F 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	2.25%	2.58%	1.95%	3.18%	2.18%	2.18%	12.11	12.65	11.85	12.93
周度	5.19%	6.40%	5.03%	7.60%	4.80%	4.81%	11.80	12.99	11.25	13.63
月度	11.08%	14.63%	10.85%	16.78%	9.99%	10.01%	11.20	13.68	10.14	15.12
季度	22.14%	31.86%	19.72%	29.36%	17.30%	17.33%	10.41	14.72	8.76	17.50
Annual	—	—	—	—	34.60%	34.67%	8.76	17.50	6.20	24.73
Option Time Horizon	—	—	—	—	13.19%	13.21%	10.85	14.12	9.51	16.12

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $12.38 | Strike (K): $13.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.3950 (Bid $0.3800 / Ask $0.4100) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 4.81% | Binomial IV (Annual): 34.60% (CRR binomial tree, American, n=20 steps) | BS IV: 34.74% (European Black-Scholes) | Yahoo IV (Annual): 34.67% → 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
2026-02-13	$0.1500
2025-11-07	$0.1500
2025-08-11	$0.1500
2025-05-12	$0.1500
2025-02-18	$0.3000
2024-11-07	$0.1500
2024-08-07	$0.1500
2024-05-07	$0.1500
2024-02-15	$0.3300
2023-10-31	$0.1500
2023-07-24	$0.1500
2023-04-25	$0.1500
2023-02-10	$0.8000
2022-11-14	$0.1500
2022-08-10	$0.1500
2022-04-25	$0.1000
2022-01-28	$0.1000
2021-11-18	$0.1000
2020-01-29	$0.1500
2019-10-21	$0.1500
2019-07-22	$0.1500
2019-04-23	$0.1500
2019-01-30	$0.1500
2018-10-22	$0.1500
2018-07-20	$0.1500
2018-04-19	$0.1500
2018-01-29	$0.2800
2017-10-20	$0.1500
2017-07-20	$0.1500
2017-04-18	$0.1500
2017-01-18	$0.2000
2016-10-25	$0.1500
2016-07-26	$0.1500
2016-04-27	$0.1500
2016-01-27	$0.4000
2015-10-28	$0.1500
2015-07-29	$0.1500
2015-04-29	$0.1500
2015-01-28	$0.1500
2014-10-29	$0.1250
2014-07-30	$0.1250
2014-04-30	$0.1250
2014-01-29	$0.1250
2013-10-30	$0.1000
2013-07-31	$0.1000
2013-05-01	$0.1000
2013-01-28	$0.1000
2012-10-31	$0.0500
2012-08-01	$0.0500
2012-04-30	$0.0500
2012-01-27	$0.0500
2006-07-31	$0.0500
2006-04-28	$0.1000
2006-01-26	$0.1000
2005-10-28	$0.1000
2005-07-29	$0.1000
2005-04-28	$0.1000
2005-01-26	$0.1000
2004-10-28	$0.1000
2004-07-28	$0.1000
2004-04-28	$0.1000
2004-01-28	$0.1000
2003-10-29	$0.1000
2003-07-30	$0.1000
2003-04-30	$0.1000
2003-01-29	$0.1000
2002-10-30	$0.1000
2002-07-31	$0.1000
2002-05-01	$0.1000
2002-01-28	$0.1000
2001-10-31	$0.1500
2001-08-01	$0.3000
2001-04-30	$0.3000
2001-01-26	$0.3000
2000-10-30	$0.3000
2000-07-24	$0.2860
2000-04-28	$0.2748
2000-01-28	$0.2748
1999-10-28	$0.2748
1999-07-29	$0.2528
1999-04-29	$0.2528
1999-01-27	$0.2528
1998-10-28	$0.2528
1998-07-29	$0.2308
1998-04-29	$0.2308
1998-01-28	$0.1533
1997-10-29	$0.1533
1997-07-30	$0.1533
1997-04-30	$0.1533
1997-01-28	$0.1405
1996-10-30	$0.1405
1996-07-31	$0.1405
1996-04-30	$0.1277
1996-01-29	$0.1277
1995-10-30	$0.1277
1995-07-31	$0.1131
1995-04-26	$0.1131
1995-01-24	$0.0949
1994-10-26	$0.0949
1994-07-27	$0.0821
1994-04-26	$0.0821
1994-01-24	$0.0730
1993-10-26	$0.0730
1993-07-27	$0.0730
1993-04-26	$0.0730
1993-01-25	$0.0730
1992-10-26	$0.0730
1992-07-27	$0.0730
1992-04-27	$0.0730
1992-01-27	$0.0730
1991-10-28	$0.0730
1991-07-29	$0.0730
1991-04-26	$0.0730
1991-01-24	$0.1369
1990-10-26	$0.1369
1990-07-27	$0.1369
1990-04-26	$0.1369
1990-01-24	$0.1369
1989-10-26	$0.1369
1989-07-27	$0.1369
1989-04-26	$0.1369
1989-01-24	$0.1369
1988-10-26	$0.1095
1988-07-27	$0.1095
1988-04-26	$0.1095
1988-01-25	$0.0912
1987-10-27	$0.0912
1987-07-28	$0.0684
1987-04-27	$0.0684
1987-01-26	$0.0593
1986-10-27	$0.0593
1986-07-29	$0.0502
1986-04-28	$0.0502
1986-01-24	$0.0426
1985-10-28	$0.0426
1985-07-30	$0.0365
1985-04-26	$0.0365
1985-01-24	$0.0304
1984-11-26	$0.0304
1984-10-26	$0.0243
1984-07-27	$0.0243
1984-04-26	$0.0243
1984-01-25	$0.0182
1983-10-26	$0.0182
1983-07-27	$0.0122
1981-10-26	$0.0122
1981-07-27	$0.0122
1981-04-27	$0.0122
1981-01-26	$0.0122
1980-10-27	$0.0122
1980-07-28	$0.0122
1980-04-28	$0.0406
1980-01-25	$0.0406
1979-10-26	$0.0406
1979-07-27	$0.0406
1979-04-26	$0.0406
1979-01-24	$0.0365
1978-10-25	$0.0365
1978-07-25	$0.0365
1978-04-25	$0.0365
1978-01-23	$0.0324
1977-10-25	$0.0324
1977-07-27	$0.0324
1977-04-26	$0.0324
1977-01-25	$0.0260
1976-10-26	$0.0260
1976-07-27	$0.0260
1976-04-23	$0.0195
1976-01-23	$0.0195
1975-10-24	$0.0195
1975-07-25	$0.0195
1975-04-24	$0.0195
1975-01-24	$0.0260
1974-10-25	$0.0260
1974-07-25	$0.0260
1974-04-24	$0.0260
1974-01-25	$0.0260
1973-10-23	$0.0260
1973-07-24	$0.0324
1973-04-24	$0.0227
1973-01-23	$0.0227
1972-10-25	$0.0219
1972-07-25	$0.0219

