市场数据 波动率热力图 组合分析工具

CAT 深度分析报告

Caterpillar Inc. | 分类： Equity Mega Cap | 年化股息率： 0.71% ($5.94) | 最后更新: 2026-04-26 | 数据区间: 1962-01-01 → 2026-04-01 (772 个月)
Quick 总览
Timeframe C-C DoR σ
(Historical)		 H-L DoR σ
(Historical)		 O-C DoR σ
(Historical)		 5Y ATRP
(Avg)		 Binomial IV
(Period)		 Yahoo IV
(Period)		 1σ 低er
(68.27%)		 1σ Upper 2σ 低er
(95.45%)		 2σ Upper
日度 1.86% 1.41% 1.57% 2.57% 2.69% 2.83% 808.74 853.45 787.27 876.72
周度 4.35% 3.58% 4.29% 6.26% 5.92% 6.23% 783.01 881.48 737.98 935.27
月度 8.48% 7.51% 8.54% 14.21% 12.33% 12.97% 734.42 939.80 649.24 1063.11
季度 14.07% 12.26% 14.06% 27.02% 21.35% 22.47% 671.04 1028.57 542.01 1273.43
Annual — — — — 42.71% 44.94% 542.01 1273.43 353.61 1951.90
Option Time Horizon — — — — 16.27% 17.12% 706.01 977.62 599.97 1150.41
Calculation Notes: Computed at 2026-04-26T02:44 UTC  |  Reference Contract: Call option expiring 2026-06-18 (53 days)  |  Spot 价格 (S): $830.79  |  Strike (K): $840.00 (first OTM call ≥ spot)  |  Observed Mid-价格: $51.2750 (Bid $49.5000 / Ask $53.0500)  |  Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury)  |  Dividend Yield (q): 0.71%  |  Binomial IV (Annual): 42.71% (CRR binomial tree, American, n=20 steps)  |  BS IV: 42.72% (European Black-Scholes)  |  Yahoo IV (Annual): 44.94% → period-scaled as σperiod = σannual·√h  |  价格 bands: Upper = S·e+σ√h, 低er = S·e−σ√h
Historical Dividend Payouts
Ex-Dividend Date Amount
2026-04-20 $1.5100
2026-01-20 $1.5100
2025-10-20 $1.5100
2025-07-21 $1.5100
2025-04-21 $1.4100
2025-01-21 $1.4100
2024-10-21 $1.4100
2024-07-22 $1.4100
2024-04-19 $1.3000
2024-01-19 $1.3000
2023-10-20 $1.3000
2023-07-19 $1.3000
2023-04-21 $1.2000
2023-01-19 $1.2000
2022-10-21 $1.2000
2022-07-19 $1.2000
2022-04-22 $1.1100
2022-01-19 $1.1100
2021-10-22 $1.1100
2021-07-19 $1.1100
2021-04-23 $1.0300
2021-01-19 $1.0300
2020-10-23 $1.0300
2020-07-17 $1.0300
2020-04-17 $1.0300
2020-01-17 $1.0300
2019-10-18 $1.0300
2019-07-19 $1.0300
2019-04-18 $0.8600
2019-01-18 $0.8600
2018-10-19 $0.8600
2018-07-19 $0.8600
2018-04-20 $0.7800
2018-01-19 $0.7800
2017-10-20 $0.7800
2017-07-18 $0.7800
2017-04-20 $0.7700
2017-01-18 $0.7700
2016-10-20 $0.7700
2016-07-18 $0.7700
2016-04-21 $0.7700
2016-01-15 $0.7700
2015-10-22 $0.7700
2015-07-16 $0.7700
2015-04-16 $0.7000
2015-01-15 $0.7000
2014-10-16 $0.7000
2014-07-17 $0.7000
2014-04-16 $0.6000
2014-01-16 $0.6000
2013-10-17 $0.6000
