{"id":5099,"date":"2026-10-23T07:45:00","date_gmt":"2026-10-22T23:45:00","guid":{"rendered":"https:\/\/laoyulaoyu.com\/?p=5099"},"modified":"2026-10-20T18:31:19","modified_gmt":"2026-10-20T10:31:19","slug":"%e6%88%91%e6%8a%8a%e9%82%a3%e4%b8%aa%e6%8b%92%e6%8e%8999%e7%ad%96%e7%95%a5%e7%9a%84%e5%85%ac%e5%bc%8f%e8%b7%91%e9%80%9a%e4%ba%86%ef%bc%8c%e5%be%97%e5%87%ba%e4%b8%80%e4%b8%aa%e5%8f%8d%e7%9b%b4%e8%a7%89","status":"publish","type":"post","link":"http:\/\/laoyulaoyu.com\/index.php\/2026\/10\/23\/%e6%88%91%e6%8a%8a%e9%82%a3%e4%b8%aa%e6%8b%92%e6%8e%8999%e7%ad%96%e7%95%a5%e7%9a%84%e5%85%ac%e5%bc%8f%e8%b7%91%e9%80%9a%e4%ba%86%ef%bc%8c%e5%be%97%e5%87%ba%e4%b8%80%e4%b8%aa%e5%8f%8d%e7%9b%b4%e8%a7%89\/","title":{"rendered":"\u6211\u628a\u90a3\u4e2a\u62d2\u638999%\u7b56\u7565\u7684\u516c\u5f0f\u8dd1\u901a\u4e86\uff0c\u5f97\u51fa\u4e00\u4e2a\u53cd\u76f4\u89c9\u7684\u7ed3\u8bba"},"content":{"rendered":"\n<p class=\"wp-block-paragraph\">\u4f5c \u8005\uff1a<a href=\"https:\/\/www.laoyulaoyu.com\/\" target=\"_blank\" rel=\"noreferrer noopener\">\u8001\u4f59\u635e\u9c7c<\/a><\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong><mark style=\"background-color:rgba(0, 0, 0, 0)\" class=\"has-inline-color has-cyan-bluish-gray-color\">\u539f\u521b\u4e0d\u6613\uff0c\u8f6c\u8f7d\u8bf7\u6807\u660e\u51fa\u5904\u53ca\u539f\u4f5c\u8005\u3002<\/mark><\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img fetchpriority=\"high\" decoding=\"async\" width=\"900\" height=\"383\" src=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/cover-9.png\" alt=\"\" class=\"wp-image-5100\" srcset=\"http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/cover-9.png 900w, http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/cover-9-300x128.png 300w, http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/cover-9-766x326.png 766w\" sizes=\"(max-width: 900px) 100vw, 900px\" \/><\/figure>\n\n\n\n<blockquote class=\"wp-block-quote is-layout-flow wp-block-quote-is-layout-flow\">\n<p class=\"wp-block-paragraph\">\u6587\u4e2d\u5185\u5bb9\u4ec5\u7528\u4e8e\u6280\u672f\u8ba8\u8bba\uff0c\u4e0d\u6784\u6210\u4efb\u4f55\u64cd\u4f5c\u5efa\u8bae\u3002<br>\u6a21\u578b\u8bc4\u6d4b\u4e0d\u7b49\u4e8e\u6295\u8d44\u5efa\u8bae\u3002<br>\u672c\u53f7\u4e0d\u8350\u80a1\u3001\u4e0d\u5356\u8bfe\u3001\u4e0d\u627f\u8bfa\u6536\u76ca\u3002<br>\u5e02\u573a\u6709\u98ce\u9669\uff0c\u8bf7\u5408\u6cd5\u5408\u89c4\u6295\u8d44\u3002<\/p>\n<\/blockquote>\n\n\n\n<p class=\"wp-block-paragraph\">\u672c\u6587\u7ea6 5500 \u5b57 | \u9884\u8ba1\u9605\u8bfb 9-15 \u5206\u949f\uff0c\u540e\u6709\u4ee3\u7801\u548c\u76f8\u5173\u8bba\u6587\u5730\u5740\uff0c\u5efa\u8bae\u5148\u6536\u85cf\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u6211\u624b\u4e0a\u6709\u4e2a\u7b5b\u7b56\u7565\u7684\u6d41\u7a0b\uff0c\u8fd9\u4e24\u5e74\u4e00\u76f4\u5728\u7528\u3002\u6838\u5fc3\u662f\u4e00\u4e2a\u6570\uff0cDeflated Sharpe Ratio\uff0c\u4e2d\u6587\u53eb<strong>\u7f29\u653e\u590f\u666e\u6bd4\u7387<\/strong>\u3002\u5b83\u5e72\u7684\u4e8b\u4e00\u53e5\u8bdd\u8bf4\u5b8c\uff1a\u591a\u6b21\u5c1d\u8bd5\u540e\u770b\u7eaf\u566a\u58f0\u4e5f\u80fd\u78b0\u5230\u7684\u6700\u597d\u6210\u7ee9\u662f\u591a\u5c11\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8fd9\u4e2a\u6570\u6211\u7528\u4e86\u4e24\u5e74\uff0c\u4e00\u76f4\u6ca1\u51fa\u8fc7\u5c94\u5b50\u3002\u4e0a\u4e2a\u6708\u6211\u62ff\u5b83\u6838\u4e00\u4e2a\u81ea\u5df1\u7684\u7b56\u7565\uff0c\u95e8\u69db\u7b97\u51fa\u6765\u4e00\u4e2a\u6570\uff0c\u8ddf\u5370\u8c61\u91cc\u7684\u5bf9\u4e0d\u4e0a\u3002\u6211\u4ee5\u4e3a\u662f\u5b9e\u73b0\u6709 bug\uff0c\u53bb\u628a\u8bba\u6587\u627e\u51fa\u6765\u91cd\u65b0\u5bf9\u4e86\u4e00\u904d\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u7ed3\u679c\u662f\u6211\u81ea\u5df1\u9519\u4e86\u3002\u9519\u5f97\u8fd8\u633a\u79bb\u8c31\uff0c15.87 \u500d\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8fd9\u7bc7\u6587\u7ae0\u662f\u6211\u8fd9\u6b21\u7684\u6392\u67e5\u8bb0\u5f55\u3002\u6240\u6709\u6570\u5b57\u90fd\u662f\u6211\u672c\u5730\u5b9e\u8dd1\u7684\uff0c\u4e24\u4e2a\u811a\u672c\u9644\u5728\u540e\u9762\uff0c\u4f60\u53ef\u4ee5\u81ea\u5df1\u8dd1\u4e00\u904d\u5bf9\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u4e00\u3001\u8fd9\u4e2a\u516c\u5f0f\u5230\u5e95\u5728\u7b97\u4ec0\u4e48<\/strong><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">\u6211\u5148\u628a\u8fd9\u4e2a\u6570\u8bf4\u6e05\u695a\uff0c\u514d\u5f97\u540e\u9762\u5927\u5bb6\u770b\u4e0d\u660e\u767d\u3002\u63d0\u51fa\u8005\u662f David Bailey \u548c Marcos L\u00f3pez de Prado\uff0c2014 \u5e74\u53d1\u5728 Journal of Portfolio Management\uff0c\u7b2c 40 \u5377\u7b2c 5 \u671f\uff0c94 \u5230 107 \u9875\u3002L\u00f3pez de Prado \u5f53\u65f6\u7684\u804c\u52a1\u662f Guggenheim Partners \u7684 Senior Managing Director\u3002\u8fd9\u6761\u6211\u67e5\u4e86\u4e24\u4e2a\u6765\u6e90\uff0c2014 \u5e74\u4ed6\u4e00\u7bc7\u8bba\u6587\u7684\u4f5c\u8005\u7f72\u540d\uff0c\u8fd8\u6709\u90a3\u5e74\u4e00\u573a Quant Research Foundation \u8bb2\u5ea7\u7684\u8bb2\u8005\u4ecb\u7ecd\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u6211\u539f\u6765\u7528\u5b83\u505a\u4e2a\u5224\u65ad\uff0c\u5c31\u662f\u62ff 1.5 \u5f53\u7ebf\uff0c\u8d85\u8fc7\u5c31\u5f80\u4e0b\u8d70\u3002\u7528\u4e86\u534a\u5e74\u53d1\u73b0\u8fd9\u4e2a\u6570\u6839\u672c\u6ca1\u610f\u4e49\uff0c\u56e0\u4e3a\u95e8\u69db\u4e0d\u662f\u4e2a\u5e38\u6570\u3002\u5b83\u968f\u4f60\u8bd5\u4e86\u591a\u5c11\u6b21\u53d8\uff0c\u4e5f\u968f\u56de\u6d4b\u6709\u591a\u957f\u53d8\u3002\u4f60\u626b\u4e86 