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

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.69%	78	0.57%	0.57%
-6.69% to -5.00%	112	0.82%	1.40%
-5.00% to -3.32%	419	3.08%	4.48%
-3.32% to -1.63%	1630	12.00%	16.48%
-1.63% to 0.06%	4934	36.32%	52.80%
0.06% to 1.74%	4222	31.08%	83.87%
1.74% to 3.43%	1496	11.01%	94.88%
3.43% to 5.11%	446	3.28%	98.17%
5.11% to 6.80%	141	1.04%	99.21%
Greater than 6.80%	108	0.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.19%	2.30%	78.29%	68.27%
±2σ	-4.44%	4.55%	95.51%	95.45%
±3σ	-6.69%	6.80%	98.63%	99.73%

Descriptive Statistics

均值	0.055%
Standard Error	0.019%
中位数	0.000%
Mode	0.000%
Standard Deviation	2.248%
Sample Variance	5.054%
峰度	13.56
偏度	0.46
Range	54.518%
Minimum	-25.000%
Maximum	29.518%
Count	13586

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.686%	6415	47.22%	0.796%
负向	-1.557%	6467	47.60%	-0.741%
Zero	0.000%	704	5.18%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	1.95%
20	1 Month	2.70%
60	1 Quarter	2.82%
250	1 Year	2.45%
750	3 Years	2.71%
1,250	5 Years	3.18%
2,500	10 Years	2.90%
5,000	20 Years	3.26%
12,500	50 Years	2.91%

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 22.60. Further, an Excess 峰度 of 1136.25 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.05%	0	0.00%	0.00%
-5.05% to -3.11%	0	0.00%	0.00%
-3.11% to -1.17%	0	0.00%	0.00%
-1.17% to 0.77%	235	1.73%	1.73%
0.77% to 2.71%	8561	63.01%	64.74%
2.71% to 4.64%	3494	25.72%	90.45%
4.64% to 6.58%	852	6.27%	96.72%
6.58% to 8.52%	237	1.74%	98.47%
8.52% to 10.46%	94	0.69%	99.16%
Greater than 10.46%	114	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.12%	5.29%	93.47%	68.27%
±2σ	-2.46%	7.88%	98.11%	95.45%
±3σ	-5.05%	10.46%	99.16%	99.73%

