TRVG 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	4.15%	5.32%	3.68%	5.56%	8.46%	8.46%	2.68	3.18	2.47	3.46
周度	8.88%	12.03%	8.68%	12.47%	18.63%	18.63%	2.42	3.52	2.01	4.24
月度	17.82%	25.92%	21.01%	24.40%	38.78%	38.79%	1.98	4.30	1.34	6.34
季度	35.29%	62.90%	45.25%	44.89%	67.17%	67.19%	1.49	5.72	0.76	11.19
Annual	—	—	—	—	134.33%	134.38%	0.76	11.19	0.20	42.87
Option Time Horizon	—	—	—	—	48.20%	48.22%	1.80	4.73	1.11	7.66

Calculation Notes: Computed at 2026-03-01T12:16 UTC | Reference Contract: Call option expiring 2026-04-17 (47 days) | Spot 价格 (S): $2.92 | Strike (K): $5.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.1250 (Bid $0.0000 / Ask $0.2500) | Risk-Free Rate (r): 3.74% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 134.33% (CRR binomial tree, American, n=20 steps) | BS IV: 135.27% (European Black-Scholes) | Yahoo IV (Annual): 134.38% → 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
2023-11-14	$2.8250

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 1.32. Further, an Excess 峰度 of 17.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.47%	11	0.47%	0.47%
-12.47% to -9.36%	11	0.47%	0.94%
-9.36% to -6.24%	52	2.21%	3.15%
-6.24% to -3.13%	284	12.09%	15.24%
-3.13% to -0.01%	858	36.53%	51.77%
-0.01% to 3.10%	776	33.04%	84.80%
3.10% to 6.22%	244	10.39%	95.19%
6.22% to 9.33%	61	2.60%	97.79%
9.33% to 12.45%	23	0.98%	98.77%
Greater than 12.45%	29	1.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.17%	4.14%	80.72%	68.27%
±2σ	-8.32%	8.29%	96.08%	95.45%
±3σ	-12.47%	12.45%	98.30%	99.73%

Descriptive Statistics

均值	-0.014%
Standard Error	0.086%
中位数	-0.274%
Mode	0.000%
Standard Deviation	4.153%
Sample Variance	17.245%
峰度	17.00
偏度	1.32
Range	79.769%
Minimum	-27.864%
Maximum	51.905%
Count	2349

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.229%	977	41.59%	1.343%
负向	-2.621%	1216	51.77%	-1.357%
Zero	0.000%	156	6.64%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	1.43%
20	1 Month	3.35%
60	1 Quarter	3.48%
250	1 Year	4.50%
750	3 Years	5.45%
1,250	5 Years	5.56%
2,500	10 Years	5.98%
5,000	20 Years	5.98%
12,500	50 Years	5.98%

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 16.97. Further, an Excess 峰度 of 538.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.98%	0	0.00%	0.00%
-9.98% to -6.00%	0	0.00%	0.00%
-6.00% to -2.01%	0	0.00%	0.00%
-2.01% to 1.98%	122	5.19%	5.19%
1.98% to 5.96%	1395	59.36%	64.55%
5.96% to 9.95%	585	24.89%	89.45%
9.95% to 13.94%	141	6.00%	95.45%
13.94% to 17.92%	65	2.77%	98.21%
17.92% to 21.91%	24	1.02%	99.23%
Greater than 21.91%	18	0.77%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.65%	11.28%	92.38%	68.27%
±2σ	-4.67%	16.59%	97.53%	95.45%
±3σ	-9.98%	21.91%	99.23%	99.73%

Descriptive Statistics

均值	5.963%
Standard Error	0.110%
中位数	4.954%
Mode	4.167%
Standard Deviation	5.316%
Sample Variance	28.257%
峰度	538.80
偏度	16.97
Range	183.681%
Minimum	0.377%
Maximum	184.058%
Count	2350