2013-07-18 $0.6000
2013-04-18 $0.5200
2012-12-20 $0.5200
2012-10-18 $0.5200
2012-07-18 $0.5200
2012-04-19 $0.4600
2012-01-18 $0.4600
2011-10-20 $0.4600
2011-07-18 $0.4600
2011-04-20 $0.4400
2011-01-18 $0.4400
2010-10-21 $0.4400
2010-07-16 $0.4400
2010-04-22 $0.4200
2010-01-15 $0.4200
2009-10-22 $0.4200
2009-07-16 $0.4200
2009-04-16 $0.4200
2009-01-15 $0.4200
2008-10-16 $0.4200
2008-07-17 $0.4200
2008-04-17 $0.3600
2008-01-17 $0.3600
2007-10-18 $0.3600
2007-07-18 $0.3600
2007-04-19 $0.3000
2007-01-18 $0.3000
2006-10-19 $0.3000
2006-07-18 $0.3000
2006-04-20 $0.2500
2006-01-18 $0.2500
2005-10-20 $0.2500
2005-07-20 $0.2500
2005-04-21 $0.2050
2005-01-18 $0.2050
2004-10-21 $0.2050
2004-07-16 $0.2050
2004-04-22 $0.1850
2004-01-15 $0.1850
2003-10-16 $0.1850
2003-07-17 $0.1750
2003-04-16 $0.1750
2003-01-16 $0.1750
2002-10-17 $0.1750
2002-07-18 $0.1750
2002-04-18 $0.1750
2002-01-17 $0.1750
2001-10-18 $0.1750
2001-07-18 $0.1750
2001-04-19 $0.1700
2001-01-18 $0.1700
2000-10-18 $0.1700
2000-07-18 $0.1700
2000-04-19 $0.1625
2000-01-18 $0.1625
1999-10-21 $0.1625
1999-07-16 $0.1625
1999-04-22 $0.1500
1999-01-15 $0.1500
1998-10-22 $0.1500
1998-07-16 $0.1500
1998-04-16 $0.1250
1998-01-15 $0.1250
1997-10-16 $0.1250
1997-07-17 $0.1250
1997-04-17 $0.1000
1997-01-16 $0.1000
1996-10-17 $0.1000
1996-07-18 $0.1000
1996-04-18 $0.0875
1996-01-18 $0.0875
1995-10-19 $0.0875
1995-07-18 $0.0875
1995-04-18 $0.0625
1995-01-13 $0.0625
1994-10-18 $0.0375
1994-07-14 $0.0375
1994-04-19 $0.0187
1994-01-13 $0.0187
1993-10-19 $0.0187
1993-07-14 $0.0187
1993-04-20 $0.0187
1993-01-13 $0.0187
1992-10-20 $0.0187
1992-07-14 $0.0187
1992-04-13 $0.0187
1992-01-14 $0.0187
1991-10-15 $0.0375
1991-07-16 $0.0375
1991-04-16 $0.0375
1991-01-15 $0.0375
1990-10-16 $0.0375
1990-07-16 $0.0375
1990-04-17 $0.0375
1990-01-16 $0.0375
1989-10-17 $0.0375
1989-07-14 $0.0375
1989-04-18 $0.0375
1989-01-13 $0.0375
1988-10-18 $0.0238
1988-07-14 $0.0238
1988-04-19 $0.0234
1988-01-13 $0.0234
1987-10-20 $0.0156
1987-07-14 $0.0156
1987-04-13 $0.0156
1987-01-13 $0.0156
1986-10-14 $0.0156
1986-07-15 $0.0156
1986-04-15 $0.0156
1986-01-13 $0.0156
1985-10-15 $0.0156
1985-07-16 $0.0156
1985-04-16 $0.0156
1985-01-14 $0.0156
1984-10-16 $0.0156
1984-07-16 $0.0469
1984-04-16 $0.0469
1984-01-16 $0.0469
1983-10-18 $0.0469
1983-07-14 $0.0469
1983-04-19 $0.0469
1983-01-14 $0.0469
1982-10-19 $0.0469
