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Table 3 BQQ strategy performance

From: Research on a stock-matching trading strategy based on bi-objective optimization

Trading periodλBQQ strategy performanceSSE 50 range ups and downs
Strategic incomeAnnualized incomeCoefficient αCoefficient βSharpe ratioWin rateMaximum withdrawal
2016.01–2016.1205.11%5.24%0.99−0.0350.3340.4491.35%−5.53%
0.15.64%5.78%0.012−0.0570.1860.5205.06%−5.53%
0.211.13%11.41%0.068−0.0651.0280.6332.28%−5.53%
0.325.49%26.19%0.209−0.1312.2920.6672.17%−5.53%
0.419.26%19.78%0.1600.0251.8890.5001.51%−5.53%
0.517.64%18.11%0.1440.0291.5570.5293.03%−5.53%
0.618.74%19.24%0.1550.0261.9310.5441.69%−5.53%
0.79.66%9.91%0.0600.0100.9200.6811.81%−5.53%
GGR2.67%2.74%−0.0140.010−0.4060.4382.27%−5.53%