Descriptive Statistics

均值	2.705%
Standard Error	0.022%
中位数	2.222%
Mode	1.923%
Standard Deviation	2.585%
Sample Variance	6.685%
峰度	1136.25
偏度	22.60
Range	160.278%
Minimum	0.198%
Maximum	160.476%
Count	13587

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.705%	13587	100.00%	2.705%
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 1.31. Further, an Excess 峰度 of 30.82 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.76%	71	0.52%	0.52%
-5.76% to -4.30%	103	0.76%	1.28%
-4.30% to -2.84%	441	3.25%	4.53%
-2.84% to -1.37%	1628	11.98%	16.51%
-1.37% to 0.09%	4754	34.99%	51.50%
0.09% to 1.55%	4403	32.41%	83.90%
1.55% to 3.02%	1559	11.47%	95.38%
3.02% to 4.48%	425	3.13%	98.51%
4.48% to 5.95%	114	0.84%	99.34%
Greater than 5.95%	89	0.66%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.86%	2.04%	78.88%	68.27%
±2σ	-3.81%	4.00%	95.82%	95.45%
±3σ	-5.76%	5.95%	98.82%	99.73%

Descriptive Statistics

均值	0.091%
Standard Error	0.017%
中位数	0.000%
Mode	0.000%
Standard Deviation	1.952%
Sample Variance	3.811%
峰度	30.82
偏度	1.31
Range	66.423%
Minimum	-27.961%
Maximum	38.462%
Count	13587

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.434%	6667	49.07%	0.704%
负向	-1.376%	6046	44.50%	-0.612%
Zero	0.000%	874	6.43%	0.000%

收盘-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 13.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.28%	15	0.53%	0.53%
-15.28% to -11.39%	21	0.75%	1.28%
-11.39% to -7.50%	89	3.17%	4.45%
-7.50% to -3.61%	342	12.16%	16.61%
-3.61% to 0.28%	994	35.35%	51.96%
0.28% to 4.17%	899	31.97%	83.93%
4.17% to 8.06%	304	10.81%	94.74%
8.06% to 11.95%	98	3.49%	98.22%
11.95% to 15.84%	25	0.89%	99.11%
Greater than 15.84%	25	0.89%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.91%	5.46%	79.09%	68.27%
±2σ	-10.10%	10.65%	95.59%	95.45%
±3σ	-15.28%	15.84%	98.58%	99.73%

Descriptive Statistics

均值	0.277%
Standard Error	0.098%
中位数	0.000%
Mode	0.000%
Standard Deviation	5.187%
Sample Variance	26.909%
峰度	13.60
偏度	1.14
Range	98.691%
Minimum	-35.230%
Maximum	63.461%
Count	2812

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.856%	1402	49.86%	1.923%
负向	-3.425%	1351	48.04%	-1.646%
Zero	0.000%	59	2.10%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	6.57%
12	1 Quarter	7.04%
52	1 Year	5.78%
156	3 Years	6.40%
260	5 Years	7.60%
520	10 Years	6.97%
1,040	20 Years	7.81%
2,600	50 Years	6.92%

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 11.71. Further, an Excess 峰度 of 269.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.11%	0	0.00%	0.00%
-12.11% to -7.31%	0	0.00%	0.00%
-7.31% to -2.51%	0	0.00%	0.00%
-2.51% to 2.30%	87	3.09%	3.09%
2.30% to 7.10%	1756	62.42%	65.52%
7.10% to 11.90%	699	24.85%	90.37%
11.90% to 16.70%	170	6.04%	96.41%
16.70% to 21.50%	45	1.60%	98.01%
21.50% to 26.31%	24	0.85%	98.86%
Greater than 26.31%	32	1.14%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.70%	13.50%	93.53%	68.27%
±2σ	-5.71%	19.90%	97.55%	95.45%
±3σ	-12.11%	26.31%	98.86%	99.73%

Descriptive Statistics

均值	7.098%
Standard Error	0.121%
中位数	5.764%
Mode	5.000%
Standard Deviation	6.403%
Sample Variance	41.000%
峰度	269.39
偏度	11.71
Range	189.618%
Minimum	1.339%
Maximum	190.957%
Count	2813

