XEL 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	1.40%	1.36%	1.27%	1.93%	1.38%	1.50%	78.06	80.25	76.99	81.37
周度	3.25%	4.39%	4.03%	4.35%	3.04%	3.30%	76.78	81.59	74.48	84.11
月度	5.93%	10.74%	7.84%	9.05%	6.33%	6.87%	74.30	84.32	69.74	89.83
季度	9.80%	28.73%	19.85%	15.41%	10.96%	11.90%	70.93	88.32	63.57	98.55
Annual	—	—	—	—	21.92%	23.80%	63.57	98.55	51.05	122.71
Option Time Horizon	—	—	—	—	8.35%	9.07%	72.81	86.05	66.97	93.54

Calculation Notes: Computed at 2026-04-26T02:45 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $79.15 | Strike (K): $80.00 (first OTM call ≥ spot) | Observed Mid-价格: $2.3000 (Bid $2.1000 / Ask $2.5000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 2.87% | Binomial IV (Annual): 21.92% (CRR binomial tree, American, n=20 steps) | BS IV: 22.09% (European Black-Scholes) | Yahoo IV (Annual): 23.80% → 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
2026-03-13	$0.5930
2025-12-29	$0.5700
2025-09-15	$0.5700
2025-06-13	$0.5700
2025-03-14	$0.5700
2025-01-06	$0.5480
2024-09-13	$0.5480
2024-06-14	$0.5480
2024-03-14	$0.5480
2023-12-27	$0.5200
2023-09-14	$0.5200
2023-06-14	$0.5200
2023-03-14	$0.5200
2022-12-28	$0.4880
2022-09-14	$0.4880
2022-06-14	$0.4880
2022-03-14	$0.4880
2021-12-21	$0.4580
2021-09-14	$0.4580
2021-06-14	$0.4580
2021-03-12	$0.4580
2020-12-22	$0.4300
2020-09-14	$0.4300
2020-06-12	$0.4300
2020-03-12	$0.4300
2019-12-24	$0.4050
2019-09-12	$0.4050
2019-06-13	$0.4050
2019-03-14	$0.4050
2018-12-27	$0.3800
2018-09-13	$0.3800
2018-06-14	$0.3800
2018-03-14	$0.3800
2017-12-27	$0.3600
2017-09-14	$0.3600
2017-06-13	$0.3600
2017-03-13	$0.3600
2016-12-22	$0.3400
2016-09-13	$0.3400
2016-06-14	$0.3400
2016-03-11	$0.3400
2015-12-22	$0.3200
2015-09-15	$0.3200
2015-06-16	$0.3200
2015-03-13	$0.3200
2014-12-23	$0.3000
2014-09-16	$0.3000
2014-06-17	$0.3000
2014-03-18	$0.3000
2013-12-24	$0.2800
2013-09-17	$0.2800
2013-06-18	$0.2800
2013-03-19	$0.2700
2012-12-24	$0.2700
2012-09-18	$0.2700
2012-06-19	$0.2700
2012-03-20	$0.2600
2011-12-22	$0.2600
2011-09-20	$0.2600
2011-06-21	$0.2600
2011-03-22	$0.2530
2010-12-21	$0.2530
2010-09-21	$0.2530
2010-06-22	$0.2530
2010-03-23	$0.2450
2009-12-22	$0.2450
2009-09-22	$0.2450
2009-06-23	$0.2450
2009-03-24	$0.2380
2008-12-24	$0.2380
2008-09-23	$0.2380
2008-06-24	$0.2380
2008-03-25	$0.2300
2007-12-24	$0.2300
2007-09-25	$0.2300
2007-06-26	$0.2300
2007-03-27	$0.2230
2006-12-26	$0.2230
2006-09-26	$0.2230
2006-06-27	$0.2230
2006-03-28	$0.2150
2005-12-29	$0.2150
2005-09-27	$0.2150
2005-06-28	$0.2150
2005-03-29	$0.2080
2004-12-30	$0.2080
2004-09-29	$0.2080
2004-06-30	$0.2080
2004-03-31	$0.1880
2003-12-30	$0.1880
2003-12-11	$0.1880
2003-07-02	$0.1880
2003-06-05	$0.1880
2002-12-31	$0.1880
2002-10-03	$0.1880
2002-07-03	$0.3750
2002-04-04	$0.3750
2001-12-28	$0.3750
2001-09-28	$0.3750
2001-07-05	$0.3750
2001-03-29	$0.3750
2000-12-28	$0.3750
2000-10-04	$0.2180
2000-08-21	$0.1590
2000-07-11	$0.3680
2000-04-11	$0.3630
1999-12-31	$0.3630
1999-09-29	$0.3630
1999-07-06	$0.3630
1999-04-05	$0.3580
1998-12-30	$0.3580
1998-09-29	$0.3580
1998-07-07	$0.3580
1998-04-06	$0.3525
1997-12-30	$0.3525
1997-09-29	$0.3525
1997-07-07	$0.3525
1997-04-07	$0.3450
1996-12-31	$0.3450
1996-09-27	$0.3450
1996-07-09	$0.3450
1996-04-08	$0.3375
1995-12-28	$0.3375
1995-09-28	$0.3375
1995-07-11	$0.3375
1995-04-03	$0.3300
1994-12-30	$0.3300
1994-09-27	$0.3300
1994-07-01	$0.3300
1994-04-04	$0.3225
1993-12-29	$0.3225
1993-09-27	$0.3225
1993-07-01	$0.3225
1993-04-02	$0.3150
1992-12-28	$0.3150
1992-09-25	$0.3150
1992-07-02	$0.3150
1992-04-02	$0.3025
1991-12-26	$0.3025
1991-09-25	$0.3025
1991-07-05	$0.3025
1991-04-02	$0.2900
1990-12-26	$0.2900
1990-09-25	$0.2900
1990-07-03	$0.2900
1990-04-03	$0.2775
1989-12-26	$0.2775
1989-09-26	$0.2775
1989-07-03	$0.2775
1989-03-28	$0.2650
1988-12-28	$0.2650
1988-09-27	$0.2650
1988-06-28	$0.2650
1988-03-28	$0.2525
1987-12-28	$0.2525
1987-09-29	$0.2525
1987-06-25	$0.2525
1987-03-31	$0.2375
1986-12-26	$0.2375
1986-09-30	$0.2375
1986-06-26	$0.2375
1986-03-26	$0.2200
1985-12-26	$0.2200
1985-09-26	$0.2200
1973-03-26	$0.1148

