CI 资产分析 - DOR 信号与波动率

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	2.02%	1.94%	1.74%	2.34%	2.21%	2.27%	269.62	281.80	263.72	288.09
周度	4.42%	5.36%	4.51%	5.46%	4.86%	5.01%	262.55	289.38	250.09	303.80
月度	8.75%	14.78%	10.27%	12.00%	10.13%	10.42%	249.09	305.01	225.11	337.52
季度	15.21%	29.91%	19.67%	20.45%	17.54%	18.05%	231.30	328.48	194.09	391.46
Annual	—	—	—	—	35.08%	36.11%	194.09	391.46	136.66	555.94
Option Time Horizon	—	—	—	—	13.37%	13.76%	241.15	315.06	210.98	360.12

Calculation Notes: Computed at 2026-04-26T02:45 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $275.64 | Strike (K): $280.00 (first OTM call ≥ spot) | Observed Mid-价格: $13.0500 (Bid $12.8000 / Ask $13.3000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 2.16% | Binomial IV (Annual): 35.08% (CRR binomial tree, American, n=20 steps) | BS IV: 35.31% (European Black-Scholes) | Yahoo IV (Annual): 36.11% → period-scaled as σ_period = σ_annual·√h | 价格 bands: Upper = S·e^+σ√h, 低er = S·e^−σ√h

Historical Dividend Payouts

Ex-Dividend Date	Amount
2026-03-05	$1.5600
2025-12-04	$1.5100
2025-09-04	$1.5100
2025-06-03	$1.5100
2025-03-05	$1.5100
2024-12-04	$1.4000
2024-09-04	$1.4000
2024-06-04	$1.4000
2024-03-05	$1.4000
2023-12-05	$1.2300
2023-09-05	$1.2300
2023-06-06	$1.2300
2023-03-07	$1.2300
2022-12-05	$1.1200
2022-09-06	$1.1200
2022-06-07	$1.1200
2022-03-08	$1.1200
2021-12-06	$1.0000
2021-09-07	$1.0000
2021-06-07	$1.0000
2021-03-09	$1.0000
2020-03-09	$0.0400
2019-03-08	$0.0400
2018-03-09	$0.0400
2017-03-08	$0.0400
2016-03-09	$0.0400
2015-03-10	$0.0400
2014-03-10	$0.0400
2013-03-08	$0.0400
2012-03-08	$0.0400
2011-03-09	$0.0400
2010-03-09	$0.0400
2009-03-09	$0.0400
2008-03-07	$0.0400
2007-12-11	$0.0100
2007-09-10	$0.0100
2007-06-08	$0.0100
2007-03-09	$0.0083
2006-12-07	$0.0083
2006-09-07	$0.0083
2006-06-08	$0.0083
2006-03-09	$0.0083
2005-12-08	$0.0083
2005-09-08	$0.0083
2005-06-09	$0.0083
2005-03-10	$0.0083
2004-12-09	$0.0083
2004-09-09	$0.0083
2004-06-10	$0.0083
2004-03-11	$0.1100
2003-12-09	$0.1100
2003-09-09	$0.1100
2003-06-06	$0.1100
2003-03-07	$0.1100
2002-12-11	$0.1100
2002-09-10	$0.1100
2002-06-10	$0.1100
2002-03-11	$0.1100
2001-12-13	$0.1067
2001-09-10	$0.1067
2001-06-08	$0.1067
2001-03-09	$0.1067
2000-12-20	$0.1033
2000-09-08	$0.1033
2000-06-08	$0.1033
2000-03-09	$0.1033
1999-12-21	$0.1000
1999-09-08	$0.1000
1999-06-09	$0.1000
1999-03-10	$0.1000
1998-12-22	$0.0960
1998-09-09	$0.0960
1998-06-10	$0.0960
1998-03-11	$0.0956
1997-12-10	$0.0922
1997-09-10	$0.0922
1997-06-10	$0.0922
1997-03-11	$0.0922
1996-12-11	$0.0889
1996-09-10	$0.0889
1996-06-10	$0.0889
1996-03-11	$0.0889
1995-12-11	$0.0844
1995-09-08	$0.0844
1995-06-08	$0.0844
1995-03-07	$0.0844
1994-12-07	$0.0844
1994-09-06	$0.0844
1994-06-06	$0.0844
1994-03-07	$0.0844
1993-12-07	$0.0844
1993-09-03	$0.0844
1993-06-07	$0.0844
1993-03-08	$0.0844
1992-12-07	$0.0844
1992-09-04	$0.0844
1992-06-08	$0.0844
1992-03-09	$0.0844
1991-12-09	$0.0844
1991-09-06	$0.0844
1991-06-06	$0.0844
1991-03-07	$0.0844
1990-12-07	$0.0844
1990-09-06	$0.0844
1990-06-06	$0.0844
1990-03-07	$0.0844
1989-12-07	$0.0822
1989-09-06	$0.0822
1989-06-06	$0.0822
1989-03-07	$0.0822
1988-12-07	$0.0822
1988-09-06	$0.0822
1988-06-06	$0.1252
1988-03-07	$0.0822
1987-12-07	$0.0778
1987-09-04	$0.0778
1987-06-08	$0.0778
1987-03-09	$0.0778
1986-12-08	$0.0722
1986-09-08	$0.0722
1986-06-06	$0.0722
1986-03-07	$0.0722
1985-12-09	$0.0722
1985-09-06	$0.0722
1985-06-06	$0.0722
1985-03-07	$0.0722
1984-12-07	$0.0722
1984-09-06	$0.0722
1984-06-06	$0.0722
1984-03-07	$0.0722
1983-12-05	$0.0689
1983-09-02	$0.0689
1983-06-06	$0.0689
1983-03-07	$0.0689
1982-12-07	$0.0639
1982-09-07	$0.0639
1982-06-07	$0.0639

