NDX 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	1.63%	1.32%	1.47%	1.76%
周度	3.52%	3.29%	3.51%	4.32%
月度	6.77%	7.22%	6.95%	9.38%
季度	11.35%	13.34%	11.22%	16.67%
Annual	—	—	—	—
Option Time Horizon	—	—	—	—

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.09. Further, an Excess 峰度 of 8.05 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.82%	79	0.77%	0.77%
-4.82% to -3.60%	138	1.35%	2.12%
-3.60% to -2.38%	381	3.73%	5.85%
-2.38% to -1.16%	1055	10.32%	16.18%
-1.16% to 0.07%	3220	31.51%	47.69%
0.07% to 1.29%	3766	36.86%	84.55%
1.29% to 2.51%	1101	10.78%	95.32%
2.51% to 3.73%	305	2.98%	98.31%
3.73% to 4.96%	95	0.93%	99.24%
Greater than 4.96%	78	0.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.56%	1.70%	78.43%	68.27%
±2σ	-3.19%	3.33%	94.75%	95.45%
±3σ	-4.82%	4.96%	98.46%	99.73%

Descriptive Statistics

均值	0.067%
Standard Error	0.016%
中位数	0.124%
Mode	0.268%
Standard Deviation	1.630%
Sample Variance	2.658%
峰度	8.05
偏度	0.09
Range	33.849%
Minimum	-15.078%
Maximum	18.771%
Count	10218

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.073%	5610	54.90%	0.589%
负向	-1.159%	4600	45.02%	-0.522%
Zero	0.000%	8	0.08%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	1.53%
20	1 Month	1.76%
60	1 Quarter	1.78%
250	1 Year	1.42%
750	3 Years	1.54%
1,250	5 Years	1.76%
2,500	10 Years	1.64%
5,000	20 Years	1.66%
12,500	50 Years	1.89%

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 3.07. Further, an Excess 峰度 of 18.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.18%	0	0.00%	0.00%
-2.18% to -1.18%	0	0.00%	0.00%
-1.18% to -0.19%	0	0.00%	0.00%
-0.19% to 0.80%	1542	15.09%	15.09%
0.80% to 1.80%	5033	49.25%	64.34%
1.80% to 2.79%	2147	21.01%	85.35%
2.79% to 3.78%	789	7.72%	93.07%
3.78% to 4.78%	356	3.48%	96.56%
4.78% to 5.77%	163	1.60%	98.15%
Greater than 5.77%	189	1.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.47%	3.12%	86.60%	68.27%
±2σ	-0.85%	4.44%	95.61%	95.45%
±3σ	-2.18%	5.77%	98.15%	99.73%

Descriptive Statistics

均值	1.796%
Standard Error	0.013%
中位数	1.428%
Mode	0.888%
Standard Deviation	1.324%
Sample Variance	1.752%
峰度	18.33
偏度	3.07
Range	21.019%
Minimum	0.214%
Maximum	21.233%
Count	10219

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.796%	10219	100.00%	1.796%
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 0.40. Further, an Excess 峰度 of 9.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.42%	63	0.62%	0.62%
-4.42% to -3.32%	105	1.03%	1.64%
-3.32% to -2.22%	299	2.93%	4.57%
-2.22% to -1.12%	1109	10.85%	15.42%
-1.12% to -0.02%	3853	37.70%	53.13%
-0.02% to 1.08%	3113	30.46%	83.59%
1.08% to 2.17%	1087	10.64%	94.23%
2.17% to 3.27%	366	3.58%	97.81%
3.27% to 4.37%	129	1.26%	99.07%
Greater than 4.37%	95	0.93%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.49%	1.44%	78.66%	68.27%
±2σ	-2.96%	2.91%	94.74%	95.45%
±3σ	-4.42%	4.37%	98.45%	99.73%

