NYT 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	2.23%	1.96%	1.98%	2.39%	2.12%	2.34%	79.19	82.62	77.54	84.39
周度	4.68%	4.55%	4.63%	5.70%	4.66%	5.15%	77.21	84.75	73.69	88.79
月度	9.28%	10.19%	9.24%	12.80%	9.70%	10.72%	73.41	89.13	66.62	98.22
季度	15.45%	15.94%	15.94%	23.14%	16.81%	18.57%	68.37	95.70	57.80	113.21
Annual	—	—	—	—	33.62%	37.15%	57.80	113.21	41.29	158.45
Option Time Horizon	—	—	—	—	12.81%	14.16%	71.16	91.95	62.61	104.51

Calculation Notes: Computed at 2026-04-26T02:45 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $80.89 | Strike (K): $85.00 (first OTM call ≥ spot) | Observed Mid-价格: $2.6000 (Bid $2.2500 / Ask $2.9500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.90% | Binomial IV (Annual): 33.62% (CRR binomial tree, American, n=20 steps) | BS IV: 33.58% (European Black-Scholes) | Yahoo IV (Annual): 37.15% → 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
2026-04-01	$0.2300
2026-01-06	$0.1800
2025-10-08	$0.1800
2025-07-09	$0.1800
2025-04-01	$0.1800
2025-01-10	$0.1300
2024-10-09	$0.1300
2024-07-09	$0.1300
2024-04-01	$0.1300
2024-01-02	$0.1100
2023-10-06	$0.1100
2023-07-10	$0.1100
2023-04-04	$0.1100
2023-01-03	$0.0900
2022-10-06	$0.0900
2022-07-08	$0.0900
2022-04-05	$0.0900
2022-01-04	$0.0700
2021-10-07	$0.0700
2021-07-09	$0.0700
2021-04-06	$0.0700
2021-01-05	$0.0600
2020-10-06	$0.0600
2020-07-09	$0.0600
2020-04-07	$0.0600
2020-01-07	$0.0500
2019-10-01	$0.0500
2019-07-09	$0.0500
2019-04-02	$0.0500
2019-01-08	$0.0400
2018-10-02	$0.0400
2018-07-10	$0.0400
2018-04-03	$0.0400
2018-01-09	$0.0400
2017-10-03	$0.0400
2017-07-10	$0.0400
2017-04-03	$0.0400
2017-01-09	$0.0400
2016-10-03	$0.0400
2016-07-11	$0.0400
2016-04-04	$0.0400
2016-01-11	$0.0400
2015-10-05	$0.0400
2015-07-13	$0.0400
2015-04-06	$0.0400
2015-01-12	$0.0400
2014-10-06	$0.0400
2014-07-15	$0.0400
2014-04-07	$0.0400
2014-01-13	$0.0400
2013-10-07	$0.0400
2008-11-26	$0.0600
2008-08-28	$0.2300
2008-05-29	$0.2300
2008-02-28	$0.2300
2007-11-29	$0.2300
2007-08-30	$0.2300
2007-05-30	$0.2300
2007-02-27	$0.1750
2006-11-29	$0.1750
2006-08-30	$0.1750
2006-05-30	$0.1750
2006-02-27	$0.1650
2005-11-29	$0.1650
2005-08-30	$0.1650
2005-05-27	$0.1650
2005-02-25	$0.1550
2004-11-29	$0.1550
2004-08-30	$0.1550
2004-05-27	$0.1550
2004-02-26	$0.1450
2003-11-26	$0.1450
2003-08-28	$0.1450
2003-05-29	$0.1450
2003-02-27	$0.1250
2002-11-27	$0.1350
2002-08-30	$0.1350
2002-05-30	$0.1350
2002-02-27	$0.1250
2001-11-29	$0.1250
2001-08-30	$0.1250
2001-05-30	$0.1250
2001-02-27	$0.1150
2000-11-29	$0.1150
2000-08-30	$0.1150
2000-05-30	$0.1150
2000-02-28	$0.1050
1999-11-29	$0.1050
1999-08-30	$0.1050
1999-05-27	$0.1050
1999-02-25	$0.0950
1998-11-27	$0.0950
1998-08-28	$0.0950
1998-06-15	$0.0950
1998-02-27	$0.0850
1997-11-28	$0.0850
1997-08-28	$0.0800
1997-05-30	$0.0800
1997-02-28	$0.0750
1996-11-29	$0.0750
1996-08-29	$0.0700
1996-05-31	$0.0700
1996-03-01	$0.0700
1995-11-29	$0.0700
1995-08-31	$0.0700
1995-05-31	$0.0700
1995-03-01	$0.0700
1994-11-25	$0.0700
1994-08-30	$0.0700
1994-05-27	$0.0700
1994-02-25	$0.0700
1993-11-24	$0.0700
1993-08-30	$0.0700
1993-05-27	$0.0700
1993-02-25	$0.0700
1992-11-30	$0.0700
1992-08-31	$0.0700
1992-05-29	$0.0700
1992-02-27	$0.0700
1991-12-02	$0.0700
1991-08-30	$0.0700
1991-05-31	$0.0700
1991-02-28	$0.0700
1990-11-30	$0.0700
1990-08-30	$0.0700
1990-05-31	$0.0650
1990-02-28	$0.0650
1989-11-30	$0.0650
1989-08-30	$0.0650
1989-05-31	$0.0600
1989-02-28	$0.0600
1988-11-30	$0.0600
1988-08-30	$0.0600
1988-05-31	$0.0550
1988-03-01	$0.0550
1987-11-30	$0.0550
1987-09-01	$0.0220

