DJI 资产分析 - DOR 信号与波动率

Timeframe	C-C DoR σ (Historical)	H-L DoR σ (Historical)	O-C DoR σ (Historical)	5Y ATRP (Avg)
日度	1.09%	0.92%	1.02%	1.23%
周度	2.36%	2.24%	2.35%	2.91%
月度	4.18%	4.68%	4.25%	6.36%
季度	6.37%	7.88%	6.34%	10.57%
Annual	—	—	—	—
Option Time Horizon	—	—	—	—

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.14. Further, an Excess 峰度 of 12.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.25%	67	0.78%	0.78%
-3.25% to -2.43%	94	1.09%	1.86%
-2.43% to -1.60%	287	3.32%	5.19%
-1.60% to -0.78%	890	10.30%	15.49%
-0.78% to 0.04%	2881	33.35%	48.84%
0.04% to 0.86%	3069	35.53%	84.37%
0.86% to 1.68%	978	11.32%	95.69%
1.68% to 2.50%	243	2.81%	98.51%
2.50% to 3.32%	74	0.86%	99.36%
Greater than 3.32%	55	0.64%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.06%	1.13%	78.99%	68.27%
±2σ	-2.15%	2.23%	95.40%	95.45%
±3σ	-3.25%	3.32%	98.59%	99.73%

Descriptive Statistics

均值	0.038%
Standard Error	0.012%
中位数	0.055%
Mode	-0.003%
Standard Deviation	1.095%
Sample Variance	1.199%
峰度	12.70
偏度	-0.14
Range	24.292%
Minimum	-12.927%
Maximum	11.365%
Count	8638

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	0.719%	4611	53.38%	0.384%
负向	-0.745%	4015	46.48%	-0.346%
Zero	0.000%	12	0.14%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	1.01%
20	1 Month	1.35%
60	1 Quarter	1.43%
250	1 Year	1.13%
750	3 Years	1.10%
1,250	5 Years	1.23%
2,500	10 Years	1.22%
5,000	20 Years	1.29%
12,500	50 Years	1.28%

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 3.57. Further, an Excess 峰度 of 22.98 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -1.50%	0	0.00%	0.00%
-1.50% to -0.81%	0	0.00%	0.00%
-0.81% to -0.12%	0	0.00%	0.00%
-0.12% to 0.57%	1220	14.12%	14.12%
0.57% to 1.26%	4302	49.80%	63.92%
1.26% to 1.94%	1914	22.16%	86.07%
1.94% to 2.63%	690	7.99%	94.06%
2.63% to 3.32%	270	3.13%	97.19%
3.32% to 4.01%	93	1.08%	98.26%
Greater than 4.01%	150	1.74%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.34%	2.17%	87.72%	68.27%
±2σ	-0.58%	3.09%	96.46%	95.45%
±3σ	-1.50%	4.01%	98.26%	99.73%

Descriptive Statistics

均值	1.256%
Standard Error	0.010%
中位数	1.029%
Mode	0.898%
Standard Deviation	0.917%
Sample Variance	0.841%
峰度	22.98
偏度	3.57
Range	12.757%
Minimum	0.167%
Maximum	12.924%
Count	8639

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.256%	8639	100.00%	1.256%
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 0.30. Further, an Excess 峰度 of 8.68 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.09%	58	0.67%	0.67%
-3.09% to -2.32%	68	0.79%	1.46%
-2.32% to -1.56%	254	2.94%	4.40%
-1.56% to -0.79%	987	11.42%	15.82%
-0.79% to -0.02%	3141	36.36%	52.18%
-0.02% to 0.74%	2758	31.92%	84.11%
0.74% to 1.51%	887	10.27%	94.37%
1.51% to 2.28%	312	3.61%	97.99%
2.28% to 3.04%	95	1.10%	99.09%
Greater than 3.04%	79	0.91%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.05%	1.00%	78.42%	68.27%
±2σ	-2.07%	2.02%	95.13%	95.45%
±3σ	-3.09%	3.04%	98.41%	99.73%