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Left Skewed (负向 Asymmetry) with a 偏度 factor of -0.82. Further, an Excess 峰度 of 29.18 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.00%	79	0.71%	0.71%
-6.00% to -4.48%	82	0.74%	1.45%
-4.48% to -2.97%	314	2.83%	4.28%
-2.97% to -1.45%	1184	10.66%	14.94%
-1.45% to 0.07%	3963	35.69%	50.63%
0.07% to 1.58%	3746	33.73%	84.36%
1.58% to 3.10%	1253	11.28%	95.64%
3.10% to 4.61%	322	2.90%	98.54%
4.61% to 6.13%	92	0.83%	99.37%
Greater than 6.13%	70	0.63%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.96%	2.09%	80.68%	68.27%
±2σ	-3.98%	4.11%	95.93%	95.45%
±3σ	-6.00%	6.13%	98.66%	99.73%

Descriptive Statistics

均值	0.065%
Standard Error	0.019%
中位数	0.030%
Mode	0.000%
Standard Deviation	2.022%
Sample Variance	4.088%
峰度	29.18
偏度	-0.82
Range	65.364%
Minimum	-41.824%
Maximum	23.540%
Count	11105

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.373%	5607	50.49%	0.693%
负向	-1.356%	5150	46.38%	-0.629%
Zero	0.000%	348	3.13%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	2.31%
20	1 Month	2.40%
60	1 Quarter	2.64%
250	1 Year	2.52%
750	3 Years	2.35%
1,250	5 Years	2.34%
2,500	10 Years	2.46%
5,000	20 Years	2.75%
12,500	50 Years	2.43%

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 10.28. Further, an Excess 峰度 of 311.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.51%	0	0.00%	0.00%
-3.51% to -2.05%	0	0.00%	0.00%
-2.05% to -0.59%	0	0.00%	0.00%
-0.59% to 0.86%	810	7.29%	7.29%
0.86% to 2.32%	6424	57.84%	65.14%
2.32% to 3.78%	2620	23.59%	88.73%
3.78% to 5.23%	732	6.59%	95.32%
5.23% to 6.69%	257	2.31%	97.63%
6.69% to 8.15%	101	0.91%	98.54%
Greater than 8.15%	162	1.46%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.38%	4.26%	91.82%	68.27%
±2σ	-1.56%	6.20%	97.14%	95.45%
±3σ	-3.51%	8.15%	98.54%	99.73%

Descriptive Statistics

均值	2.320%
Standard Error	0.018%
中位数	1.891%
Mode	1.389%
Standard Deviation	1.942%
Sample Variance	3.772%
峰度	311.56
偏度	10.28
Range	83.944%
Minimum	0.170%
Maximum	84.114%
Count	11106