1982-07-14 $0.0844
1982-04-20 $0.0844
1982-01-14 $0.0844
1969-10-14 $0.0250
1969-07-08 $0.0250
1969-04-08 $0.0250
1969-01-09 $0.0250
1968-10-08 $0.0250
1968-07-09 $0.0250
1968-01-10 $0.0250
1967-10-10 $0.0250
1967-07-11 $0.0250
1967-04-11 $0.0250
1967-01-11 $0.0250
1966-10-10 $0.0250
1966-07-12 $0.0250
1966-04-11 $0.0250
1966-01-11 $0.0250
1965-10-08 $0.0208
1965-07-09 $0.0208
1965-04-14 $0.0208
1965-01-15 $0.0208
1964-10-15 $0.0167
1964-07-15 $0.0167
1964-04-15 $0.0167
1964-01-15 $0.0125
1963-10-15 $0.0125
1963-07-16 $0.0125
1963-04-16 $0.0125
1963-01-15 $0.0104
1962-10-16 $0.0104
1962-07-17 $0.0104
1962-04-16 $0.0104
1962-01-16 $0.0104
收盘-to-收盘 收益
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.02. Further, an Excess 峰度 of 5.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / Range频率ProbCum. Prob
Less than -5.53%1030.64%0.64%
-5.53% to -4.13%1671.03%1.67%
-4.13% to -2.73%5693.52%5.18%
-2.73% to -1.33%195912.10%17.29%
-1.33% to 0.06%564234.86%52.15%
0.06% to 1.46%490930.33%82.48%
1.46% to 2.86%194712.03%94.51%
2.86% to 4.26%5633.48%97.99%
4.26% to 5.66%2061.27%99.26%
Greater than 5.66%1200.74%100.00%
Standard Deviation Interval Analysis
SD低er BndUpper Bnd Actual %Normal %
±1σ -1.80%1.93% 76.30%68.27%
±2σ -3.66%3.79% 94.73%95.45%
±3σ -5.53%5.66% 98.62%99.73%
Descriptive Statistics
均值0.064%
Standard Error0.015%
中位数0.000%
Mode0.000%
Standard Deviation1.864%
Sample Variance3.475%
峰度5.57
偏度-0.02
Range36.345%
Minimum-21.622%
Maximum14.723%
Count16185
频率 Breakdown
分类Avg 收益Count概率Freq Adj 收益
正向 1.429% 7853 48.52% 0.693%
负向 -1.353% 7533 46.54% -0.630%
Zero 0.000% 799 4.94% 0.000%
Average True Range Percentage (ATRP)
Trading Days Horizon Average 日度 True Range %
5 1 Week 2.51%
20 1 Month 3.28%
60 1 Quarter 3.63%
250 1 Year 2.73%
750 3 Years 2.53%
1,250 5 Years 2.57%
2,500 10 Years 2.52%
5,000 20 Years 2.64%
12,500 50 Years 2.47%
高-to-低 收益
Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 3.33. Further, an Excess 峰度 of 30.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / Range频率ProbCum. Prob
Less than -2.00%00.00%0.00%
-2.00% to -0.94%00.00%0.00%
-0.94% to 0.12%00.00%0.00%
0.12% to 1.18%294518.19%18.19%
1.18% to 2.24%711943.98%62.18%
2.24% to 3.30%364122.49%84.67%
3.30% to 4.36%13788.51%93.19%
4.36% to 5.42%5803.58%96.77%
5.42% to 6.48%2561.58%98.35%
Greater than 6.48%2671.65%100.00%
Standard Deviation Interval Analysis