Descriptive Statistics

均值	-0.024%
Standard Error	0.011%
中位数	-0.055%
Mode	0.050%
Standard Deviation	1.022%
Sample Variance	1.045%
峰度	8.68
偏度	0.30
Range	18.295%
Minimum	-9.855%
Maximum	8.440%
Count	8639

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	0.718%	4012	46.44%	0.333%
负向	-0.670%	4615	53.42%	-0.358%
Zero	0.000%	12	0.14%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.06. Further, an Excess 峰度 of 7.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.91%	17	0.95%	0.95%
-6.91% to -5.13%	17	0.95%	1.90%
-5.13% to -3.36%	62	3.46%	5.36%
-3.36% to -1.59%	201	11.23%	16.59%
-1.59% to 0.18%	568	31.73%	48.32%
0.18% to 1.95%	622	34.75%	83.07%
1.95% to 3.72%	224	12.51%	95.59%
3.72% to 5.50%	54	3.02%	98.60%
5.50% to 7.27%	12	0.67%	99.27%
Greater than 7.27%	13	0.73%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.18%	2.54%	77.15%	68.27%
±2σ	-4.54%	4.91%	95.42%	95.45%
±3σ	-6.91%	7.27%	98.32%	99.73%

Descriptive Statistics

均值	0.181%
Standard Error	0.056%
中位数	0.234%
Mode	-1.664%
Standard Deviation	2.362%
Sample Variance	5.581%
峰度	7.13
偏度	-0.06
Range	35.448%
Minimum	-15.356%
Maximum	20.092%
Count	1790

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.643%	997	55.70%	0.915%
负向	-1.660%	792	44.25%	-0.734%
Zero	0.000%	1	0.06%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	3.29%
12	1 Quarter	3.37%
52	1 Year	2.56%
156	3 Years	2.61%
260	5 Years	2.91%
520	10 Years	2.94%
1,040	20 Years	3.08%
2,600	50 Years	3.08%

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 21.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.57%	0	0.00%	0.00%
-3.57% to -1.90%	0	0.00%	0.00%
-1.90% to -0.22%	0	0.00%	0.00%
-0.22% to 1.46%	235	13.12%	13.12%
1.46% to 3.14%	912	50.92%	64.04%
3.14% to 4.82%	406	22.67%	86.71%
4.82% to 6.49%	132	7.37%	94.08%
6.49% to 8.17%	51	2.85%	96.93%
8.17% to 9.85%	17	0.95%	97.88%
Greater than 9.85%	38	2.12%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.90%	5.37%	88.61%	68.27%
±2σ	-1.34%	7.61%	96.15%	95.45%
±3σ	-3.57%	9.85%	97.88%	99.73%

Descriptive Statistics

均值	3.137%
Standard Error	0.053%
中位数	2.546%
Mode	1.712%
Standard Deviation	2.237%
Sample Variance	5.006%
峰度	21.45
偏度	3.49
Range	27.907%
Minimum	0.530%
Maximum	28.437%
Count	1791

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.137%	1791	100.00%	3.137%
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 1.00. Further, an Excess 峰度 of 7.98 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.18%	8	0.45%	0.45%
-7.18% to -5.41%	15	0.84%	1.28%
-5.41% to -3.64%	50	2.79%	4.08%
-3.64% to -1.88%	237	13.23%	17.31%
-1.88% to -0.11%	636	35.51%	52.82%
-0.11% to 1.65%	554	30.93%	83.75%
1.65% to 3.42%	194	10.83%	94.58%
3.42% to 5.19%	60	3.35%	97.93%
5.19% to 6.95%	18	1.01%	98.94%
Greater than 6.95%	19	1.06%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.47%	2.24%	77.50%	68.27%
±2σ	-4.82%	4.60%	95.42%	95.45%
±3σ	-7.18%	6.95%	98.49%	99.73%