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals 高ly Left Skewed (Extreme 负向 Tail Risk) with a 偏度 factor of -1.45. Further, an Excess 峰度 of 67.68 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.15%	87	0.65%	0.65%
-4.15% to -3.10%	119	0.89%	1.54%
-3.10% to -2.06%	342	2.55%	4.09%
-2.06% to -1.01%	1423	10.63%	14.72%
-1.01% to 0.04%	5159	38.53%	53.24%
0.04% to 1.09%	4236	31.63%	84.88%
1.09% to 2.14%	1523	11.37%	96.25%
2.14% to 3.19%	341	2.55%	98.80%
3.19% to 4.24%	95	0.71%	99.51%
Greater than 4.24%	66	0.49%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.36%	1.44%	81.22%	68.27%
±2σ	-2.75%	2.84%	96.20%	95.45%
±3σ	-4.15%	4.24%	98.86%	99.73%

Descriptive Statistics

均值	0.042%
Standard Error	0.012%
中位数	0.000%
Mode	0.000%
Standard Deviation	1.398%
Sample Variance	1.953%
峰度	67.68
偏度	-1.45
Range	60.233%
Minimum	-36.767%
Maximum	23.466%
Count	13391

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	0.986%	6332	47.28%	0.466%
负向	-0.998%	5685	42.45%	-0.424%
Zero	0.000%	1374	10.26%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	2.33%
20	1 Month	2.00%
60	1 Quarter	2.02%
250	1 Year	1.81%
750	3 Years	1.89%
1,250	5 Years	1.93%
2,500	10 Years	1.86%
5,000	20 Years	1.80%
12,500	50 Years	1.76%

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 8.50. Further, an Excess 峰度 of 172.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.37%	0	0.00%	0.00%
-2.37% to -1.35%	0	0.00%	0.00%
-1.35% to -0.33%	0	0.00%	0.00%
-0.33% to 0.68%	1054	7.87%	7.87%
0.68% to 1.70%	7587	56.65%	64.52%
1.70% to 2.72%	3261	24.35%	88.87%
2.72% to 3.74%	879	6.56%	95.44%
3.74% to 4.75%	303	2.26%	97.70%
4.75% to 5.77%	124	0.93%	98.63%
Greater than 5.77%	184	1.37%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.34%	3.06%	91.49%	68.27%
±2σ	-1.01%	4.42%	97.14%	95.45%
±3σ	-2.37%	5.77%	98.63%	99.73%