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.320%	11106	100.00%	2.320%
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 1.14. Further, an Excess 峰度 of 22.68 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.22%	70	0.63%	0.63%
-5.22% to -3.92%	83	0.75%	1.38%
-3.92% to -2.62%	350	3.15%	4.53%
-2.62% to -1.32%	1308	11.78%	16.31%
-1.32% to -0.02%	3660	32.96%	49.26%
-0.02% to 1.28%	3901	35.13%	84.39%
1.28% to 2.59%	1226	11.04%	95.43%
2.59% to 3.89%	338	3.04%	98.47%
3.89% to 5.19%	92	0.83%	99.30%
Greater than 5.19%	78	0.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.75%	1.72%	78.90%	68.27%
±2σ	-3.49%	3.45%	95.76%	95.45%
±3σ	-5.22%	5.19%	98.67%	99.73%

Descriptive Statistics

均值	-0.017%
Standard Error	0.016%
中位数	0.000%
Mode	0.000%
Standard Deviation	1.735%
Sample Variance	3.009%
峰度	22.68
偏度	1.14
Range	48.109%
Minimum	-16.145%
Maximum	31.964%
Count	11106

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.221%	5204	46.86%	0.572%
负向	-1.192%	5496	49.49%	-0.590%
Zero	0.000%	406	3.66%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.10. Further, an Excess 峰度 of 9.14 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.95%	21	0.91%	0.91%
-12.95% to -9.63%	25	1.09%	2.00%
-9.63% to -6.32%	62	2.70%	4.70%
-6.32% to -3.00%	264	11.48%	16.18%
-3.00% to 0.31%	771	33.54%	49.72%
0.31% to 3.62%	754	32.80%	82.51%
3.62% to 6.94%	295	12.83%	95.35%
6.94% to 10.25%	76	3.31%	98.65%
10.25% to 13.57%	15	0.65%	99.30%
Greater than 13.57%	16	0.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.11%	4.73%	78.73%	68.27%
±2σ	-8.53%	9.15%	95.39%	95.45%
±3σ	-12.95%	13.57%	98.39%	99.73%

Descriptive Statistics

均值	0.309%
Standard Error	0.092%
中位数	0.333%
Mode	0.000%
Standard Deviation	4.419%
Sample Variance	19.530%
峰度	9.14
偏度	-0.10
Range	76.571%
Minimum	-39.511%
Maximum	37.060%
Count	2299

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.160%	1231	53.55%	1.692%
负向	-3.047%	1044	45.41%	-1.384%
Zero	0.000%	24	1.04%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	5.37%
12	1 Quarter	6.12%
52	1 Year	5.84%
156	3 Years	5.56%
260	5 Years	5.46%
520	10 Years	5.77%
1,040	20 Years	6.31%
2,600	50 Years	5.84%

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 9.24. Further, an Excess 峰度 of 162.35 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.00%	0	0.00%	0.00%
-10.00% to -5.98%	0	0.00%	0.00%
-5.98% to -1.96%	0	0.00%	0.00%
-1.96% to 2.06%	93	4.04%	4.04%
2.06% to 6.07%	1417	61.61%	65.65%
6.07% to 10.09%	555	24.13%	89.78%
10.09% to 14.11%	138	6.00%	95.78%
14.11% to 18.13%	47	2.04%	97.83%
18.13% to 22.15%	21	0.91%	98.74%
Greater than 22.15%	29	1.26%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.72%	11.43%	93.00%	68.27%
±2σ	-4.64%	16.79%	97.22%	95.45%
±3σ	-10.00%	22.15%	98.74%	99.73%

Descriptive Statistics

均值	6.074%
Standard Error	0.112%
中位数	4.898%
Mode	3.125%
Standard Deviation	5.358%
Sample Variance	28.707%
峰度	162.35
偏度	9.24
Range	127.958%
Minimum	0.963%
Maximum	128.921%
Count	2300

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.074%	2300	100.00%	6.074%
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 2.14. Further, an Excess 峰度 of 24.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.56%	13	0.57%	0.57%
-13.56% to -10.18%	8	0.35%	0.91%
-10.18% to -6.80%	55	2.39%	3.30%
-6.80% to -3.42%	305	13.26%	16.57%
-3.42% to -0.04%	830	36.09%	52.65%
-0.04% to 3.35%	758	32.96%	85.61%
3.35% to 6.73%	233	10.13%	95.74%
6.73% to 10.11%	49	2.13%	97.87%
10.11% to 13.49%	21	0.91%	98.78%
Greater than 13.49%	28	1.22%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.54%	4.47%	80.04%	68.27%
±2σ	-9.05%	8.98%	95.87%	95.45%
±3σ	-13.56%	13.49%	98.22%	99.73%

