序列的平均收益pf_avggainofupt,:=inttodate20110630setsysparampn_stocksw801020,pn_dateendt,:=ndayn日期sp_time涨幅,…

跌收益的平均值pf_avggainofdownt,:=inttodate20110630setsysparampn_stocksw801020,pn_dateendt,:=ndayn日期sp_time涨幅,…

组合-夏普比率pf_sharpratiot,:=00025setsysparampn_stocksw801020,pn_dateendt,:=ndayn日期sp_time涨幅,…

索丁诺比率pf_sortinoratiot,:=00025setsysparampn_stocksw801020,pn_dateendt,:=ndayn日期sp_time涨幅,…

组合-alpha%pf_alphat1,:=inttodate20110630setsysparampn_dateendt,:=ndayn日期sp_time涨幅,specstockzf3indexidreturnpf_alphat,…

组合-betapf_betat1,:=inttodate20110630setsysparampn_dateendt,:=ndayn日期sp_time涨幅,specstockzf3indexidreturnpf_betat,…

组合-r2pf_r2t1,:=inttodate20110630setsysparampn_dateendt,:=ndayn日期sp_time涨幅,specstockzf3indexidreturnpf_r2t,…

组合-跟踪误差pf_trackingerrort1,:=inttodate20110630setsysparampn_dateendt,:=ndayn日期sp_time涨幅,specstockzf3indexidreturnpf_trackingerrort,…

组合-信息比率pf_informationratiot1,:=inttodate20110630setsysparampn_dateendt,:=ndayn日期sp_time涨幅,specstockzf3indexidreturnpf_informationratiot,…

组合-特雷诺pf_treynorratiot1,:=inttodate20110630setsysparampn_dateendt,:=ndayn日期sp_time涨幅,specstockzf3indexidreturnpf_treynorratiot,…