Descriptive Statistics

均值	1.701%
Standard Error	0.012%
中位数	1.405%
Mode	1.562%
Standard Deviation	1.357%
Sample Variance	1.842%
峰度	172.58
偏度	8.50
Range	47.211%
Minimum	0.250%
Maximum	47.461%
Count	13392

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.701%	13392	100.00%	1.701%
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 2.53. Further, an Excess 峰度 of 75.25 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.85%	65	0.49%	0.49%
-3.85% to -2.89%	100	0.75%	1.23%
-2.89% to -1.94%	367	2.74%	3.97%
-1.94% to -0.98%	1554	11.60%	15.58%
-0.98% to -0.02%	4103	30.64%	46.21%
-0.02% to 0.93%	5196	38.80%	85.01%
0.93% to 1.89%	1438	10.74%	95.75%
1.89% to 2.85%	361	2.70%	98.45%
2.85% to 3.80%	118	0.88%	99.33%
Greater than 3.80%	90	0.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.30%	1.25%	80.82%	68.27%
±2σ	-2.57%	2.53%	96.33%	95.45%
±3σ	-3.85%	3.80%	98.84%	99.73%

Descriptive Statistics

均值	-0.024%
Standard Error	0.011%
中位数	0.000%
Mode	0.000%
Standard Deviation	1.275%
Sample Variance	1.624%
峰度	75.25
偏度	2.53
Range	51.830%
Minimum	-18.438%
Maximum	33.392%
Count	13392

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	0.940%	5667	42.32%	0.398%
负向	-0.909%	6211	46.38%	-0.422%
Zero	0.000%	1514	11.30%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.47. Further, an Excess 峰度 of 94.76 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.53%	11	0.40%	0.40%
-9.53% to -7.09%	19	0.68%	1.08%
-7.09% to -4.66%	63	2.27%	3.35%
-4.66% to -2.22%	296	10.67%	14.02%
-2.22% to 0.21%	993	35.80%	49.82%
0.21% to 2.65%	997	35.94%	85.76%
2.65% to 5.08%	314	11.32%	97.08%
5.08% to 7.52%	52	1.87%	98.95%
7.52% to 9.96%	15	0.54%	99.50%
Greater than 9.96%	14	0.50%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.04%	3.46%	83.35%	68.27%
±2σ	-6.28%	6.71%	97.15%	95.45%
±3σ	-9.53%	9.96%	99.10%	99.73%

Descriptive Statistics

均值	0.213%
Standard Error	0.062%
中位数	0.225%
Mode	0.000%
Standard Deviation	3.248%
Sample Variance	10.551%
峰度	94.76
偏度	0.47
Range	122.004%
Minimum	-59.427%
Maximum	62.577%
Count	2774

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.130%	1448	52.20%	1.112%
负向	-2.030%	1228	44.27%	-0.899%
Zero	0.000%	98	3.53%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	4.08%
12	1 Quarter	4.46%
52	1 Year	3.99%
156	3 Years	4.32%
260	5 Years	4.35%
520	10 Years	4.17%
1,040	20 Years	3.96%
2,600	50 Years	3.97%

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 23.01. Further, an Excess 峰度 of 842.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.08%	0	0.00%	0.00%
-9.08% to -5.78%	0	0.00%	0.00%
-5.78% to -2.49%	0	0.00%	0.00%
-2.49% to 0.81%	2	0.07%	0.07%
0.81% to 4.11%	1806	65.08%	65.15%
4.11% to 7.40%	771	27.78%	92.94%
7.40% to 10.70%	125	4.50%	97.44%
10.70% to 13.99%	36	1.30%	98.74%
13.99% to 17.29%	14	0.50%	99.24%
Greater than 17.29%	21	0.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-0.29%	8.50%	95.24%	68.27%
±2σ	-4.68%	12.89%	98.63%	95.45%
±3σ	-9.08%	17.29%	99.24%	99.73%

Descriptive Statistics

均值	4.105%
Standard Error	0.083%
中位数	3.383%
Mode	2.500%
Standard Deviation	4.394%
Sample Variance	19.307%
峰度	842.54
偏度	23.01
Range	174.971%
Minimum	0.420%
Maximum	175.391%
Count	2775

