PNW 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	1.70%	1.31%	1.34%	1.92%	1.27%	1.44%	101.01	103.61	99.74	104.93
周度	3.64%	3.88%	3.38%	4.35%	2.79%	3.18%	99.48	105.20	96.74	108.18
月度	7.91%	8.57%	7.26%	9.11%	5.82%	6.61%	96.52	108.43	91.06	114.92
季度	10.34%	14.62%	10.89%	15.36%	10.08%	11.45%	92.49	113.15	83.63	125.14
Annual	—	—	—	—	20.15%	22.90%	83.63	125.14	68.36	153.08
Option Time Horizon	—	—	—	—	7.68%	8.73%	94.74	110.47	87.73	119.28

Calculation Notes: Computed at 2026-04-26T02:45 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $102.30 | Strike (K): $105.00 (first OTM call ≥ spot) | Observed Mid-价格: $2.0250 (Bid $1.6000 / Ask $2.4500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 3.48% | Binomial IV (Annual): 20.15% (CRR binomial tree, American, n=20 steps) | BS IV: 20.27% (European Black-Scholes) | Yahoo IV (Annual): 22.90% → 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
2026-02-02	$0.9100
2025-11-03	$0.9100
2025-08-01	$0.8950
2025-05-05	$0.8950
2025-02-03	$0.8950
2024-11-04	$0.8950
2024-08-01	$0.8800
2024-04-30	$0.8800
2024-01-31	$0.8800
2023-10-31	$0.8800
2023-07-31	$0.8650
2023-04-28	$0.8650
2023-01-31	$0.8650
2022-10-31	$0.8650
2022-07-29	$0.8500
2022-04-29	$0.8500
2022-01-31	$0.8500
2021-11-15	$0.8500
2021-07-30	$0.8300
2021-04-30	$0.8300
2021-01-29	$0.8300
2020-10-30	$0.8300
2020-07-31	$0.7830
2020-05-01	$0.7830
2020-01-31	$0.7830
2019-11-01	$0.7830
2019-07-31	$0.7380
2019-04-30	$0.7380
2019-01-31	$0.7380
2018-10-31	$0.7380
2018-07-31	$0.6950
2018-04-30	$0.6950
2018-01-31	$0.6950
2017-10-31	$0.6950
2017-07-28	$0.6550
2017-04-27	$0.6550
2017-01-30	$0.6550
2016-10-28	$0.6550
2016-07-28	$0.6250
2016-04-28	$0.6250
2016-01-28	$0.6250
2015-10-29	$0.6250
2015-07-30	$0.5950
2015-04-30	$0.5950
2015-01-29	$0.5950
2014-10-30	$0.5950
2014-07-30	$0.5680
2014-05-01	$0.5680
2014-01-30	$0.5680
2013-10-31	$0.5680
2013-07-30	$0.5450
2013-04-29	$0.5450
2013-01-30	$0.5450
2012-10-31	$0.5450
2012-07-30	$0.5250
2012-04-27	$0.5250
2012-01-30	$0.5250
2011-10-28	$0.5250
2011-07-28	$0.5250
2011-04-28	$0.5250
2011-01-28	$0.5250
2010-10-28	$0.5250
2010-07-29	$0.5250
2010-04-29	$0.5250
2010-01-28	$0.5250
2009-10-29	$0.5250
2009-07-30	$0.5250
2009-04-29	$0.5250
2009-01-29	$0.5250
2008-10-30	$0.5250
2008-07-30	$0.5250
2008-04-29	$0.5250
2008-01-30	$0.5250
2007-10-30	$0.5250
2007-07-30	$0.5250
2007-04-27	$0.5250
2007-01-30	$0.5250
2006-10-30	$0.5250
2006-07-28	$0.5000
2006-04-27	$0.5000
2006-01-30	$0.5000
2005-10-28	$0.5000
2005-07-28	$0.4750
2005-04-28	$0.4750
2005-01-28	$0.4750
2004-10-28	$0.4750
2004-07-29	$0.4500
2004-04-29	$0.4500
2004-01-29	$0.4500
2003-10-30	$0.4500
2003-07-30	$0.4250
2003-04-29	$0.4250
2003-01-30	$0.4250
2002-10-30	$0.4250
2002-07-30	$0.4000
2002-04-29	$0.4000
2002-01-30	$0.4000
2001-10-30	$0.4000
2001-07-30	$0.3750
2001-04-27	$0.3750
2001-01-30	$0.3750
2000-10-30	$0.3750
2000-07-28	$0.3500
2000-04-27	$0.3500
2000-01-28	$0.3500
1999-10-28	$0.3500
1999-07-29	$0.3250
1999-04-29	$0.3250
1999-01-28	$0.3250
1998-10-29	$0.3250
1998-07-30	$0.3000
1998-04-29	$0.3000
1998-01-29	$0.3000
1997-10-30	$0.3000
1997-07-30	$0.2750
1997-04-30	$0.2750
1997-01-30	$0.2750
1996-10-30	$0.2750
1996-07-30	$0.2500
1996-04-29	$0.2500
1996-01-30	$0.2500
1995-10-30	$0.2500
1995-07-28	$0.2250
1995-04-25	$0.2250
1995-01-26	$0.2250
1994-10-26	$0.2250
1994-07-26	$0.2000
1994-04-26	$0.2000
1994-01-26	$0.2000
1993-10-26	$0.2000
1989-07-26	$0.4000
1989-04-25	$0.4000
1989-01-26	$0.4000
1988-10-26	$0.7000
1988-07-26	$0.7000
1988-04-26	$0.7000
1988-01-26	$0.7000
1987-10-27	$0.7000
1987-07-28	$0.7000
1987-04-28	$0.7000
1973-04-25	$0.2900