Descriptive Statistics

均值	-0.024%
Standard Error	0.015%
中位数	-0.101%
Mode	-0.337%
Standard Deviation	1.466%
Sample Variance	2.150%
峰度	9.56
偏度	0.40
Range	35.199%
Minimum	-17.444%
Maximum	17.755%
Count	10219

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.063%	4686	45.86%	0.487%
负向	-0.945%	5529	54.10%	-0.511%
Zero	0.000%	4	0.04%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.19. Further, an Excess 峰度 of 3.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.23%	17	0.80%	0.80%
-10.23% to -7.59%	30	1.42%	2.22%
-7.59% to -4.95%	81	3.83%	6.05%
-4.95% to -2.31%	243	11.48%	17.53%
-2.31% to 0.32%	651	30.77%	48.30%
0.32% to 2.96%	726	34.31%	82.61%
2.96% to 5.60%	265	12.52%	95.13%
5.60% to 8.24%	69	3.26%	98.39%
8.24% to 10.88%	19	0.90%	99.29%
Greater than 10.88%	15	0.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.20%	3.84%	76.89%	68.27%
±2σ	-6.71%	7.36%	94.33%	95.45%
±3σ	-10.23%	10.88%	98.49%	99.73%

Descriptive Statistics

均值	0.324%
Standard Error	0.076%
中位数	0.454%
Mode	-1.027%
Standard Deviation	3.519%
Sample Variance	12.383%
峰度	3.75
偏度	-0.19
Range	42.306%
Minimum	-22.029%
Maximum	20.277%
Count	2116

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.508%	1209	57.14%	1.433%
负向	-2.587%	907	42.86%	-1.109%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	5.24%
12	1 Quarter	4.45%
52	1 Year	3.39%
156	3 Years	3.78%
260	5 Years	4.32%
520	10 Years	3.98%
1,040	20 Years	3.98%
2,600	50 Years	4.64%

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 2.52. Further, an Excess 峰度 of 9.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.11%	0	0.00%	0.00%
-5.11% to -2.64%	0	0.00%	0.00%
-2.64% to -0.18%	0	0.00%	0.00%
-0.18% to 2.29%	327	15.45%	15.45%
2.29% to 4.75%	1054	49.79%	65.23%
4.75% to 7.22%	429	20.26%	85.50%
7.22% to 9.69%	155	7.32%	92.82%
9.69% to 12.15%	65	3.07%	95.89%
12.15% to 14.62%	46	2.17%	98.06%
Greater than 14.62%	41	1.94%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.47%	8.04%	84.98%	68.27%
±2σ	-1.82%	11.33%	94.99%	95.45%
±3σ	-5.11%	14.62%	98.06%	99.73%

Descriptive Statistics

均值	4.755%
Standard Error	0.071%
中位数	3.847%
Mode	2.614%
Standard Deviation	3.287%
Sample Variance	10.803%
峰度	9.45
偏度	2.52
Range	29.620%
Minimum	0.699%
Maximum	30.319%
Count	2117

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.755%	2117	100.00%	4.755%
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 0.93. Further, an Excess 峰度 of 5.51 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.68%	8	0.38%	0.38%
-10.68% to -8.05%	18	0.85%	1.23%
-8.05% to -5.42%	64	3.02%	4.25%
-5.42% to -2.79%	283	13.37%	17.62%
-2.79% to -0.16%	780	36.84%	54.46%
-0.16% to 2.47%	600	28.34%	82.81%
2.47% to 5.10%	234	11.05%	93.86%
5.10% to 7.73%	75	3.54%	97.40%
7.73% to 10.36%	33	1.56%	98.96%
Greater than 10.36%	22	1.04%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.66%	3.35%	77.00%	68.27%
±2σ	-7.17%	6.86%	94.80%	95.45%
±3σ	-10.68%	10.36%	98.58%	99.73%

Descriptive Statistics

均值	-0.157%
Standard Error	0.076%
中位数	-0.407%
Mode	-0.400%
Standard Deviation	3.507%
Sample Variance	12.301%
峰度	5.51
偏度	0.93
Range	45.111%
Minimum	-16.859%
Maximum	28.252%
Count	2117