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.105%	2775	100.00%	4.105%
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 18.55. Further, an Excess 峰度 of 682.09 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.12%	7	0.25%	0.25%
-12.12% to -9.10%	5	0.18%	0.43%
-9.10% to -6.08%	26	0.94%	1.37%
-6.08% to -3.06%	228	8.22%	9.59%
-3.06% to -0.04%	1153	41.55%	51.14%
-0.04% to 2.98%	1088	39.21%	90.34%
2.98% to 6.00%	205	7.39%	97.73%
6.00% to 9.02%	43	1.55%	99.28%
9.02% to 12.04%	10	0.36%	99.64%
Greater than 12.04%	10	0.36%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.06%	3.99%	89.98%	68.27%
±2σ	-8.09%	8.02%	98.34%	95.45%
±3σ	-12.12%	12.04%	99.39%	99.73%

Descriptive Statistics

均值	-0.037%
Standard Error	0.076%
中位数	-0.166%
Mode	0.000%
Standard Deviation	4.027%
Sample Variance	16.213%
峰度	682.09
偏度	18.55
Range	174.494%
Minimum	-25.377%
Maximum	149.117%
Count	2775

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.205%	1245	44.87%	0.989%
负向	-2.006%	1420	51.17%	-1.026%
Zero	0.000%	110	3.96%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Left Skewed (负向 Asymmetry) with a 偏度 factor of -0.99. Further, an Excess 峰度 of 17.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.92%	2	0.31%	0.31%
-16.92% to -12.47%	4	0.63%	0.94%
-12.47% to -8.02%	29	4.55%	5.49%
-8.02% to -3.57%	78	12.23%	17.71%
-3.57% to 0.88%	193	30.25%	47.96%
0.88% to 5.33%	219	34.33%	82.29%
5.33% to 9.78%	92	14.42%	96.71%
9.78% to 14.23%	14	2.19%	98.90%
14.23% to 18.68%	4	0.63%	99.53%
Greater than 18.68%	3	0.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.05%	6.81%	76.49%	68.27%
±2σ	-10.98%	12.75%	96.71%	95.45%
±3σ	-16.92%	18.68%	99.22%	99.73%

Descriptive Statistics

均值	0.881%
Standard Error	0.235%
中位数	1.135%
Mode	0.000%
Standard Deviation	5.933%
Sample Variance	35.205%
峰度	17.93
偏度	-0.99
Range	96.292%
Minimum	-57.499%
Maximum	38.793%
Count	638

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.269%	379	59.40%	2.536%
负向	-4.141%	255	39.97%	-1.655%
Zero	0.000%	4	0.63%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	10.08%
12	1 Year	8.71%
36	3 Years	9.09%
60	5 Years	9.05%
120	10 Years	8.90%
240	20 Years	8.15%
600	50 Years	8.42%

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 15.52. Further, an Excess 峰度 of 313.98 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.93%	0	0.00%	0.00%
-22.93% to -14.87%	0	0.00%	0.00%
-14.87% to -6.82%	0	0.00%	0.00%
-6.82% to 1.24%	0	0.00%	0.00%
1.24% to 9.29%	432	67.61%	67.61%
9.29% to 17.35%	171	26.76%	94.37%
17.35% to 25.40%	24	3.76%	98.12%
25.40% to 33.46%	6	0.94%	99.06%
33.46% to 41.52%	1	0.16%	99.22%
Greater than 41.52%	5	0.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.45%	20.03%	96.40%	68.27%
±2σ	-12.19%	30.77%	98.59%	95.45%
±3σ	-22.93%	41.52%	99.22%	99.73%

Descriptive Statistics

均值	9.293%
Standard Error	0.425%
中位数	7.733%
Mode	4.167%
Standard Deviation	10.741%
Sample Variance	115.366%
峰度	313.98
偏度	15.52
Range	233.791%
Minimum	2.147%
Maximum	235.938%
Count	639

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.293%	639	100.00%	9.293%
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 9.92. Further, an Excess 峰度 of 181.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.66%	2	0.31%	0.31%
-23.66% to -17.78%	0	0.00%	0.31%
-17.78% to -11.90%	4	0.63%	0.94%
-11.90% to -6.03%	71	11.11%	12.05%
-6.03% to -0.15%	277	43.35%	55.40%
-0.15% to 5.73%	211	33.02%	88.42%
5.73% to 11.61%	59	9.23%	97.65%
11.61% to 17.49%	11	1.72%	99.37%
17.49% to 23.37%	2	0.31%	99.69%
Greater than 23.37%	2	0.31%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.99%	7.69%	87.64%	68.27%
±2σ	-15.82%	15.53%	98.59%	95.45%
±3σ	-23.66%	23.37%	99.37%	99.73%