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.963%	2350	100.00%	5.963%
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 -0.28. Further, an Excess 峰度 of 6.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.85%	20	0.85%	0.85%
-10.85% to -8.09%	31	1.32%	2.17%
-8.09% to -5.33%	69	2.94%	5.11%
-5.33% to -2.57%	278	11.83%	16.94%
-2.57% to 0.19%	784	33.36%	50.30%
0.19% to 2.95%	772	32.85%	83.15%
2.95% to 5.71%	272	11.57%	94.72%
5.71% to 8.47%	86	3.66%	98.38%
8.47% to 11.23%	21	0.89%	99.28%
Greater than 11.23%	17	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.49%	3.87%	77.57%	68.27%
±2σ	-7.17%	7.55%	94.89%	95.45%
±3σ	-10.85%	11.23%	98.43%	99.73%

Descriptive Statistics

均值	0.190%
Standard Error	0.076%
中位数	0.168%
Mode	0.000%
Standard Deviation	3.681%
Sample Variance	13.553%
峰度	6.49
偏度	-0.28
Range	55.137%
Minimum	-32.915%
Maximum	22.222%
Count	2350

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.708%	1188	50.55%	1.369%
负向	-2.717%	1020	43.40%	-1.179%
Zero	0.000%	142	6.04%	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 1.03. Further, an Excess 峰度 of 6.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -26.72%	2	0.41%	0.41%
-26.72% to -20.06%	7	1.43%	1.84%
-20.06% to -13.41%	13	2.66%	4.51%
-13.41% to -6.75%	57	11.68%	16.19%
-6.75% to -0.10%	180	36.89%	53.07%
-0.10% to 6.56%	150	30.74%	83.81%
6.56% to 13.22%	50	10.25%	94.06%
13.22% to 19.87%	15	3.07%	97.13%
19.87% to 26.53%	8	1.64%	98.77%
Greater than 26.53%	6	1.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.97%	8.78%	79.51%	68.27%
±2σ	-17.84%	17.66%	94.06%	95.45%
±3σ	-26.72%	26.53%	98.36%	99.73%

Descriptive Statistics

均值	-0.095%
Standard Error	0.402%
中位数	-0.660%
Mode	0.000%
Standard Deviation	8.875%
Sample Variance	78.764%
峰度	6.49
偏度	1.03
Range	93.038%
Minimum	-31.908%
Maximum	61.130%
Count	488

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.005%	209	42.83%	3.000%
负向	-5.833%	259	53.07%	-3.096%
Zero	0.000%	20	4.10%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	8.13%
12	1 Quarter	7.94%
52	1 Year	10.33%
156	3 Years	12.47%
260	5 Years	12.47%
520	10 Years	13.50%
1,040	20 Years	13.50%
2,600	50 Years	13.50%

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 6.87. Further, an Excess 峰度 of 83.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.62%	0	0.00%	0.00%
-21.62% to -12.60%	0	0.00%	0.00%
-12.60% to -3.58%	0	0.00%	0.00%
-3.58% to 5.43%	27	5.52%	5.52%
5.43% to 14.45%	295	60.33%	65.85%
14.45% to 23.47%	110	22.49%	88.34%
23.47% to 32.49%	33	6.75%	95.09%
32.49% to 41.51%	11	2.25%	97.34%
41.51% to 50.53%	6	1.23%	98.57%
Greater than 50.53%	7	1.43%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.43%	26.48%	92.02%	68.27%
±2σ	-9.60%	38.51%	97.14%	95.45%
±3σ	-21.62%	50.53%	98.57%	99.73%

Descriptive Statistics

均值	14.454%
Standard Error	0.544%
中位数	11.573%
Mode	9.091%
Standard Deviation	12.026%
Sample Variance	144.625%
峰度	83.26
偏度	6.87
Range	181.392%
Minimum	2.666%
Maximum	184.058%
Count	489

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.454%	489	100.00%	14.454%
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 0.62. Further, an Excess 峰度 of 4.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -25.02%	2	0.41%	0.41%
-25.02% to -18.52%	6	1.23%	1.64%
-18.52% to -12.01%	14	2.86%	4.50%
-12.01% to -5.50%	69	14.11%	18.61%
-5.50% to 1.01%	162	33.13%	51.74%
1.01% to 7.52%	157	32.11%	83.84%
7.52% to 14.03%	55	11.25%	95.09%
14.03% to 20.53%	12	2.45%	97.55%
20.53% to 27.04%	6	1.23%	98.77%
Greater than 27.04%	6	1.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.67%	9.69%	75.87%	68.27%
±2σ	-16.35%	18.37%	95.09%	95.45%
±3σ	-25.03%	27.04%	98.36%	99.73%