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.710%	912	43.08%	1.167%
负向	-2.326%	1205	56.92%	-1.324%
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 -0.36. Further, an Excess 峰度 of 1.72 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.94%	4	0.82%	0.82%
-18.94% to -13.86%	5	1.03%	1.85%
-13.86% to -8.79%	22	4.53%	6.38%
-8.79% to -3.71%	60	12.35%	18.72%
-3.71% to 1.36%	136	27.98%	46.71%
1.36% to 6.44%	175	36.01%	82.72%
6.44% to 11.51%	57	11.73%	94.44%
11.51% to 16.59%	18	3.70%	98.15%
16.59% to 21.66%	8	1.65%	99.79%
Greater than 21.66%	1	0.21%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.40%	8.13%	74.07%	68.27%
±2σ	-12.17%	14.89%	93.83%	95.45%
±3σ	-18.94%	21.66%	98.97%	99.73%

Descriptive Statistics

均值	1.362%
Standard Error	0.307%
中位数	1.847%
Mode	-2.979%
Standard Deviation	6.766%
Sample Variance	45.780%
峰度	1.72
偏度	-0.36
Range	51.956%
Minimum	-26.975%
Maximum	24.981%
Count	486

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.395%	297	61.11%	3.297%
负向	-4.975%	189	38.89%	-1.935%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	10.39%
12	1 Year	7.80%
36	3 Years	8.33%
60	5 Years	9.38%
120	10 Years	8.78%
240	20 Years	8.62%
600	50 Years	10.06%

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 2.73. Further, an Excess 峰度 of 12.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.86%	0	0.00%	0.00%
-10.86% to -5.44%	0	0.00%	0.00%
-5.44% to -0.02%	0	0.00%	0.00%
-0.02% to 5.39%	78	16.02%	16.02%
5.39% to 10.81%	241	49.49%	65.50%
10.81% to 16.23%	86	17.66%	83.16%
16.23% to 21.64%	49	10.06%	93.22%
21.64% to 27.06%	17	3.49%	96.71%
27.06% to 32.48%	2	0.41%	97.13%
Greater than 32.48%	14	2.87%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.59%	18.03%	86.45%	68.27%
±2σ	-3.63%	25.25%	95.89%	95.45%
±3σ	-10.86%	32.48%	97.13%	99.73%

Descriptive Statistics

均值	10.810%
Standard Error	0.327%
中位数	8.699%
Mode	6.754%
Standard Deviation	7.222%
Sample Variance	52.163%
峰度	12.33
偏度	2.73
Range	67.104%
Minimum	2.425%
Maximum	69.529%
Count	487

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.810%	487	100.00%	10.810%
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 1.13. Further, an Excess 峰度 of 3.98 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.64%	0	0.00%	0.00%
-21.64% to -16.43%	1	0.21%	0.21%
-16.43% to -11.22%	21	4.31%	4.52%
-11.22% to -6.01%	63	12.94%	17.45%
-6.01% to -0.80%	187	38.40%	55.85%
-0.80% to 4.42%	127	26.08%	81.93%
4.42% to 9.63%	52	10.68%	92.61%
9.63% to 14.84%	23	4.72%	97.33%
14.84% to 20.05%	8	1.64%	98.97%
Greater than 20.05%	5	1.03%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.74%	6.15%	75.56%	68.27%
±2σ	-14.69%	13.10%	94.46%	95.45%
±3σ	-21.64%	20.05%	98.97%	99.73%

Descriptive Statistics

均值	-0.795%
Standard Error	0.315%
中位数	-1.609%
Mode	-7.826%
Standard Deviation	6.948%
Sample Variance	48.272%
峰度	3.98
偏度	1.13
Range	56.837%
Minimum	-19.898%
Maximum	36.939%
Count	487