SD低er BndUpper Bnd Actual %Normal %
±1σ 0.83%3.65% 82.77%68.27%
±2σ -0.59%5.07% 95.85%95.45%
±3σ -2.00%6.48% 98.35%99.73%
Descriptive Statistics
均值2.240%
Standard Error0.011%
中位数1.919%
Mode1.266%
Standard Deviation1.413%
Sample Variance1.996%
峰度30.92
偏度3.33
Range32.312%
Minimum0.188%
Maximum32.500%
Count16186
频率 Breakdown
分类Avg 收益Count概率Freq Adj 收益
正向 2.240% 16186 100.00% 2.240%
负向 0.000% 0 0.00% 0.000%
Zero 0.000% 0 0.00% 0.000%
开盘-to-收盘 收益
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.36. Further, an Excess 峰度 of 6.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / Range频率ProbCum. Prob
Less than -4.72%1020.63%0.63%
-4.72% to -3.54%1961.21%1.84%
-3.54% to -2.36%5883.63%5.47%
-2.36% to -1.18%202012.48%17.95%
-1.18% to -0.00%475229.36%47.31%
-0.00% to 1.18%564034.84%82.16%
1.18% to 2.36%201312.44%94.59%
2.36% to 3.54%5623.47%98.07%
3.54% to 4.72%2041.26%99.33%
Greater than 4.72%1090.67%100.00%
Standard Deviation Interval Analysis
SD低er BndUpper Bnd Actual %Normal %
±1σ -1.57%1.57% 75.84%68.27%
±2σ -3.15%3.15% 94.74%95.45%
±3σ -4.72%4.72% 98.70%99.73%
Descriptive Statistics
均值-0.001%
Standard Error0.012%
中位数0.000%
Mode0.000%
Standard Deviation1.574%
Sample Variance2.477%
峰度6.62
偏度0.36
Range33.694%
Minimum-10.049%
Maximum23.645%
Count16186
频率 Breakdown
分类Avg 收益Count概率Freq Adj 收益
正向 1.206% 7546 46.62% 0.562%
负向 -1.191% 7658 47.31% -0.563%
Zero 0.000% 982 6.07% 0.000%
收盘-to-收盘 收益
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.08. Further, an Excess 峰度 of 2.30 proves the distribution possesses Fat Tails (高er Outlier Risk).
Bin Distribution Over Raw Range
Bin / Range频率ProbCum. Prob
Less than -12.73%140.42%0.42%
-12.73% to -9.47%361.07%1.49%
-9.47% to -6.21%1414.20%5.69%
-6.21% to -2.94%44813.35%19.05%
-2.94% to 0.32%105731.51%50.55%
0.32% to 3.58%100429.93%80.48%
3.58% to 6.84%45913.68%94.16%
6.84% to 10.10%1434.26%98.42%
10.10% to 13.36%300.89%99.31%
Greater than 13.36%230.69%100.00%
Standard Deviation Interval Analysis
SD低er BndUpper Bnd Actual %Normal %
±1σ -4.03%4.66% 73.08%68.27%
±2σ -8.38%9.01% 95.05%95.45%
±3σ -12.73%13.36% 98.90%99.73%
Descriptive Statistics
均值0.316%
Standard Error0.075%
中位数0.278%
Mode0.000%
Standard Deviation4.348%
Sample Variance18.909%
峰度2.30
偏度0.08
Range47.127%
Minimum-25.505%
Maximum21.622%
Count3355
频率 Breakdown
分类Avg 收益Count概率Freq Adj 收益
正向 3.421% 1744 51.98% 1.778%