200 \u7ec4\u53c2\u6570\u53d6\u6700\u597d\u7684\u90a3\u4e2a\uff0c\u8fd9 200 \u7ec4\u54ea\u6015\u5168\u662f\u968f\u673a\u6570\uff0c\u6700\u9ad8\u7684\u4e5f\u80fd\u5230\u591a\u5c11\u3002\u4f60\u7684 Sharpe \u8981\u9ad8\u8fc7\u8fd9\u6761\u7ebf\u624d\u7b97\u771f\u7684\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u5b83\u8981\u6263\u4e24\u4e2a\u4e1c\u897f\u3002\u4e00\u662f\u591a\u91cd\u8bd5\u9a8c\uff0c\u8bd5\u7684\u6b21\u6570\u8d8a\u591a\u95e8\u69db\u8d8a\u9ad8\u3002\u4e8c\u662f\u6536\u76ca\u5206\u5e03\u4e0d\u6b63\u6001\uff0c\u6b63\u6001\u5047\u8bbe\u4e0b Sharpe \u7684\u6807\u51c6\u8bef\u4f1a\u7b97\u5c0f\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u516c\u5f0f\u672c\u8eab\u4e0d\u957f\uff0c\u6211\u628a\u8bba\u6587\u5f0f(1) \u6284\u5728\u8fd9\u91cc\uff0c\u65b9\u62ec\u53f7\u91cc\u90a3\u4e2a\u4e1c\u897f\u5c31\u662f\u6781\u503c\u9879\u3002<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>SR0 = sqrt(V&#91;SR]) * &#91; (1 - gamma) * Z^-1(1 - 1\/N) + gamma * Z^-1(1 - 1\/(Ne)) ]<\/code><\/pre>\n\n\n\n<p class=\"wp-block-paragraph\">gamma \u662f\u6b27\u62c9-\u9a6c\u65af\u514b\u7f57\u5c3c\u5e38\u6570\uff0c0.5772156649\u3002Z^-1 \u662f\u6807\u51c6\u6b63\u6001\u5206\u5e03\u7684\u5206\u4f4d\u6570\u51fd\u6570\u3002\u5c31\u662f\u5e38\u8bf4\u7684 3 sigma \u5bf9\u5e94 0.9986501 \u90a3\u6761\u7ebf\u3002N \u662f\u8bd5\u9a8c\u6b21\u6570\u3002e \u662f\u81ea\u7136\u5e38\u6570 2.71828\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u7136\u540e\u62ff\u4f60\u7684 Sharpe \u51cf\u6389\u95e8\u69db\uff0c\u9664\u4ee5\u6807\u51c6\u8bef\uff0c\u5f97\u5230\u4e00\u4e2a Z \u503c\u3002\u518d\u67e5\u4e00\u6b21\u6b63\u6001\u5206\u5e03\uff0c\u5f97\u5230 0 \u5230 1 \u4e4b\u95f4\u7684\u6982\u7387\u3002\u8fd9\u5c31\u662f DSR\uff0c\u4e00\u822c\u62ff 0.95 \u5f53\u5224\u5b9a\u7ebf\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8bf4\u5b9e\u8bdd\u6211\u7b2c\u4e00\u6b21\u8bfb\u5230\u8fd9\u91cc\u89c9\u5f97\u6709\u70b9\u62bd\u8c61\u3002\u628a N=100 \u4ee3\u8fdb\u53bb\u5c31\u660e\u767d\u4e86\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u4e8c\u3001\u6211\u628a\u4e24\u4e2a\u53e3\u5f84\u641e\u6df7\u4e86<\/strong><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">\u6211\u6309\u516c\u5f0f\u7b97 N=100\uff0c\u65b9\u62ec\u53f7\u91cc\u90a3\u4e2a\u6781\u503c\u9879\u662f 2.5306\u3002\u8ddf\u6211\u5370\u8c61\u91cc\u7684 2.0 \u5dee\u4e0d\u591a\uff0c\u6211\u5c31\u5f53\u5b83\u662f\u5bf9\u7684\uff0c\u63a5\u7740\u5f80\u4e0b\u7b97\u4e86\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u9519\u5c31\u5728\u8fd9\u513f\u30022.5306 \u4e0d\u662f\u5e74\u5316 Sharpe\uff0c\u662f\u5355\u671f\u53e3\u5f84\u7684\uff0c\u6bcf\u4e00\u6839 K \u7ebf\u3001\u6bcf\u4e00\u7b14\u4ea4\u6613\u90a3\u4e2a\u5c42\u9762\u7684 Sharpe\u3002\u8ddf\u4f60\u5728\u8f6f\u4ef6\u91cc\u770b\u5230\u7684\u5e74\u5316 Sharpe\uff0c\u5dee \u221a252 \u500d\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8fd9\u4e2a\u6211\u4e00\u5f00\u59cb\u6ca1\u7559\u610f\u3002\u5199\u5b8c\u90a3\u6bb5\u56de\u5934\u626b\u6570\u5b57\uff0c\u76ef\u7740 2.53 \u770b\u4e86\u597d\u51e0\u904d\uff0c\u624d\u53d1\u73b0\u5b83\u914d\u7684\u662f\u300c\u5e74\u5316\u300d\u4e24\u4e2a\u5b57\u3002\u624b\u4e0a\u90a3\u676f\u6c34\u90fd\u653e\u4e0b\u4e86\u3002\u95e8\u69db\u7b97\u9519 15 \u500d\uff0c\u540e\u9762\u6240\u6709\u7ed3\u8bba\u90fd\u5f97\u8ddf\u7740\u7ffb\u76d8\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u6362\u6210\u5e74\u6765\u7b97\uff0c10 \u5e74\u65e5\u7ebf\u6570\u636e\u4e00\u5171 2520 \u6839 K \u7ebf\uff0c\u90a3\u4e2a\u95e8\u69db\u662f 0.80\u30021 \u5e74\u6570\u636e\u624d\u662f 2.54\uff0c\u8ddf\u6211\u5370\u8c61\u91cc\u90a3\u4e2a 2.0 \u5dee\u5f97\u4e0d\u591a\u3002\u6240\u4ee5\u300c100 \u6b21\u8bd5\u9a8c Sharpe 2.0 \u5c31\u662f\u566a\u58f0\u671f\u671b\u300d\u8fd9\u53e5\u8bdd\uff0c\u6211\u62ff\u5b83\u53bb\u8fc7\u4e0d\u540c\u7684\u56de\u6d4b\u957f\u5ea6\uff0c\u53ea\u6709 1 \u5e74\u7684\u65f6\u5019\u624d\u5bf9\u5f97\u4e0a\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8fd9\u4e0d\u662f\u4e00\u4e2a\u62bd\u8c61\u7684\u53e3\u5f84\u95ee\u9898\uff0c\u5b83\u76f4\u63a5\u51b3\u5b9a\uff1a\u6211\u8be5\u62ff\u591a\u5c11 Sharpe \u53bb\u6bd4\u300210 \u5e74\u6570\u636e\u8dd1\u51fa Sharpe 2.1\uff0c\u6309\u9519\u7684\u90a3\u4e2a\u53e3\u5f84\u770b\u7740\u50cf\u521a\u8fc7\u95e8\u69db\uff0c\u6309\u5bf9\u7684\u53e3\u5f84\u79bb 0.80 \u8fd8\u6709\u5f88\u8fdc\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u53cd\u8fc7\u6765\u4e5f\u6210\u7acb\u3002\u5982\u679c\u53ea\u6709 3 \u5e74\u56de\u6d4b\uff0c\u95e8\u69db\u662f 1.46\uff0c\u4e00\u4e2a Sharpe 1.2 \u770b\u7740\u4f53\u9762\uff0c\u5176\u5b9e\u5dee\u5f97\u8fdc\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"1024\" height=\"585\" src=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/01-sharpe-unit-mismatch-1024x585.png\" alt=\"\" class=\"wp-image-5101\" srcset=\"http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/01-sharpe-unit-mismatch-1024x585.png 1024w, http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/01-sharpe-unit-mismatch-300x171.png 300w, http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/01-sharpe-unit-mismatch-767x438.png 