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Table 3 BQQ strategy performance

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%