Descriptive Statistics

均值	1.009%
Standard Error	0.392%
中位数	0.813%
Mode	0.000%
Standard Deviation	8.678%
Sample Variance	75.303%
峰度	4.15
偏度	0.62
Range	83.957%
Minimum	-37.320%
Maximum	46.637%
Count	489

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.602%	265	54.19%	3.578%
负向	-5.983%	210	42.95%	-2.569%
Zero	0.000%	14	2.86%	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 1.25. Further, an Excess 峰度 of 3.19 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -54.02%	0	0.00%	0.00%
-54.02% to -40.66%	0	0.00%	0.00%
-40.66% to -27.30%	5	4.46%	4.46%
-27.30% to -13.94%	16	14.29%	18.75%
-13.94% to -0.58%	43	38.39%	57.14%
-0.58% to 12.78%	31	27.68%	84.82%
12.78% to 26.15%	8	7.14%	91.96%
26.15% to 39.51%	6	5.36%	97.32%
39.51% to 52.87%	1	0.89%	98.21%
Greater than 52.87%	2	1.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.39%	17.24%	78.57%	68.27%
±2σ	-36.21%	35.05%	96.43%	95.45%
±3σ	-54.02%	52.87%	98.21%	99.73%

Descriptive Statistics

均值	-0.577%
Standard Error	1.683%
中位数	-2.516%
Mode	-35.827%
Standard Deviation	17.815%
Sample Variance	317.357%
峰度	3.19
偏度	1.25
Range	108.049%
Minimum	-35.827%
Maximum	72.222%
Count	112

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.424%	47	41.96%	6.053%
负向	-11.425%	65	58.04%	-6.631%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	13.52%
12	1 Year	19.20%
36	3 Years	24.55%
60	5 Years	24.40%
120	10 Years	28.89%
240	20 Years	28.89%
600	50 Years	28.89%

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 3.10. Further, an Excess 峰度 of 13.19 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -43.26%	0	0.00%	0.00%
-43.26% to -23.82%	0	0.00%	0.00%
-23.82% to -4.38%	0	0.00%	0.00%
-4.38% to 15.06%	16	14.16%	14.16%
15.06% to 34.51%	63	55.75%	69.91%
34.51% to 53.95%	17	15.04%	84.96%
53.95% to 73.39%	11	9.73%	94.69%
73.39% to 92.83%	2	1.77%	96.46%
92.83% to 112.27%	1	0.88%	97.35%
Greater than 112.27%	3	2.65%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	8.58%	60.43%	90.27%	68.27%
±2σ	-17.34%	86.35%	96.46%	95.45%
±3σ	-43.26%	112.27%	97.35%	99.73%

Descriptive Statistics

均值	34.506%
Standard Error	2.439%
中位数	27.484%
Mode	14.286%
Standard Deviation	25.922%
Sample Variance	671.951%
峰度	13.19
偏度	3.10
Range	180.284%
Minimum	6.545%
Maximum	186.829%
Count	113

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	34.506%	113	100.00%	34.506%
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 2.21. Further, an Excess 峰度 of 12.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -58.23%	0	0.00%	0.00%
-58.23% to -42.48%	0	0.00%	0.00%
-42.48% to -26.72%	3	2.65%	2.65%
-26.72% to -10.96%	14	12.39%	15.04%
-10.96% to 4.80%	46	40.71%	55.75%
4.80% to 20.56%	36	31.86%	87.61%
20.56% to 36.32%	7	6.19%	93.81%
36.32% to 52.08%	5	4.42%	98.23%
52.08% to 67.83%	1	0.88%	99.12%
Greater than 67.83%	1	0.88%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.21%	25.81%	81.42%	68.27%
±2σ	-37.22%	46.82%	94.69%	95.45%
±3σ	-58.23%	67.83%	99.12%	99.73%