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.098%	2813	100.00%	7.098%
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 11.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.91%	14	0.50%	0.50%
-14.91% to -11.13%	21	0.75%	1.24%
-11.13% to -7.36%	88	3.13%	4.37%
-7.36% to -3.58%	346	12.30%	16.67%
-3.58% to 0.19%	982	34.91%	51.58%
0.19% to 3.96%	929	33.03%	84.61%
3.96% to 7.74%	289	10.27%	94.88%
7.74% to 11.51%	92	3.27%	98.15%
11.51% to 15.29%	28	1.00%	99.15%
Greater than 15.29%	24	0.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.84%	5.22%	79.31%	68.27%
±2σ	-9.88%	10.26%	95.27%	95.45%
±3σ	-14.91%	15.29%	98.65%	99.73%

Descriptive Statistics

均值	0.190%
Standard Error	0.095%
中位数	0.000%
Mode	0.000%
Standard Deviation	5.033%
Sample Variance	25.329%
峰度	11.86
偏度	0.92
Range	92.302%
Minimum	-33.725%
Maximum	58.577%
Count	2813

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.689%	1388	49.34%	1.820%
负向	-3.365%	1363	48.45%	-1.630%
Zero	0.000%	62	2.20%	0.000%

收盘-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 2.34. Further, an Excess 峰度 of 27.16 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.03%	1	0.15%	0.15%
-32.03% to -23.72%	3	0.46%	0.62%
-23.72% to -15.41%	22	3.41%	4.02%
-15.41% to -7.10%	83	12.85%	16.87%
-7.10% to 1.21%	225	34.83%	51.70%
1.21% to 9.52%	213	32.97%	84.67%
9.52% to 17.83%	68	10.53%	95.20%
17.83% to 26.14%	20	3.10%	98.30%
26.14% to 34.45%	7	1.08%	99.38%
Greater than 34.45%	4	0.62%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.87%	12.29%	78.17%	68.27%
±2σ	-20.95%	23.37%	96.44%	95.45%
±3σ	-32.03%	34.45%	99.23%	99.73%

Descriptive Statistics

均值	1.207%
Standard Error	0.436%
中位数	0.796%
Mode	3.022%
Standard Deviation	11.080%
Sample Variance	122.757%
峰度	27.16
偏度	2.34
Range	185.261%
Minimum	-57.885%
Maximum	127.376%
Count	646

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.205%	344	53.25%	4.369%
负向	-6.810%	300	46.44%	-3.163%
Zero	0.000%	2	0.31%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	15.06%
12	1 Year	12.14%
36	3 Years	14.10%
60	5 Years	16.78%
120	10 Years	15.19%
240	20 Years	17.21%
600	50 Years	14.96%

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 7.01. Further, an Excess 峰度 of 72.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.40%	0	0.00%	0.00%
-27.40% to -16.43%	0	0.00%	0.00%
-16.43% to -5.46%	0	0.00%	0.00%
-5.46% to 5.51%	19	2.94%	2.94%
5.51% to 16.48%	422	65.22%	68.16%
16.48% to 27.45%	145	22.41%	90.57%
27.45% to 38.42%	35	5.41%	95.98%
38.42% to 49.40%	14	2.16%	98.15%
49.40% to 60.37%	5	0.77%	98.92%
Greater than 60.37%	7	1.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.85%	31.11%	92.74%	68.27%
±2σ	-12.77%	45.74%	97.99%	95.45%
±3σ	-27.40%	60.37%	98.92%	99.73%

Descriptive Statistics

均值	16.482%
Standard Error	0.575%
中位数	13.251%
Mode	11.111%
Standard Deviation	14.628%
Sample Variance	213.979%
峰度	72.13
偏度	7.01
Range	200.959%
Minimum	2.930%
Maximum	203.889%
Count	647

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.482%	647	100.00%	16.482%
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 2.03. Further, an Excess 峰度 of 21.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.03%	1	0.15%	0.15%
-32.03% to -23.90%	5	0.77%	0.93%
-23.90% to -15.76%	18	2.78%	3.71%
-15.76% to -7.62%	80	12.36%	16.07%
-7.62% to 0.51%	239	36.94%	53.01%
0.51% to 8.65%	203	31.38%	84.39%
8.65% to 16.78%	67	10.36%	94.74%
16.78% to 24.92%	21	3.25%	97.99%
24.92% to 33.06%	9	1.39%	99.38%
Greater than 33.06%	4	0.62%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.34%	11.36%	77.74%	68.27%
±2σ	-21.18%	22.21%	96.14%	95.45%
±3σ	-32.03%	33.06%	99.23%	99.73%

