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关键字计算同函数pf_semideviation下方,算法一样pf_stdofdownt,:=inttodate20110630setsysparampn_stocksw801020,pn_dateendt,ndayn日期sp_time涨幅%,…
第m个最小值sp_smallexp,价格序列codesetsysparampn_stockquot,quotsetsysparampn_date20181030t,pn_cyclecy,quot日期quotsp_timequot月末,…
因子的计算中getparm_stockarr_,getbkbydatesh000905endtendsetparm_stockarrfuncb,setparm_stockarrfunca,sp_spn,stockarr_byendtsp_time1sp,stockarr_byendtsp_time1return,…
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,…
rachev比率pf_rachevt1,范例tcodesetsysparampn_stocksz000001,pn_date20180801t,pn_cyclecy,nday1000截止日sp_time涨幅%,…
周期的区间收益率pf_rollingreturnt,:=inttodate20110630setsysparampn_dateendt,:=ndayn截止日sp_time涨幅,stockzf3stockidreturnpf_rollingreturnt,…
组合-r2pf_r2t1,:=inttodate20110630setsysparampn_dateendt,:=ndayn日期sp_time涨幅,specstockzf3indexidreturnpf_r2t,…
组合-betapf_betat1,:=inttodate20110630setsysparampn_dateendt,:=ndayn日期sp_time涨幅,specstockzf3indexidreturnpf_betat,…
的多个风险指标pf_returnandriskt1,:=inttodate20110630setsysparampn_dateendt,:=ndayn截止日sp_time涨幅,specstockzf3indexidreturnpf_returnandriskt,…