Descriptive Statistics

均值	4.800%
Standard Error	1.977%
中位数	2.963%
Mode	0.000%
Standard Deviation	21.011%
Sample Variance	441.482%
峰度	12.26
偏度	2.21
Range	173.444%
Minimum	-39.401%
Maximum	134.043%
Count	113

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.707%	67	59.29%	9.313%
负向	-11.591%	44	38.94%	-4.513%
Zero	0.000%	2	1.77%	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 1.02. Further, an Excess 峰度 of 0.54 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -106.28%	0	0.00%	0.00%
-106.28% to -79.82%	0	0.00%	0.00%
-79.82% to -53.36%	1	2.70%	2.70%
-53.36% to -26.89%	5	13.51%	16.22%
-26.89% to -0.43%	20	54.05%	70.27%
-0.43% to 26.04%	4	10.81%	81.08%
26.04% to 52.50%	3	8.11%	89.19%
52.50% to 78.97%	3	8.11%	97.30%
78.97% to 105.43%	1	2.70%	100.00%
Greater than 105.43%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-35.71%	34.86%	75.68%	68.27%
±2σ	-71.00%	70.14%	91.89%	95.45%
±3σ	-106.29%	105.43%	100.00%	99.73%

Descriptive Statistics

均值	-0.427%
Standard Error	5.801%
中位数	-10.204%
Mode	-65.632%
Standard Deviation	35.286%
Sample Variance	1245.072%
峰度	0.54
偏度	1.02
Range	152.299%
Minimum	-65.632%
Maximum	86.667%
Count	37

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	43.944%	11	29.73%	13.065%
负向	-19.199%	26	70.27%	-13.491%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	35.51%
12	3 Years	44.99%
20	5 Years	44.89%
40	10 Years	57.55%
80	20 Years	57.55%
200	50 Years	57.55%

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 3.15. Further, an Excess 峰度 of 12.81 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -112.97%	0	0.00%	0.00%
-112.97% to -65.80%	0	0.00%	0.00%
-65.80% to -18.62%	0	0.00%	0.00%
-18.62% to 28.55%	3	7.89%	7.89%
28.55% to 75.72%	23	60.53%	68.42%
75.72% to 122.89%	7	18.42%	86.84%
122.89% to 170.06%	3	7.89%	94.74%
170.06% to 217.24%	1	2.63%	97.37%
217.24% to 264.41%	0	0.00%	97.37%
Greater than 264.41%	1	2.63%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	12.82%	138.62%	89.47%	68.27%
±2σ	-50.07%	201.51%	94.74%	95.45%
±3σ	-112.97%	264.41%	97.37%	99.73%

Descriptive Statistics

均值	75.720%
Standard Error	10.203%
中位数	57.015%
Mode	15.901%
Standard Deviation	62.896%
Sample Variance	3955.849%
峰度	12.81
偏度	3.15
Range	354.499%
Minimum	15.901%
Maximum	370.400%
Count	38

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	75.720%	38	100.00%	75.720%
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 1.81. Further, an Excess 峰度 of 5.64 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -120.11%	0	0.00%	0.00%
-120.11% to -86.18%	0	0.00%	0.00%
-86.18% to -52.24%	0	0.00%	0.00%
-52.24% to -18.31%	7	18.42%	18.42%
-18.31% to 15.62%	13	34.21%	52.63%
15.62% to 49.56%	15	39.47%	92.11%
49.56% to 83.49%	1	2.63%	94.74%
83.49% to 117.43%	0	0.00%	94.74%
117.43% to 151.36%	1	2.63%	97.37%
Greater than 151.36%	1	2.63%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-29.62%	60.87%	76.32%	68.27%
±2σ	-74.87%	106.12%	94.74%	95.45%
±3σ	-120.11%	151.36%	97.37%	99.73%

Descriptive Statistics

均值	15.624%
Standard Error	7.340%
中位数	11.466%
Mode	-45.635%
Standard Deviation	45.246%
Sample Variance	2047.168%
峰度	5.64
偏度	1.81
Range	237.701%
Minimum	-45.635%
Maximum	192.066%
Count	38

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	36.287%	25	65.79%	23.873%
负向	-24.114%	13	34.21%	-8.250%
Zero	0.000%	0	0.00%	0.000%

TRVG 深度分析报告