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 11.51. Further, an Excess 峰度 of 628.41 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%	64	0.48%	0.48%
-5.05% to -3.78%	105	0.78%	1.26%
-3.78% to -2.51%	288	2.15%	3.41%
-2.51% to -1.23%	1353	10.11%	13.52%
-1.23% to 0.04%	5539	41.38%	54.90%
0.04% to 1.31%	4268	31.88%	86.78%
1.31% to 2.58%	1361	10.17%	96.94%
2.58% to 3.85%	283	2.11%	99.06%
3.85% to 5.12%	73	0.55%	99.60%
Greater than 5.12%	53	0.40%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.66%	1.73%	83.84%	68.27%
±2σ	-3.35%	3.43%	96.91%	95.45%
±3σ	-5.05%	5.12%	99.13%	99.73%

Descriptive Statistics

均值	0.037%
Standard Error	0.015%
中位数	0.000%
Mode	0.000%
Standard Deviation	1.695%
Sample Variance	2.872%
峰度	628.41
偏度	11.51
Range	113.954%
Minimum	-23.256%
Maximum	90.698%
Count	13387

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.132%	6113	45.66%	0.517%
负向	-1.139%	5641	42.14%	-0.480%
Zero	0.000%	1633	12.20%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	2.15%
20	1 Month	1.78%
60	1 Quarter	1.96%
250	1 Year	1.64%
750	3 Years	1.77%
1,250	5 Years	1.92%
2,500	10 Years	1.90%
5,000	20 Years	1.85%
12,500	50 Years	1.92%

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 4.93. Further, an Excess 峰度 of 53.89 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.05%	0	0.00%	0.00%
-2.05% to -1.07%	0	0.00%	0.00%
-1.07% to -0.09%	0	0.00%	0.00%
-0.09% to 0.90%	1670	12.47%	12.47%
0.90% to 1.88%	6900	51.54%	64.01%
1.88% to 2.86%	3084	23.04%	87.05%
2.86% to 3.85%	994	7.42%	94.47%
3.85% to 4.83%	388	2.90%	97.37%
4.83% to 5.81%	154	1.15%	98.52%
Greater than 5.81%	198	1.48%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.57%	3.19%	88.50%	68.27%
±2σ	-0.74%	4.50%	96.59%	95.45%
±3σ	-2.05%	5.81%	98.52%	99.73%

Descriptive Statistics

均值	1.880%
Standard Error	0.011%
中位数	1.562%
Mode	1.282%
Standard Deviation	1.311%
Sample Variance	1.717%
峰度	53.89
偏度	4.93
Range	30.082%
Minimum	0.310%
Maximum	30.392%
Count	13388

