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的多个风险指标pf_returnandriskt1,:=inttodate20110630setsysparampn_dateendt,:=ndayn截止日sp_time涨幅,specstockzf3indexidreturnpf_returnandriskt,…
的计算中与getparm_stockarr_,一般客户无需使用setparm_stockarrfuncfunc,getbkbydatesh000905endtendsetparm_stockarrfuncb,setparm_stockarrfunca,stockarr_byendtsp_time1sp,…
组合-超额收益率pf_excessreturnt1,:=inttodate20110630setsysparampn_dateendt,:=ndayn日期sp_time涨幅,2specstockzf3indexidreturnpf_excessreturnt,…
的收益及标准差pf_trailingreturnt1,:=inttodate20110630setsysparampn_dateendt,:=ndayn截止日sp_time涨幅,specstockzf3indexidreturnpf_trailingreturnt,…
组合-alpha%pf_alphat1,:=inttodate20110630setsysparampn_dateendt,:=ndayn日期sp_time涨幅,specstockzf3indexidreturnpf_alphat,…
回归斜率和截距sp_slopeandinterceptexp1,和截距codesetsysparampn_stockquot,quotsetsysparampn_date20181030t,nday310specallsp_slopeandinterceptclose,pn_datesp_time+0,…
组合-信息比率pf_informationratiot1,:=inttodate20110630setsysparampn_dateendt,:=ndayn日期sp_time涨幅,specstockzf3indexidreturnpf_informationratiot,…
分位数的平均值pf_quantiler,范例tcodesetsysparampn_stocksz000001,pn_date20180801t,pn_cyclecy,nday250截止日sp_time涨幅%,…
组合-跟踪误差pf_trackingerrort1,:=inttodate20110630setsysparampn_dateendt,:=ndayn日期sp_time涨幅,specstockzf3indexidreturnpf_trackingerrort,…
比特雷诺詹森pf_relativeperformancet1,:=inttodate20110630setsysparampn_dateendt,:=ndayn截止日sp_time涨幅,specstockzf3indexidreturnpf_relativeperformancet,…