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.51. Further, an Excess 峰度 of 8.55 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.63%	94	0.73%	0.73%
-6.63% to -4.96%	119	0.92%	1.64%
-4.96% to -3.28%	389	3.00%	4.64%
-3.28% to -1.61%	1493	11.52%	16.16%
-1.61% to 0.06%	4943	38.13%	54.30%
0.06% to 1.74%	3857	29.76%	84.05%
1.74% to 3.41%	1389	10.72%	94.77%
3.41% to 5.08%	406	3.13%	97.90%
5.08% to 6.75%	149	1.15%	99.05%
Greater than 6.75%	123	0.95%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.17%	2.29%	78.60%	68.27%
±2σ	-4.40%	4.52%	94.92%	95.45%
±3σ	-6.63%	6.75%	98.33%	99.73%

Descriptive Statistics

均值	0.062%
Standard Error	0.020%
中位数	0.000%
Mode	0.000%
Standard Deviation	2.231%
Sample Variance	4.977%
峰度	8.55
偏度	0.51
Range	46.317%
Minimum	-21.972%
Maximum	24.345%
Count	12962

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.698%	5989	46.20%	0.785%
负向	-1.574%	5948	45.89%	-0.722%
Zero	0.000%	1025	7.91%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	2.13%
20	1 Month	2.52%
60	1 Quarter	2.81%
250	1 Year	2.08%
750	3 Years	2.07%
1,250	5 Years	2.39%
2,500	10 Years	2.57%
5,000	20 Years	3.22%
12,500	50 Years	2.74%

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 3.19. Further, an Excess 峰度 of 18.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.19%	0	0.00%	0.00%
-3.19% to -1.72%	0	0.00%	0.00%
-1.72% to -0.26%	0	0.00%	0.00%
-0.26% to 1.21%	1947	15.02%	15.02%
1.21% to 2.68%	6344	48.94%	63.96%
2.68% to 4.15%	2807	21.65%	85.61%
4.15% to 5.61%	1004	7.75%	93.36%
5.61% to 7.08%	426	3.29%	96.64%
7.08% to 8.55%	215	1.66%	98.30%
Greater than 8.55%	220	1.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.72%	4.64%	86.37%	68.27%
±2σ	-1.24%	6.59%	95.86%	95.45%
±3σ	-3.19%	8.55%	98.30%	99.73%

Descriptive Statistics

均值	2.679%
Standard Error	0.017%
中位数	2.174%
Mode	1.111%
Standard Deviation	1.957%
Sample Variance	3.831%
峰度	18.92
偏度	3.19
Range	27.294%
Minimum	0.157%
Maximum	27.451%
Count	12963