负向 -3.156% 1554 46.32% -1.462%
Zero 0.000% 57 1.70% 0.000%
Average True Range Percentage (ATRP)
Weeks Horizon Average 周度 True Range %
4 1 Month 8.74%
12 1 Quarter 8.26%
52 1 Year 6.56%
156 3 Years 6.00%
260 5 Years 6.26%
520 10 Years 6.10%
1,040 20 Years 6.34%
2,600 50 Years 6.04%
高-to-低 收益
Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 2.77. Further, an Excess 峰度 of 16.32 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / Range频率ProbCum. Prob
Less than -4.71%00.00%0.00%
-4.71% to -2.02%00.00%0.00%
-2.02% to 0.66%00.00%0.00%
0.66% to 3.35%63118.80%18.80%
3.35% to 6.04%142242.37%61.17%
6.04% to 8.73%78523.39%84.56%
8.73% to 11.41%2808.34%92.91%
11.41% to 14.10%1303.87%96.78%
14.10% to 16.79%571.70%98.48%
Greater than 16.79%511.52%100.00%
Standard Deviation Interval Analysis
SD低er BndUpper Bnd Actual %Normal %
±1σ 2.46%9.62% 81.05%68.27%
±2σ -1.13%13.21% 95.83%95.45%
±3σ -4.71%16.79% 98.48%99.73%
Descriptive Statistics
均值6.039%
Standard Error0.062%
中位数5.213%
Mode4.167%
Standard Deviation3.583%
Sample Variance12.838%
峰度16.32
偏度2.77
Range42.779%
Minimum0.971%
Maximum43.750%
Count3356
频率 Breakdown
分类Avg 收益Count概率Freq Adj 收益
正向 6.039% 3356 100.00% 6.039%
负向 0.000% 0 0.00% 0.000%
Zero 0.000% 0 0.00% 0.000%
开盘-to-收盘 收益
Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.61. Further, an Excess 峰度 of 4.02 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / Range频率ProbCum. Prob
Less than -12.93%160.48%0.48%
-12.93% to -9.71%210.63%1.10%
-9.71% to -6.49%1404.17%5.27%
-6.49% to -3.28%49314.69%19.96%
-3.28% to -0.06%105931.56%51.52%
-0.06% to 3.16%101030.10%81.62%
3.16% to 6.38%42012.51%94.13%
6.38% to 9.59%1343.99%98.12%
9.59% to 12.81%411.22%99.34%
Greater than 12.81%220.66%100.00%
Standard Deviation Interval Analysis
SD低er BndUpper Bnd Actual %Normal %
±1σ -4.35%4.23% 74.05%68.27%
±2σ -8.64%8.52% 95.47%95.45%
±3σ -12.93%12.81% 98.87%99.73%
Descriptive Statistics
均值-0.059%
Standard Error0.074%
中位数-0.225%
Mode0.000%
Standard Deviation4.290%
Sample Variance18.400%
峰度4.02
偏度0.61
Range53.437%
Minimum-17.230%
Maximum36.207%
Count3356
频率 Breakdown
分类Avg 收益Count概率Freq Adj 收益
正向 3.318% 1566 46.66% 1.548%
负向 -3.111% 1734 51.67% -1.607%
Zero 0.000% 56 1.67% 0.000%
收盘-to-收盘 收益
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.12. Further, an Excess 峰度 of 1.69 proves the distribution possesses Fat Tails (高er Outlier Risk).