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.543%	191	39.22%	2.174%
负向	-4.885%	296	60.78%	-2.969%
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 0.06. Further, an Excess 峰度 of 2.34 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.98%	0	0.00%	0.00%
-29.98% to -21.47%	5	3.09%	3.09%
-21.47% to -12.96%	5	3.09%	6.17%
-12.96% to -4.45%	21	12.96%	19.14%
-4.45% to 4.06%	45	27.78%	46.91%
4.06% to 12.57%	54	33.33%	80.25%
12.57% to 21.08%	25	15.43%	95.68%
21.08% to 29.59%	4	2.47%	98.15%
29.59% to 38.10%	2	1.23%	99.38%
Greater than 38.10%	1	0.62%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.29%	15.41%	73.46%	68.27%
±2σ	-18.64%	26.76%	93.83%	95.45%
±3σ	-29.98%	38.11%	99.38%	99.73%

Descriptive Statistics

均值	4.061%
Standard Error	0.892%
中位数	4.811%
Mode	-28.455%
Standard Deviation	11.348%
Sample Variance	128.779%
峰度	2.34
偏度	0.06
Range	80.341%
Minimum	-28.455%
Maximum	51.886%
Count	162

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.492%	113	69.75%	6.621%
负向	-8.466%	49	30.25%	-2.561%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	15.48%
12	3 Years	16.72%
20	5 Years	16.67%
40	10 Years	15.80%
80	20 Years	15.53%
200	50 Years	17.97%

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 2.53. Further, an Excess 峰度 of 8.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.71%	0	0.00%	0.00%
-19.71% to -9.71%	0	0.00%	0.00%
-9.71% to 0.30%	0	0.00%	0.00%
0.30% to 10.30%	21	12.88%	12.88%
10.30% to 20.30%	89	54.60%	67.48%
20.30% to 30.30%	30	18.40%	85.89%
30.30% to 40.30%	12	7.36%	93.25%
40.30% to 50.31%	3	1.84%	95.09%
50.31% to 60.31%	3	1.84%	96.93%
Greater than 60.31%	5	3.07%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.96%	33.64%	87.73%	68.27%
±2σ	-6.37%	46.97%	94.48%	95.45%
±3σ	-19.71%	60.31%	96.93%	99.73%

Descriptive Statistics

均值	20.301%
Standard Error	1.045%
中位数	16.328%
Mode	22.320%
Standard Deviation	13.336%
Sample Variance	177.847%
峰度	8.33
偏度	2.53
Range	89.353%
Minimum	5.482%
Maximum	94.835%
Count	163

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.301%	163	100.00%	20.301%
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 1.13. Further, an Excess 峰度 of 2.78 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -36.31%	0	0.00%	0.00%
-36.31% to -27.89%	1	0.61%	0.61%
-27.89% to -19.48%	3	1.84%	2.45%
-19.48% to -11.06%	28	17.18%	19.63%
-11.06% to -2.65%	65	39.88%	59.51%
-2.65% to 5.77%	38	23.31%	82.82%
5.77% to 14.18%	18	11.04%	93.87%
14.18% to 22.60%	3	1.84%	95.71%
22.60% to 31.01%	4	2.45%	98.16%
Greater than 31.01%	3	1.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.87%	8.57%	77.30%	68.27%
±2σ	-25.09%	19.79%	92.64%	95.45%
±3σ	-36.31%	31.01%	98.16%	99.73%

Descriptive Statistics

均值	-2.648%
Standard Error	0.879%
中位数	-4.383%
Mode	-34.161%
Standard Deviation	11.220%
Sample Variance	125.897%
峰度	2.78
偏度	1.13
Range	73.570%
Minimum	-34.161%
Maximum	39.409%
Count	163

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.113%	49	30.06%	3.040%
负向	-8.132%	114	69.94%	-5.687%
Zero	0.000%	0	0.00%	0.000%

^NDX 深度分析报告