | −5.53% | |
0.6 | 18.74% | 19.24% | 0.155 | 0.026 | 1.931 | 0.544 | 1.69% | −5.53% | |
0.7 | 9.66% | 9.91% | 0.060 | 0.010 | 0.920 | 0.681 | 1.81% | −5.53% | |
GGR | 2.67% | 2.74% | −0.014 | 0.010 | −0.406 | 0.438 | 2.27% | −5.53% |