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.679%	12963	100.00%	2.679%
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 -0.07. 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	Prob	Cum. Prob
Less than -5.97%	107	0.83%	0.83%
-5.97% to -4.48%	161	1.24%	2.07%
-4.48% to -3.00%	433	3.34%	5.41%
-3.00% to -1.51%	1436	11.08%	16.49%
-1.51% to -0.02%	3726	28.74%	45.23%
-0.02% to 1.47%	4991	38.50%	83.73%
1.47% to 2.95%	1462	11.28%	95.01%
2.95% to 4.44%	421	3.25%	98.26%
4.44% to 5.93%	123	0.95%	99.21%
Greater than 5.93%	103	0.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.00%	1.96%	77.49%	68.27%
±2σ	-3.99%	3.95%	94.87%	95.45%
±3σ	-5.97%	5.93%	98.38%	99.73%

Descriptive Statistics

均值	-0.021%
Standard Error	0.017%
中位数	0.000%
Mode	0.000%
Standard Deviation	1.983%
Sample Variance	3.933%
峰度	6.62
偏度	-0.07
Range	38.892%
Minimum	-18.675%
Maximum	20.217%
Count	12963

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.467%	5900	45.51%	0.668%
负向	-1.520%	5869	45.27%	-0.688%
Zero	0.000%	1194	9.21%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.22. Further, an Excess 峰度 of 3.81 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.76%	18	0.65%	0.65%
-13.76% to -10.25%	22	0.80%	1.45%
-10.25% to -6.74%	94	3.40%	4.85%
-6.74% to -3.23%	370	13.40%	18.25%
-3.23% to 0.28%	934	33.82%	52.06%
0.28% to 3.80%	851	30.81%	82.87%
3.80% to 7.31%	298	10.79%	93.66%
7.31% to 10.82%	115	4.16%	97.83%
10.82% to 14.33%	38	1.38%	99.20%
Greater than 14.33%	22	0.80%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.40%	4.97%	76.07%	68.27%
±2σ	-9.08%	9.65%	94.79%	95.45%
±3σ	-13.76%	14.33%	98.55%	99.73%

Descriptive Statistics

均值	0.285%
Standard Error	0.089%
中位数	0.000%
Mode	0.000%
Standard Deviation	4.681%
Sample Variance	21.909%
峰度	3.81
偏度	0.22
Range	54.103%
Minimum	-27.294%
Maximum	26.809%
Count	2762

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.681%	1365	49.42%	1.819%
负向	-3.293%	1287	46.60%	-1.534%
Zero	0.000%	110	3.98%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	6.51%
12	1 Quarter	7.48%
52	1 Year	4.94%
156	3 Years	4.96%
260	5 Years	5.70%
520	10 Years	5.98%
1,040	20 Years	7.39%
2,600	50 Years	6.38%

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 2.67. 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 -6.93%	0	0.00%	0.00%
-6.93% to -3.53%	0	0.00%	0.00%
-3.53% to -0.12%	0	0.00%	0.00%
-0.12% to 3.29%	467	16.90%	16.90%
3.29% to 6.70%	1282	46.40%	63.30%
6.70% to 10.11%	588	21.28%	84.58%
10.11% to 13.52%	246	8.90%	93.49%
13.52% to 16.93%	89	3.22%	96.71%
16.93% to 20.34%	34	1.23%	97.94%
Greater than 20.34%	57	2.06%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.16%	11.25%	84.69%	68.27%
±2σ	-2.39%	15.80%	95.55%	95.45%
±3σ	-6.94%	20.34%	97.94%	99.73%

Descriptive Statistics

均值	6.703%
Standard Error	0.086%
中位数	5.511%
Mode	4.348%
Standard Deviation	4.546%
Sample Variance	20.664%
峰度	12.33
偏度	2.67
Range	51.946%
Minimum	0.424%
Maximum	52.370%
Count	2763

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.703%	2763	100.00%	6.703%
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 0.74. Further, an Excess 峰度 of 6.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.95%	16	0.58%	0.58%
-13.95% to -10.48%	26	0.94%	1.52%
-10.48% to -7.00%	113	4.09%	5.61%
-7.00% to -3.53%	314	11.36%	16.97%
-3.53% to -0.06%	923	33.41%	50.38%
-0.06% to 3.42%	902	32.65%	83.03%
3.42% to 6.89%	321	11.62%	94.64%
6.89% to 10.36%	98	3.55%	98.19%
10.36% to 13.84%	29	1.05%	99.24%
Greater than 13.84%	21	0.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.69%	4.57%	76.58%	68.27%
±2σ	-9.32%	9.20%	95.37%	95.45%
±3σ	-13.95%	13.84%	98.66%	99.73%