Bin Distribution Over Raw Range
Bin / Range频率ProbCum. Prob
Less than -24.10%30.39%0.39%
-24.10% to -17.75%60.78%1.17%
-17.75% to -11.39%273.50%4.67%
-11.39% to -5.03%13517.51%22.18%
-5.03% to 1.32%22328.92%51.10%
1.32% to 7.68%21227.50%78.60%
7.68% to 14.04%12516.21%94.81%
14.04% to 20.39%273.50%98.31%
20.39% to 26.75%70.91%99.22%
Greater than 26.75%60.78%100.00%
Standard Deviation Interval Analysis
SD低er BndUpper Bnd Actual %Normal %
±1σ -7.15%9.80% 71.60%68.27%
±2σ -15.63%18.28% 95.59%95.45%
±3σ -24.10%26.75% 98.83%99.73%
Descriptive Statistics
均值1.324%
Standard Error0.305%
中位数1.173%
Mode0.000%
Standard Deviation8.476%
Sample Variance71.847%
峰度1.69
偏度0.12
Range76.081%
Minimum-35.260%
Maximum40.821%
Count771
频率 Breakdown
分类Avg 收益Count概率Freq Adj 收益
正向 7.021% 436 56.55% 3.970%
负向 -6.144% 332 43.06% -2.646%
Zero 0.000% 3 0.39% 0.000%
Average True Range Percentage (ATRP)
Months Horizon Average 月度 True Range %
3 1 Quarter 17.42%
12 1 Year 15.63%
36 3 Years 13.90%
60 5 Years 14.21%
120 10 Years 13.57%
240 20 Years 13.83%
600 50 Years 13.30%
高-to-低 收益
Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 3.17. Further, an Excess 峰度 of 19.68 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / Range频率ProbCum. Prob
Less than -8.57%00.00%0.00%
-8.57% to -2.93%00.00%0.00%
-2.93% to 2.70%00.00%0.00%
2.70% to 8.34%13617.62%17.62%
8.34% to 13.97%33943.91%61.53%
13.97% to 19.61%17422.54%84.07%
19.61% to 25.25%759.72%93.78%
25.25% to 30.88%303.89%97.67%
30.88% to 36.52%60.78%98.45%
Greater than 36.52%121.55%100.00%
Standard Deviation Interval Analysis
SD低er BndUpper Bnd Actual %Normal %
±1σ 6.46%21.49% 82.64%68.27%
±2σ -1.05%29.00% 96.76%95.45%
±3σ -8.57%36.52% 98.45%99.73%
Descriptive Statistics
均值13.975%
Standard Error0.270%
中位数12.402%
Mode15.615%
Standard Deviation7.515%
Sample Variance56.473%
峰度19.68
偏度3.17
Range81.704%
Minimum3.053%
Maximum84.757%
Count772
频率 Breakdown
分类Avg 收益Count概率Freq Adj 收益
正向 13.975% 772 100.00% 13.975%
负向 0.000% 0 0.00% 0.000%
Zero 0.000% 0 0.00% 0.000%
开盘-to-收盘 收益
Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.96. Further, an Excess 峰度 of 4.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / Range频率ProbCum. Prob
Less than -26.01%10.13%0.13%
-26.01% to -19.60%50.65%0.78%
-19.60% to -13.19%232.98%3.76%
-13.19% to -6.79%14518.78%22.54%
-6.79% to -0.38%24431.61%54.15%
-0.38% to 6.03%20526.55%80.70%
6.03% to 12.44%10813.99%94.69%
12.44% to 18.84%263.37%98.06%
18.84% to 25.25%91.17%99.22%
Greater than 25.25%60.78%100.00%
Standard Deviation Interval Analysis
SD低er BndUpper Bnd Actual %Normal %
±1σ -8.92%8.16% 73.58%68.27%
±2σ -17.46%16.71% 95.85%95.45%
±3σ -26.01%25.25% 99.09%99.73%
Descriptive Statistics
均值-0.378%
Standard Error0.307%
中位数-1.093%
Mode0.000%
Standard Deviation8.543%
Sample Variance72.980%
峰度4.28
偏度0.96
Range81.749%
Minimum-28.058%
Maximum53.691%
Count772
频率 Breakdown
分类Avg 收益Count概率Freq Adj 收益
正向 6.881% 343 44.43% 3.057%
负向 -6.239% 425 55.05% -3.435%
Zero 0.000% 4 0.52% 0.000%
收盘-to-收盘 收益
Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.16. Further, an Excess 峰度 of 0.07 proves the distribution possesses Normal Tails (Mesokurtic).