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.880%	13388	100.00%	1.880%
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 0.06. Further, an Excess 峰度 of 17.51 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.03%	74	0.55%	0.55%
-4.03% to -3.02%	122	0.91%	1.46%
-3.02% to -2.02%	413	3.08%	4.55%
-2.02% to -1.01%	1646	12.29%	16.84%
-1.01% to -0.01%	3650	27.26%	44.11%
-0.01% to 0.99%	5274	39.39%	83.50%
0.99% to 2.00%	1544	11.53%	95.03%
2.00% to 3.00%	434	3.24%	98.27%
3.00% to 4.00%	128	0.96%	99.23%
Greater than 4.00%	103	0.77%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.35%	1.33%	78.26%	68.27%
±2σ	-2.69%	2.67%	95.58%	95.45%
±3σ	-4.03%	4.00%	98.68%	99.73%

Descriptive Statistics

均值	-0.011%
Standard Error	0.012%
中位数	0.000%
Mode	0.000%
Standard Deviation	1.338%
Sample Variance	1.791%
峰度	17.51
偏度	0.06
Range	41.374%
Minimum	-21.374%
Maximum	20.000%
Count	13388

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.062%	5626	42.02%	0.446%
负向	-1.036%	5907	44.12%	-0.457%
Zero	0.000%	1855	13.86%	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 3.63. Further, an Excess 峰度 of 90.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.75%	17	0.61%	0.61%
-10.75% to -8.02%	17	0.61%	1.23%
-8.02% to -5.28%	78	2.81%	4.04%
-5.28% to -2.55%	287	10.35%	14.38%
-2.55% to 0.18%	1000	36.05%	50.43%
0.18% to 2.91%	983	35.44%	85.87%
2.91% to 5.64%	294	10.60%	96.47%
5.64% to 8.37%	64	2.31%	98.77%
8.37% to 11.11%	19	0.68%	99.46%
Greater than 11.11%	15	0.54%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.46%	3.82%	81.87%	68.27%
±2σ	-7.10%	7.46%	96.32%	95.45%
±3σ	-10.75%	11.11%	98.85%	99.73%

Descriptive Statistics

均值	0.179%
Standard Error	0.069%
中位数	0.133%
Mode	0.000%
Standard Deviation	3.642%
Sample Variance	13.267%
峰度	90.49
偏度	3.63
Range	109.018%
Minimum	-28.583%
Maximum	80.435%
Count	2774

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.423%	1417	51.08%	1.238%
负向	-2.410%	1219	43.94%	-1.059%
Zero	0.000%	138	4.97%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	3.77%
12	1 Quarter	4.51%
52	1 Year	3.59%
156	3 Years	4.01%
260	5 Years	4.35%
520	10 Years	4.32%
1,040	20 Years	4.21%
2,600	50 Years	4.43%

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 12.15. Further, an Excess 峰度 of 310.27 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 -4.15%	0	0.00%	0.00%
-4.15% to -1.24%	0	0.00%	0.00%
-1.24% to 1.67%	111	4.00%	4.00%
1.67% to 4.58%	1695	61.08%	65.08%
4.58% to 7.49%	675	24.32%	89.41%
7.49% to 10.40%	187	6.74%	96.14%
10.40% to 13.31%	51	1.84%	97.98%
13.31% to 16.22%	23	0.83%	98.81%
Greater than 16.22%	33	1.19%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.70%	8.46%	92.47%	68.27%
±2σ	-3.18%	12.34%	97.44%	95.45%
±3σ	-7.06%	16.22%	98.81%	99.73%

Descriptive Statistics

均值	4.579%
Standard Error	0.074%
中位数	3.774%
Mode	3.226%
Standard Deviation	3.879%
Sample Variance	15.043%
峰度	310.27
偏度	12.15
Range	120.812%
Minimum	0.617%
Maximum	121.429%
Count	2775

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.579%	2775	100.00%	4.579%
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 0.87. Further, an Excess 峰度 of 24.53 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.14%	12	0.43%	0.43%
-10.14% to -7.61%	24	0.86%	1.30%
-7.61% to -5.08%	57	2.05%	3.35%
-5.08% to -2.55%	330	11.89%	15.24%
-2.55% to -0.02%	979	35.28%	50.52%
-0.02% to 2.51%	970	34.95%	85.48%
2.51% to 5.04%	264	9.51%	94.99%
5.04% to 7.57%	87	3.14%	98.13%
7.57% to 10.11%	29	1.05%	99.17%
Greater than 10.11%	23	0.83%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.40%	3.35%	81.05%	68.27%
±2σ	-6.77%	6.73%	95.86%	95.45%
±3σ	-10.14%	10.11%	98.74%	99.73%