Descriptive Statistics

均值	-0.112%
Standard Error	0.056%
中位数	-0.213%
Mode	-0.104%
Standard Deviation	2.355%
Sample Variance	5.545%
峰度	7.98
偏度	1.00
Range	33.367%
Minimum	-12.244%
Maximum	21.123%
Count	1791

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.724%	790	44.11%	0.760%
负向	-1.561%	1001	55.89%	-0.872%
Zero	0.000%	0	0.00%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.46. Further, an Excess 峰度 of 1.21 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.78%	4	0.97%	0.97%
-11.78% to -8.64%	7	1.70%	2.68%
-8.64% to -5.51%	13	3.16%	5.84%
-5.51% to -2.38%	55	13.38%	19.22%
-2.38% to 0.75%	110	26.76%	45.99%
0.75% to 3.88%	140	34.06%	80.05%
3.88% to 7.02%	57	13.87%	93.92%
7.02% to 10.15%	20	4.87%	98.78%
10.15% to 13.28%	4	0.97%	99.76%
Greater than 13.28%	1	0.24%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.42%	4.93%	70.56%	68.27%
±2σ	-7.60%	9.11%	95.38%	95.45%
±3σ	-11.78%	13.28%	98.78%	99.73%

Descriptive Statistics

均值	0.753%
Standard Error	0.206%
中位数	1.089%
Mode	-5.074%
Standard Deviation	4.176%
Sample Variance	17.440%
峰度	1.21
偏度	-0.46
Range	29.083%
Minimum	-15.132%
Maximum	13.951%
Count	411

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.166%	261	63.50%	2.011%
负向	-3.446%	150	36.50%	-1.258%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	6.83%
12	1 Year	5.16%
36	3 Years	5.68%
60	5 Years	6.36%
120	10 Years	6.61%
240	20 Years	6.67%
600	50 Years	6.64%

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 3.63. Further, an Excess 峰度 of 21.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.06%	0	0.00%	0.00%
-7.06% to -3.54%	0	0.00%	0.00%
-3.54% to -0.03%	0	0.00%	0.00%
-0.03% to 3.48%	48	11.65%	11.65%
3.48% to 6.99%	229	55.58%	67.23%
6.99% to 10.51%	76	18.45%	85.68%
10.51% to 14.02%	31	7.52%	93.20%
14.02% to 17.53%	14	3.40%	96.60%
17.53% to 21.04%	8	1.94%	98.54%
Greater than 21.04%	6	1.46%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.31%	11.68%	88.59%	68.27%
±2σ	-2.37%	16.36%	96.12%	95.45%
±3σ	-7.06%	21.04%	98.54%	99.73%

Descriptive Statistics

均值	6.993%
Standard Error	0.231%
中位数	5.758%
Mode	3.057%
Standard Deviation	4.683%
Sample Variance	21.926%
峰度	21.80
偏度	3.63
Range	46.977%
Minimum	1.825%
Maximum	48.802%
Count	412

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.993%	412	100.00%	6.993%
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 0.85. Further, an Excess 峰度 of 2.18 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.33%	0	0.00%	0.00%
-13.33% to -10.13%	2	0.49%	0.49%
-10.13% to -6.94%	16	3.88%	4.37%
-6.94% to -3.75%	63	15.29%	19.66%
-3.75% to -0.56%	152	36.89%	56.55%
-0.56% to 2.63%	102	24.76%	81.31%
2.63% to 5.82%	52	12.62%	93.93%
5.82% to 9.01%	14	3.40%	97.33%
9.01% to 12.20%	5	1.21%	98.54%
Greater than 12.20%	6	1.46%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.82%	3.69%	71.60%	68.27%
±2σ	-9.07%	7.95%	95.63%	95.45%
±3σ	-13.33%	12.20%	98.54%	99.73%

Descriptive Statistics

均值	-0.561%
Standard Error	0.210%
中位数	-1.075%
Mode	-3.793%
Standard Deviation	4.255%
Sample Variance	18.107%
峰度	2.18
偏度	0.85
Range	30.639%
Minimum	-12.809%
Maximum	17.830%
Count	412