Descriptive Statistics

均值	-0.147%
Standard Error	0.310%
中位数	-0.848%
Mode	0.000%
Standard Deviation	7.838%
Sample Variance	61.431%
峰度	181.27
偏度	9.92
Range	171.416%
Minimum	-27.019%
Maximum	144.397%
Count	639

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.867%	271	42.41%	2.064%
负向	-3.958%	357	55.87%	-2.211%
Zero	0.000%	11	1.72%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals 高ly Left Skewed (Extreme 负向 Tail Risk) with a 偏度 factor of -1.45. Further, an Excess 峰度 of 17.70 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%	1	0.47%	0.47%
-26.72% to -19.37%	0	0.00%	0.47%
-19.37% to -12.02%	6	2.83%	3.30%
-12.02% to -4.67%	34	16.04%	19.34%
-4.67% to 2.67%	56	26.42%	45.75%
2.67% to 10.02%	85	40.09%	85.85%
10.02% to 17.37%	23	10.85%	96.70%
17.37% to 24.72%	6	2.83%	99.53%
24.72% to 32.07%	0	0.00%	99.53%
Greater than 32.07%	1	0.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.12%	12.47%	79.25%	68.27%
±2σ	-16.92%	22.27%	97.64%	95.45%
±3σ	-26.72%	32.07%	99.06%	99.73%

Descriptive Statistics

均值	2.675%
Standard Error	0.673%
中位数	3.509%
Mode	4.196%
Standard Deviation	9.797%
Sample Variance	95.978%
峰度	17.70
偏度	-1.45
Range	124.399%
Minimum	-71.973%
Maximum	52.426%
Count	212

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.583%	138	65.09%	4.936%
负向	-6.477%	74	34.91%	-2.261%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	14.12%
12	3 Years	15.04%
20	5 Years	15.41%
40	10 Years	15.03%
80	20 Years	13.85%
200	50 Years	14.65%

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 12.71. Further, an Excess 峰度 of 175.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -68.51%	0	0.00%	0.00%
-68.51% to -46.96%	0	0.00%	0.00%
-46.96% to -25.42%	0	0.00%	0.00%
-25.42% to -3.87%	0	0.00%	0.00%
-3.87% to 17.68%	158	74.18%	74.18%
17.68% to 39.22%	50	23.47%	97.65%
39.22% to 60.77%	3	1.41%	99.06%
60.77% to 82.32%	1	0.47%	99.53%
82.32% to 103.86%	0	0.00%	99.53%
Greater than 103.86%	1	0.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.05%	46.41%	98.59%	68.27%
±2σ	-39.78%	75.13%	99.06%	95.45%
±3σ	-68.51%	103.86%	99.53%	99.73%

Descriptive Statistics

均值	17.676%
Standard Error	1.969%
中位数	13.599%
Mode	11.574%
Standard Deviation	28.729%
Sample Variance	825.374%
峰度	175.39
偏度	12.71
Range	411.128%
Minimum	4.302%
Maximum	415.430%
Count	213

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.676%	213	100.00%	17.676%
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 11.40. Further, an Excess 峰度 of 153.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -59.68%	0	0.00%	0.00%
-59.68% to -44.80%	0	0.00%	0.00%
-44.80% to -29.91%	1	0.47%	0.47%
-29.91% to -15.02%	6	2.82%	3.29%
-15.02% to -0.14%	120	56.34%	59.62%
-0.14% to 14.75%	81	38.03%	97.65%
14.75% to 29.64%	4	1.88%	99.53%
29.64% to 44.52%	0	0.00%	99.53%
44.52% to 59.41%	0	0.00%	99.53%
Greater than 59.41%	1	0.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.99%	19.71%	99.06%	68.27%
±2σ	-39.84%	39.56%	99.53%	95.45%
±3σ	-59.68%	59.41%	99.53%	99.73%

Descriptive Statistics

均值	-0.137%
Standard Error	1.360%
中位数	-2.456%
Mode	-5.594%
Standard Deviation	19.849%
Sample Variance	393.998%
峰度	153.06
偏度	11.40
Range	297.873%
Minimum	-32.212%
Maximum	265.661%
Count	213

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.328%	85	39.91%	3.722%
负向	-6.423%	128	60.09%	-3.860%
Zero	0.000%	0	0.00%	0.000%

XEL 深度分析报告