Descriptive Statistics

均值	-0.020%
Standard Error	0.064%
中位数	-0.074%
Mode	0.000%
Standard Deviation	3.375%
Sample Variance	11.391%
峰度	24.53
偏度	0.87
Range	83.690%
Minimum	-42.169%
Maximum	41.521%
Count	2775

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.496%	1222	44.04%	1.099%
负向	-2.210%	1405	50.63%	-1.119%
Zero	0.000%	148	5.33%	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 3.98. Further, an Excess 峰度 of 63.32 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.94%	3	0.47%	0.47%
-22.94% to -17.00%	3	0.47%	0.94%
-17.00% to -11.07%	11	1.72%	2.66%
-11.07% to -5.14%	70	10.97%	13.64%
-5.14% to 0.79%	240	37.62%	51.25%
0.79% to 6.72%	227	35.58%	86.83%
6.72% to 12.65%	65	10.19%	97.02%
12.65% to 18.58%	13	2.04%	99.06%
18.58% to 24.51%	3	0.47%	99.53%
Greater than 24.51%	3	0.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.12%	8.70%	82.92%	68.27%
±2σ	-15.03%	16.60%	97.34%	95.45%
±3σ	-22.94%	24.51%	99.06%	99.73%

Descriptive Statistics

均值	0.788%
Standard Error	0.313%
中位数	0.678%
Mode	0.000%
Standard Deviation	7.908%
Sample Variance	62.531%
峰度	63.32
偏度	3.98
Range	155.148%
Minimum	-43.243%
Maximum	111.905%
Count	638

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.126%	351	55.02%	2.820%
负向	-4.647%	279	43.73%	-2.032%
Zero	0.000%	8	1.25%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	7.62%
12	1 Year	6.85%
36	3 Years	8.24%
60	5 Years	9.11%
120	10 Years	9.19%
240	20 Years	8.83%
600	50 Years	9.69%

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 6.79. Further, an Excess 峰度 of 73.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.24%	0	0.00%	0.00%
-15.24% to -8.81%	0	0.00%	0.00%
-8.81% to -2.38%	0	0.00%	0.00%
-2.38% to 4.04%	28	4.38%	4.38%
4.04% to 10.47%	383	59.94%	64.32%
10.47% to 16.90%	168	26.29%	90.61%
16.90% to 23.33%	33	5.16%	95.77%
23.33% to 29.75%	15	2.35%	98.12%
29.75% to 36.18%	2	0.31%	98.44%
Greater than 36.18%	10	1.56%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.90%	19.04%	92.33%	68.27%
±2σ	-6.67%	27.61%	97.65%	95.45%
±3σ	-15.24%	36.18%	98.44%	99.73%

Descriptive Statistics

均值	10.471%
Standard Error	0.339%
中位数	8.642%
Mode	16.667%
Standard Deviation	8.570%
Sample Variance	73.447%
峰度	73.33
偏度	6.79
Range	124.252%
Minimum	2.577%
Maximum	126.829%
Count	639

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.471%	639	100.00%	10.471%
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 1.67. Further, an Excess 峰度 of 24.18 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.83%	2	0.31%	0.31%
-21.83% to -16.39%	3	0.47%	0.78%
-16.39% to -10.94%	15	2.35%	3.13%
-10.94% to -5.50%	82	12.83%	15.96%
-5.50% to -0.06%	229	35.84%	51.80%
-0.06% to 5.39%	209	32.71%	84.51%
5.39% to 10.83%	72	11.27%	95.77%
10.83% to 16.28%	15	2.35%	98.12%
16.28% to 21.72%	6	0.94%	99.06%
Greater than 21.72%	6	0.94%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.31%	7.20%	79.97%	68.27%
±2σ	-14.57%	14.46%	96.87%	95.45%
±3σ	-21.83%	21.72%	98.75%	99.73%