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.628%	153	37.14%	1.347%
负向	-3.035%	259	62.86%	-1.908%
Zero	0.000%	0	0.00%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.42. Further, an Excess 峰度 of 0.69 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.90%	1	0.73%	0.73%
-16.90% to -12.12%	4	2.92%	3.65%
-12.12% to -7.34%	6	4.38%	8.03%
-7.34% to -2.57%	10	7.30%	15.33%
-2.57% to 2.21%	43	31.39%	46.72%
2.21% to 6.99%	45	32.85%	79.56%
6.99% to 11.77%	17	12.41%	91.97%
11.77% to 16.55%	10	7.30%	99.27%
16.55% to 21.32%	1	0.73%	100.00%
Greater than 21.32%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.16%	8.58%	74.45%	68.27%
±2σ	-10.53%	14.95%	93.43%	95.45%
±3σ	-16.90%	21.32%	99.27%	99.73%

Descriptive Statistics

均值	2.212%
Standard Error	0.544%
中位数	2.795%
Mode	-18.044%
Standard Deviation	6.371%
Sample Variance	40.591%
峰度	0.69
偏度	-0.42
Range	35.359%
Minimum	-18.044%
Maximum	17.315%
Count	137

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.748%	89	64.96%	3.734%
负向	-4.345%	48	35.04%	-1.522%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	10.18%
12	3 Years	10.86%
20	5 Years	10.57%
40	10 Years	11.48%
80	20 Years	11.51%
200	50 Years	11.33%

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 3.23. Further, an Excess 峰度 of 15.19 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.29%	0	0.00%	0.00%
-11.29% to -5.38%	0	0.00%	0.00%
-5.38% to 0.53%	0	0.00%	0.00%
0.53% to 6.44%	19	13.77%	13.77%
6.44% to 12.35%	73	52.90%	66.67%
12.35% to 18.25%	28	20.29%	86.96%
18.25% to 24.16%	11	7.97%	94.93%
24.16% to 30.07%	3	2.17%	97.10%
30.07% to 35.98%	1	0.72%	97.83%
Greater than 35.98%	3	2.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.47%	20.22%	89.86%	68.27%
±2σ	-3.41%	28.10%	95.65%	95.45%
±3σ	-11.29%	35.98%	97.83%	99.73%

Descriptive Statistics

均值	12.345%
Standard Error	0.671%
中位数	10.837%
Mode	4.246%
Standard Deviation	7.879%
Sample Variance	62.086%
峰度	15.19
偏度	3.23
Range	58.097%
Minimum	4.246%
Maximum	62.343%
Count	138

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.345%	138	100.00%	12.345%
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 0.92. 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	Prob	Cum. Prob
Less than -20.78%	0	0.00%	0.00%
-20.78% to -16.02%	0	0.00%	0.00%
-16.02% to -11.26%	7	5.07%	5.07%
-11.26% to -6.51%	21	15.22%	20.29%
-6.51% to -1.75%	48	34.78%	55.07%
-1.75% to 3.01%	42	30.43%	85.51%
3.01% to 7.76%	9	6.52%	92.03%
7.76% to 12.52%	5	3.62%	95.65%
12.52% to 17.27%	5	3.62%	99.28%
Greater than 17.27%	1	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.09%	4.59%	73.91%	68.27%
±2σ	-14.43%	10.93%	94.93%	95.45%
±3σ	-20.78%	17.27%	99.28%	99.73%

Descriptive Statistics

均值	-1.751%
Standard Error	0.540%
中位数	-2.486%
Mode	-14.759%
Standard Deviation	6.342%
Sample Variance	40.224%
峰度	1.69
偏度	0.92
Range	36.795%
Minimum	-14.759%
Maximum	22.036%
Count	138

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.687%	49	35.51%	1.664%
负向	-5.296%	89	64.49%	-3.416%
Zero	0.000%	0	0.00%	0.000%

^DJI 深度分析报告