Descriptive Statistics

均值	-0.035%
Standard Error	0.094%
中位数	-0.246%
Mode	0.000%
Standard Deviation	4.508%
Sample Variance	20.325%
峰度	24.45
偏度	2.14
Range	90.447%
Minimum	-25.102%
Maximum	65.345%
Count	2300

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.236%	1058	46.00%	1.489%
负向	-2.891%	1212	52.70%	-1.523%
Zero	0.000%	30	1.30%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Left Skewed (负向 Asymmetry) with a 偏度 factor of -0.63. Further, an Excess 峰度 of 4.74 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.91%	3	0.57%	0.57%
-24.91% to -18.35%	4	0.76%	1.32%
-18.35% to -11.79%	23	4.35%	5.67%
-11.79% to -5.23%	72	13.61%	19.28%
-5.23% to 1.33%	155	29.30%	48.58%
1.33% to 7.89%	173	32.70%	81.29%
7.89% to 14.45%	73	13.80%	95.09%
14.45% to 21.01%	20	3.78%	98.87%
21.01% to 27.57%	4	0.76%	99.62%
Greater than 27.57%	2	0.38%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.42%	10.07%	72.78%	68.27%
±2σ	-16.17%	18.82%	95.84%	95.45%
±3σ	-24.91%	27.57%	99.05%	99.73%

Descriptive Statistics

均值	1.328%
Standard Error	0.380%
中位数	1.606%
Mode	-6.882%
Standard Deviation	8.747%
Sample Variance	76.510%
峰度	4.74
偏度	-0.63
Range	91.172%
Minimum	-52.031%
Maximum	39.141%
Count	529

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.803%	308	58.22%	3.961%
负向	-6.302%	221	41.78%	-2.633%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	10.13%
12	1 Year	13.57%
36	3 Years	12.48%
60	5 Years	12.00%
120	10 Years	12.54%
240	20 Years	13.49%
600	50 Years	12.85%

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 10.75. Further, an Excess 峰度 of 157.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -30.01%	0	0.00%	0.00%
-30.01% to -18.93%	0	0.00%	0.00%
-18.93% to -7.84%	0	0.00%	0.00%
-7.84% to 3.24%	0	0.00%	0.00%
3.24% to 14.33%	356	67.17%	67.17%
14.33% to 25.41%	139	26.23%	93.40%
25.41% to 36.50%	26	4.91%	98.30%
36.50% to 47.58%	2	0.38%	98.68%
47.58% to 58.67%	3	0.57%	99.25%
Greater than 58.67%	4	0.75%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-0.45%	29.11%	96.04%	68.27%
±2σ	-15.23%	43.89%	98.68%	95.45%
±3σ	-30.01%	58.67%	99.25%	99.73%

Descriptive Statistics

均值	14.328%
Standard Error	0.642%
中位数	11.985%
Mode	12.000%
Standard Deviation	14.780%
Sample Variance	218.458%
峰度	157.01
偏度	10.75
Range	254.869%
Minimum	4.500%
Maximum	259.369%
Count	530

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.328%	530	100.00%	14.328%
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 4.18. Further, an Excess 峰度 of 39.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -31.06%	0	0.00%	0.00%
-31.06% to -23.36%	1	0.19%	0.19%
-23.36% to -15.66%	8	1.51%	1.70%
-15.66% to -7.96%	71	13.40%	15.09%
-7.96% to -0.26%	216	40.75%	55.85%
-0.26% to 7.44%	154	29.06%	84.91%
7.44% to 15.14%	57	10.75%	95.66%
15.14% to 22.84%	16	3.02%	98.68%
22.84% to 30.54%	4	0.75%	99.43%
Greater than 30.54%	3	0.57%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.53%	10.00%	82.26%	68.27%
±2σ	-20.79%	20.27%	97.92%	95.45%
±3σ	-31.06%	30.54%	99.43%	99.73%