Descriptive Statistics

均值	-0.055%
Standard Error	0.287%
中位数	-0.420%
Mode	0.000%
Standard Deviation	7.259%
Sample Variance	52.691%
峰度	24.18
偏度	1.67
Range	128.999%
Minimum	-52.809%
Maximum	76.190%
Count	639

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.139%	292	45.70%	2.348%
负向	-4.641%	331	51.80%	-2.404%
Zero	0.000%	16	2.50%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.04. Further, an Excess 峰度 of 2.81 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.95%	1	0.47%	0.47%
-28.95% to -21.19%	4	1.89%	2.36%
-21.19% to -13.44%	10	4.72%	7.08%
-13.44% to -5.68%	27	12.74%	19.81%
-5.68% to 2.07%	62	29.25%	49.06%
2.07% to 9.83%	63	29.72%	78.77%
9.83% to 17.58%	40	18.87%	97.64%
17.58% to 25.34%	2	0.94%	98.58%
25.34% to 33.09%	1	0.47%	99.06%
Greater than 33.09%	2	0.94%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.27%	12.41%	76.42%	68.27%
±2σ	-18.61%	22.75%	94.34%	95.45%
±3σ	-28.95%	33.09%	98.58%	99.73%

Descriptive Statistics

均值	2.071%
Standard Error	0.710%
中位数	2.473%
Mode	7.895%
Standard Deviation	10.340%
Sample Variance	106.919%
峰度	2.81
偏度	0.04
Range	87.415%
Minimum	-37.931%
Maximum	49.484%
Count	212

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.137%	131	61.79%	5.028%
负向	-7.836%	80	37.74%	-2.957%
Zero	0.000%	1	0.47%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	11.00%
12	3 Years	13.15%
20	5 Years	15.36%
40	10 Years	15.34%
80	20 Years	15.35%
200	50 Years	16.93%

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 4.43. Further, an Excess 峰度 of 29.19 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.47%	0	0.00%	0.00%
-24.47% to -13.50%	0	0.00%	0.00%
-13.50% to -2.53%	0	0.00%	0.00%
-2.53% to 8.44%	12	5.63%	5.63%
8.44% to 19.40%	132	61.97%	67.61%
19.40% to 30.37%	46	21.60%	89.20%
30.37% to 41.34%	11	5.16%	94.37%
41.34% to 52.31%	4	1.88%	96.24%
52.31% to 63.28%	5	2.35%	98.59%
Greater than 63.28%	3	1.41%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.78%	34.03%	92.96%	68.27%
±2σ	-9.85%	48.65%	96.24%	95.45%
±3σ	-24.47%	63.28%	98.59%	99.73%

Descriptive Statistics

均值	19.404%
Standard Error	1.002%
中位数	15.837%
Mode	14.286%
Standard Deviation	14.625%
Sample Variance	213.899%
峰度	29.19
偏度	4.43
Range	139.839%
Minimum	5.161%
Maximum	145.000%
Count	213

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.404%	213	100.00%	19.404%
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 4.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.97%	1	0.47%	0.47%
-32.97% to -24.80%	1	0.47%	0.94%
-24.80% to -16.63%	2	0.94%	1.88%
-16.63% to -8.46%	40	18.78%	20.66%
-8.46% to -0.29%	77	36.15%	56.81%
-0.29% to 7.88%	56	26.29%	83.10%
7.88% to 16.05%	21	9.86%	92.96%
16.05% to 24.22%	7	3.29%	96.24%
24.22% to 32.39%	6	2.82%	99.06%
Greater than 32.39%	2	0.94%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.19%	10.60%	78.87%	68.27%
±2σ	-22.08%	21.49%	95.31%	95.45%
±3σ	-32.97%	32.39%	98.59%	99.73%

Descriptive Statistics

均值	-0.293%
Standard Error	0.746%
中位数	-1.976%
Mode	0.000%
Standard Deviation	10.893%
Sample Variance	118.659%
峰度	4.80
偏度	1.31
Range	93.103%
Minimum	-33.103%
Maximum	60.000%
Count	213

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.362%	87	40.84%	3.824%
负向	-7.072%	124	58.22%	-4.117%
Zero	0.000%	2	0.94%	0.000%

PNW 深度分析报告