Descriptive Statistics

均值	-0.058%
Standard Error	0.088%
中位数	-0.129%
Mode	0.000%
Standard Deviation	4.631%
Sample Variance	21.444%
峰度	6.86
偏度	0.74
Range	62.748%
Minimum	-20.792%
Maximum	41.956%
Count	2763

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.537%	1259	45.57%	1.612%
负向	-3.307%	1395	50.49%	-1.670%
Zero	0.000%	109	3.94%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.37. Further, an Excess 峰度 of 1.89 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -26.65%	4	0.63%	0.63%
-26.65% to -19.69%	3	0.47%	1.10%
-19.69% to -12.73%	23	3.62%	4.72%
-12.73% to -5.76%	98	15.43%	20.16%
-5.76% to 1.20%	216	34.02%	54.17%
1.20% to 8.16%	161	25.35%	79.53%
8.16% to 15.12%	84	13.23%	92.76%
15.12% to 22.09%	35	5.51%	98.27%
22.09% to 29.05%	8	1.26%	99.53%
Greater than 29.05%	3	0.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.09%	10.48%	74.49%	68.27%
±2σ	-17.37%	19.77%	94.65%	95.45%
±3σ	-26.65%	29.05%	98.90%	99.73%

Descriptive Statistics

均值	1.199%
Standard Error	0.368%
中位数	0.521%
Mode	0.000%
Standard Deviation	9.284%
Sample Variance	86.199%
峰度	1.89
偏度	0.37
Range	78.641%
Minimum	-32.196%
Maximum	46.445%
Count	635

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.921%	327	51.50%	4.079%
负向	-6.220%	294	46.30%	-2.880%
Zero	0.000%	14	2.21%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	17.32%
12	1 Year	12.43%
36	3 Years	11.25%
60	5 Years	12.80%
120	10 Years	13.45%
240	20 Years	16.03%
600	50 Years	13.79%

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

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.14%	0	0.00%	0.00%
-15.14% to -7.49%	0	0.00%	0.00%
-7.49% to 0.15%	0	0.00%	0.00%
0.15% to 7.79%	90	14.15%	14.15%
7.79% to 15.44%	313	49.21%	63.36%
15.44% to 23.08%	145	22.80%	86.16%
23.08% to 30.73%	47	7.39%	93.55%
30.73% to 38.37%	21	3.30%	96.86%
38.37% to 46.01%	7	1.10%	97.96%
Greater than 46.01%	13	2.04%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.25%	25.63%	85.38%	68.27%
±2σ	-4.95%	35.82%	96.38%	95.45%
±3σ	-15.14%	46.01%	97.96%	99.73%

Descriptive Statistics

均值	15.438%
Standard Error	0.404%
中位数	13.127%
Mode	10.000%
Standard Deviation	10.192%
Sample Variance	103.885%
峰度	19.67
偏度	3.33
Range	109.775%
Minimum	3.356%
Maximum	113.131%
Count	636

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.438%	636	100.00%	15.438%
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 0.69. Further, an Excess 峰度 of 2.74 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.96%	2	0.31%	0.31%
-27.96% to -21.03%	4	0.63%	0.94%
-21.03% to -14.10%	31	4.87%	5.82%
-14.10% to -7.17%	95	14.94%	20.75%
-7.17% to -0.24%	189	29.72%	50.47%
-0.24% to 6.69%	199	31.29%	81.76%
6.69% to 13.62%	80	12.58%	94.34%
13.62% to 20.55%	19	2.99%	97.33%
20.55% to 27.48%	11	1.73%	99.06%
Greater than 27.48%	6	0.94%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.48%	9.00%	75.31%	68.27%
±2σ	-18.72%	18.24%	94.81%	95.45%
±3σ	-27.96%	27.48%	98.74%	99.73%