Descriptive Statistics

均值	0.512%
Standard Error	0.426%
中位数	-0.293%
Mode	0.000%
Standard Deviation	10.848%
Sample Variance	117.677%
峰度	21.95
偏度	2.03
Range	174.086%
Minimum	-57.191%
Maximum	116.895%
Count	647

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.080%	316	48.84%	3.946%
负向	-6.858%	324	50.08%	-3.434%
Zero	0.000%	7	1.08%	0.000%

收盘-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 4.23. Further, an Excess 峰度 of 41.72 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -62.61%	0	0.00%	0.00%
-62.61% to -46.00%	1	0.47%	0.47%
-46.00% to -29.40%	7	3.26%	3.72%
-29.40% to -12.80%	22	10.23%	13.95%
-12.80% to 3.80%	74	34.42%	48.37%
3.80% to 20.41%	82	38.14%	86.51%
20.41% to 37.01%	25	11.63%	98.14%
37.01% to 53.61%	2	0.93%	99.07%
53.61% to 70.22%	1	0.47%	99.53%
Greater than 70.22%	1	0.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.33%	25.94%	85.58%	68.27%
±2σ	-40.47%	48.08%	97.21%	95.45%
±3σ	-62.61%	70.22%	99.53%	99.73%

Descriptive Statistics

均值	3.804%
Standard Error	1.510%
中位数	4.009%
Mode	-54.375%
Standard Deviation	22.137%
Sample Variance	490.043%
峰度	41.72
偏度	4.23
Range	274.161%
Minimum	-54.375%
Maximum	219.786%
Count	215

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.446%	124	57.67%	8.908%
负向	-12.195%	90	41.86%	-5.105%
Zero	0.000%	1	0.47%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	23.39%
12	3 Years	24.78%
20	5 Years	29.36%
40	10 Years	26.91%
80	20 Years	31.79%
200	50 Years	27.19%

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 5.42. Further, an Excess 峰度 of 36.98 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -62.82%	0	0.00%	0.00%
-62.82% to -38.93%	0	0.00%	0.00%
-38.93% to -15.03%	0	0.00%	0.00%
-15.03% to 8.86%	0	0.00%	0.00%
8.86% to 32.75%	146	67.59%	67.59%
32.75% to 56.65%	52	24.07%	91.67%
56.65% to 80.54%	11	5.09%	96.76%
80.54% to 104.43%	3	1.39%	98.15%
104.43% to 128.32%	0	0.00%	98.15%
Greater than 128.32%	4	1.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.90%	64.61%	93.98%	68.27%
±2σ	-30.96%	96.47%	97.69%	95.45%
±3σ	-62.82%	128.32%	98.15%	99.73%

Descriptive Statistics

均值	32.752%
Standard Error	2.168%
中位数	24.669%
Mode	9.836%
Standard Deviation	31.857%
Sample Variance	1014.842%
峰度	36.98
偏度	5.42
Range	289.497%
Minimum	9.836%
Maximum	299.333%
Count	216

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	32.752%	216	100.00%	32.752%
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 1.65. Further, an Excess 峰度 of 7.31 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -57.95%	1	0.46%	0.46%
-57.95% to -43.16%	0	0.00%	0.46%
-43.16% to -28.37%	2	0.93%	1.39%
-28.37% to -13.59%	39	18.06%	19.44%
-13.59% to 1.20%	83	38.43%	57.87%
1.20% to 15.99%	61	28.24%	86.11%
15.99% to 30.78%	15	6.94%	93.06%
30.78% to 45.57%	8	3.70%	96.76%
45.57% to 60.36%	4	1.85%	98.61%
Greater than 60.36%	3	1.39%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.52%	20.92%	79.63%	68.27%
±2σ	-38.23%	40.64%	95.83%	95.45%
±3σ	-57.95%	60.36%	98.15%	99.73%

Descriptive Statistics

均值	1.204%
Standard Error	1.342%
中位数	-2.648%
Mode	-68.896%
Standard Deviation	19.719%
Sample Variance	388.849%
峰度	7.31
偏度	1.65
Range	188.074%
Minimum	-68.896%
Maximum	119.178%
Count	216

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.762%	96	44.44%	7.450%
负向	-11.243%	120	55.56%	-6.246%
Zero	0.000%	0	0.00%	0.000%

F 深度分析报告