Bin Distribution Over Raw Range
Bin / Range频率ProbCum. Prob
Less than -38.31%10.39%0.39%
-38.31% to -27.76%00.00%0.39%
-27.76% to -17.21%135.06%5.45%
-17.21% to -6.66%4417.12%22.57%
-6.66% to 3.89%7027.24%49.81%
3.89% to 14.44%7328.40%78.21%
14.44% to 24.99%3614.01%92.22%
24.99% to 35.54%176.61%98.83%
35.54% to 46.09%20.78%99.61%
Greater than 46.09%10.39%100.00%
Standard Deviation Interval Analysis
SD低er BndUpper Bnd Actual %Normal %
±1σ -10.18%17.96% 68.09%68.27%
±2σ -24.25%32.02% 96.89%95.45%
±3σ -38.31%46.09% 99.22%99.73%
Descriptive Statistics
均值3.889%
Standard Error0.878%
中位数3.898%
Mode-8.878%
Standard Deviation14.068%
Sample Variance197.922%
峰度0.07
偏度0.16
Range93.853%
Minimum-44.498%
Maximum49.355%
Count257
频率 Breakdown
分类Avg 收益Count概率Freq Adj 收益
正向 14.120% 142 55.25% 7.802%
负向 -8.744% 115 44.75% -3.913%
Zero 0.000% 0 0.00% 0.000%
Average True Range Percentage (ATRP)
Quarters Horizon Average 季度 True Range %
4 1 Year 35.08%
12 3 Years 28.94%
20 5 Years 27.02%
40 10 Years 25.12%
80 20 Years 24.84%
200 50 Years 23.11%
高-to-低 收益
Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 3.49. Further, an Excess 峰度 of 24.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / Range频率ProbCum. Prob
Less than -11.35%00.00%0.00%
-11.35% to -2.15%00.00%0.00%
-2.15% to 7.04%00.00%0.00%
7.04% to 16.23%4316.67%16.67%
16.23% to 25.42%11143.02%59.69%
25.42% to 34.62%6324.42%84.11%
34.62% to 43.81%2810.85%94.96%
43.81% to 53.00%72.71%97.67%
53.00% to 62.19%31.16%98.84%
Greater than 62.19%31.16%100.00%
Standard Deviation Interval Analysis
SD低er BndUpper Bnd Actual %Normal %
±1σ 13.17%37.68% 82.95%68.27%
±2σ 0.91%49.94% 97.29%95.45%
±3σ -11.35%62.19% 98.84%99.73%
Descriptive Statistics
均值25.423%
Standard Error0.763%
中位数23.230%
Mode20.000%
Standard Deviation12.257%
Sample Variance150.225%
峰度24.21
偏度3.49
Range125.158%
Minimum8.019%
Maximum133.177%
Count258
频率 Breakdown
分类Avg 收益Count概率Freq Adj 收益
正向 25.423% 258 100.00% 25.423%
负向 0.000% 0 0.00% 0.000%
Zero 0.000% 0 0.00% 0.000%
开盘-to-收盘 收益
Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.01. Further, an Excess 峰度 of 3.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).
Bin Distribution Over Raw Range
Bin / Range频率ProbCum. Prob
Less than -43.54%00.00%0.00%
-43.54% to -32.99%00.00%0.00%
-32.99% to -22.44%83.10%3.10%
-22.44% to -11.89%5220.16%23.26%
-11.89% to -1.35%7428.68%51.94%
-1.35% to 9.20%6926.74%78.68%
9.20% to 19.75%3814.73%93.41%
19.75% to 30.30%135.04%98.45%
30.30% to 40.85%31.16%99.61%
Greater than 40.85%10.39%100.00%
Standard Deviation Interval Analysis
SD低er BndUpper Bnd Actual %Normal %
±1σ -15.41%12.72% 70.16%68.27%
±2σ -29.47%26.78% 97.67%95.45%
±3σ -43.54%40.85% 99.61%99.73%
Descriptive Statistics
均值-1.346%
Standard Error0.876%
中位数-2.665%
Mode-32.524%
Standard Deviation14.064%
Sample Variance197.783%
峰度3.90
偏度1.01
Range114.906%
Minimum-32.524%
Maximum82.382%
Count258
频率 Breakdown
分类Avg 收益Count概率Freq Adj 收益
正向 10.725% 119 46.12% 4.947%
负向 -11.681% 139 53.88% -6.293%
Zero 0.000% 0 0.00% 0.000%