Descriptive Statistics

均值	-0.262%
Standard Error	0.446%
中位数	-1.341%
Mode	-6.196%
Standard Deviation	10.266%
Sample Variance	105.387%
峰度	39.75
偏度	4.18
Range	139.964%
Minimum	-30.148%
Maximum	109.816%
Count	530

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.344%	228	43.02%	3.159%
负向	-6.024%	301	56.79%	-3.421%
Zero	0.000%	1	0.19%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Left Skewed (负向 Asymmetry) with a 偏度 factor of -0.71. Further, an Excess 峰度 of 2.04 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -41.50%	2	1.14%	1.14%
-41.50% to -30.10%	0	0.00%	1.14%
-30.10% to -18.69%	9	5.11%	6.25%
-18.69% to -7.29%	22	12.50%	18.75%
-7.29% to 4.12%	48	27.27%	46.02%
4.12% to 15.52%	56	31.82%	77.84%
15.52% to 26.92%	32	18.18%	96.02%
26.92% to 38.33%	6	3.41%	99.43%
38.33% to 49.73%	1	0.57%	100.00%
Greater than 49.73%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.09%	19.32%	72.16%	68.27%
±2σ	-26.30%	34.52%	96.59%	95.45%
±3σ	-41.50%	49.73%	98.86%	99.73%

Descriptive Statistics

均值	4.115%
Standard Error	1.146%
中位数	5.136%
Mode	-59.675%
Standard Deviation	15.205%
Sample Variance	231.194%
峰度	2.04
偏度	-0.71
Range	103.764%
Minimum	-59.675%
Maximum	44.089%
Count	176

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.727%	106	60.23%	8.267%
负向	-10.441%	70	39.77%	-4.153%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	22.02%
12	3 Years	20.79%
20	5 Years	20.45%
40	10 Years	21.53%
80	20 Years	23.56%
200	50 Years	23.17%

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 8.02. Further, an Excess 峰度 of 79.05 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -61.70%	0	0.00%	0.00%
-61.70% to -39.27%	0	0.00%	0.00%
-39.27% to -16.84%	0	0.00%	0.00%
-16.84% to 5.59%	0	0.00%	0.00%
5.59% to 28.02%	124	70.06%	70.06%
28.02% to 50.45%	46	25.99%	96.05%
50.45% to 72.88%	2	1.13%	97.18%
72.88% to 95.31%	2	1.13%	98.31%
95.31% to 117.74%	0	0.00%	98.31%
Greater than 117.74%	3	1.69%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.89%	57.92%	97.18%	68.27%
±2σ	-31.80%	87.83%	97.74%	95.45%
±3σ	-61.70%	117.74%	98.31%	99.73%

Descriptive Statistics

均值	28.017%
Standard Error	2.248%
中位数	21.432%
Mode	10.049%
Standard Deviation	29.907%
Sample Variance	894.430%
峰度	79.05
偏度	8.02
Range	339.442%
Minimum	10.049%
Maximum	349.491%
Count	177

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	28.017%	177	100.00%	28.017%
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 4.06. Further, an Excess 峰度 of 26.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -59.78%	0	0.00%	0.00%
-59.78% to -45.02%	0	0.00%	0.00%
-45.02% to -30.27%	1	0.56%	0.56%
-30.27% to -15.52%	25	14.12%	14.69%
-15.52% to -0.77%	80	45.20%	59.89%
-0.77% to 13.98%	50	28.25%	88.14%
13.98% to 28.73%	15	8.47%	96.61%
28.73% to 43.48%	4	2.26%	98.87%
43.48% to 58.23%	0	0.00%	98.87%
Greater than 58.23%	2	1.13%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.44%	18.90%	86.44%	68.27%
±2σ	-40.11%	38.56%	97.74%	95.45%
±3σ	-59.78%	58.23%	98.87%	99.73%

Descriptive Statistics

均值	-0.772%
Standard Error	1.478%
中位数	-4.337%
Mode	-30.458%
Standard Deviation	19.668%
Sample Variance	386.825%
峰度	26.49
偏度	4.06
Range	179.490%
Minimum	-30.458%
Maximum	149.032%
Count	177

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.433%	71	40.11%	5.790%
负向	-10.956%	106	59.89%	-6.561%
Zero	0.000%	0	0.00%	0.000%

CI 深度分析报告