Descriptive Statistics

均值	-0.239%
Standard Error	0.366%
中位数	-0.363%
Mode	0.000%
Standard Deviation	9.240%
Sample Variance	85.371%
峰度	2.74
偏度	0.69
Range	74.843%
Minimum	-29.773%
Maximum	45.070%
Count	636

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.941%	302	47.48%	3.296%
负向	-6.918%	325	51.10%	-3.535%
Zero	0.000%	9	1.42%	0.000%

收盘-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 1.18 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -42.84%	1	0.47%	0.47%
-42.84% to -31.25%	2	0.95%	1.42%
-31.25% to -19.67%	5	2.37%	3.79%
-19.67% to -8.08%	39	18.48%	22.27%
-8.08% to 3.50%	69	32.70%	54.98%
3.50% to 15.08%	53	25.12%	80.09%
15.08% to 26.67%	28	13.27%	93.36%
26.67% to 38.25%	10	4.74%	98.10%
38.25% to 49.84%	3	1.42%	99.53%
Greater than 49.84%	1	0.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.95%	18.95%	71.09%	68.27%
±2σ	-27.39%	34.39%	95.73%	95.45%
±3σ	-42.84%	49.84%	99.05%	99.73%

Descriptive Statistics

均值	3.500%
Standard Error	1.063%
中位数	1.792%
Mode	0.000%
Standard Deviation	15.445%
Sample Variance	238.540%
峰度	1.18
偏度	0.30
Range	111.990%
Minimum	-49.882%
Maximum	62.108%
Count	211

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.847%	117	55.45%	7.678%
负向	-9.582%	92	43.60%	-4.178%
Zero	0.000%	2	0.95%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	25.43%
12	3 Years	21.04%
20	5 Years	23.14%
40	10 Years	25.17%
80	20 Years	28.40%
200	50 Years	24.36%

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 2.34. Further, an Excess 峰度 of 7.79 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.24%	0	0.00%	0.00%
-19.24% to -7.28%	0	0.00%	0.00%
-7.28% to 4.68%	0	0.00%	0.00%
4.68% to 16.64%	37	17.45%	17.45%
16.64% to 28.59%	93	43.87%	61.32%
28.59% to 40.55%	53	25.00%	86.32%
40.55% to 52.51%	14	6.60%	92.92%
52.51% to 64.46%	8	3.77%	96.70%
64.46% to 76.42%	2	0.94%	97.64%
Greater than 76.42%	5	2.36%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	12.65%	44.53%	82.08%	68.27%
±2σ	-3.29%	60.48%	95.28%	95.45%
±3σ	-19.24%	76.42%	97.64%	99.73%

Descriptive Statistics

均值	28.592%
Standard Error	1.095%
中位数	24.608%
Mode	16.667%
Standard Deviation	15.943%
Sample Variance	254.179%
峰度	7.79
偏度	2.34
Range	107.916%
Minimum	8.273%
Maximum	116.189%
Count	212

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	28.592%	212	100.00%	28.592%
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 1.60. Further, an Excess 峰度 of 7.81 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -48.56%	0	0.00%	0.00%
-48.56% to -36.61%	1	0.47%	0.47%
-36.61% to -24.66%	6	2.83%	3.30%
-24.66% to -12.71%	36	16.98%	20.28%
-12.71% to -0.75%	68	32.08%	52.36%
-0.75% to 11.20%	61	28.77%	81.13%
11.20% to 23.15%	28	13.21%	94.34%
23.15% to 35.10%	8	3.77%	98.11%
35.10% to 47.05%	1	0.47%	98.58%
Greater than 47.05%	3	1.42%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.69%	15.18%	74.06%	68.27%
±2σ	-32.62%	31.12%	97.64%	95.45%
±3σ	-48.56%	47.05%	98.58%	99.73%

Descriptive Statistics

均值	-0.754%
Standard Error	1.094%
中位数	-1.308%
Mode	-14.286%
Standard Deviation	15.935%
Sample Variance	253.930%
峰度	7.81
偏度	1.60
Range	138.204%
Minimum	-38.003%
Maximum	100.201%
Count	212

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.830%	96	45.28%	5.357%
负向	-11.265%	115	54.24%	-6.111%
Zero	0.000%	1	0.47%	0.000%

NYT 深度分析报告