767w, http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/01-sharpe-unit-mismatch.png 1344w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><figcaption class=\"wp-element-caption\">\u5355\u671f\u53e3\u5f84\u548c\u5e74\u5316\u53e3\u5f84\u5dee 15.87 \u500d\uff0c\u53ea\u6709 1 \u5e74\u6570\u636e\u65f6\u95e8\u69db\u624d\u591f2.0<\/figcaption><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">\u6211\u5148\u505a\u4e86\u4e2a\u81ea\u6211\u6821\u9a8c\uff0c\u6015\u81ea\u5df1\u516c\u5f0f\u5b9e\u73b0\u9519\u4e86\u3002\u7528\u8499\u7279\u5361\u6d1b\u76f4\u63a5\u66b4\u529b\u6a21\u62df\uff0c\u9020\u4e00\u5806\u96f6\u6f02\u79fb\u7684\u6807\u51c6\u6b63\u6001\u6536\u76ca\u5e8f\u5217\uff0c\u8ba9\u7535\u8111\u81ea\u5df1\u53bb\u649e\u6700\u597d\u7684\u90a3\u4e2a\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">N=100\u3001T=756 \u7684\u65f6\u5019\uff0c\u516c\u5f0f\u7ed9 1.4620\uff0c\u66b4\u529b\u6a21\u62df\u7ed9 1.4420\u3002N=1000 \u7684\u65f6\u5019\u516c\u5f0f 1.8806\uff0c\u6a21\u62df 1.8844\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u56db\u5c42\u90fd\u5bf9\u4e0a\u4e86\u5c0f\u6570\u70b9\u540e\u4e24\u4f4d\u3002\u516c\u5f0f\u6ca1\u95ee\u9898\uff0c\u95ee\u9898\u5728\u6211\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8bf4\u5b9e\u8bdd\uff0c\u8fd9\u79cd\u9519\u5728\u7eb8\u4e0a\u6839\u672c\u770b\u4e0d\u51fa\u6765\u3002\u6211\u628a\u8bba\u6587\u4ece\u5934\u8bfb\u4e86\u4e00\u904d\uff0c\u5f0f\u5b50\u8ddf\u6211\u5199\u7684\u4e00\u6a21\u4e00\u6837\uff0c\u6123\u662f\u6ca1\u770b\u51fa\u6765\u3002\u53ea\u6709\u81ea\u5df1\u4ee3\u6570\u5b57\u8dd1\u4e00\u904d\uff0c\u624d\u4f1a\u649e\u4e0a\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u6392\u67e5\u7684\u6d3b\u513f\u771f\u4e0d\u5728\u8bfb\u61c2\u516c\u5f0f\uff0c\u5728\u80af\u4e0d\u80af\u628a\u90a3 2.5306 \u62c6\u5f00\u6765\u7b97\u4e00\u904d\u3002\u221a252 \u8fd9\u4e2a\u56e0\u5b50\uff0c\u8bba\u6587\u91cc\u5199\u5728\u4e00\u4e2a\u62ec\u53f7\u91cc\uff0c\u8c01\u90fd\u4f1a\u6ed1\u8fc7\u53bb\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u5efa\u8bae\u5927\u5bb6\u53ef\u4ee5\u5148\u81ea\u5df1\u7ffb\u7ffb\u6301\u4ed3\uff0c\u56de\u6d4b\u505a\u4e86\u4e09\u5e74\u4ee5\u4e0a\u7684\uff0c\u628a\u5e74\u9650\u8bb0\u4e0b\u6765\u3002\u7b2c\u4e09\u8282\u6709\u4e2a\u6570\u4f60\u4f1a\u7528\u5f97\u4e0a\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u4e09\u3001\u66f4\u53cd\u76f4\u89c9\u7684\u4e8b<\/strong><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">\u4fee\u5b8c\u53e3\u5f84\u987a\u624b\u505a\u4e86\u4e00\u7ec4\u5bf9\u7167\u5b9e\u9a8c\uff0c\u60f3\u770b\u770b\u8fd9\u4e2a\u95e8\u69db\u5230\u5e95\u8ddf\u4ec0\u4e48\u8d70\u3002\u5148\u76ef\u5e74\u4efd\u8fd9\u4e2a\u53d8\u91cf\uff0c\u56e0\u4e3a\u76f4\u89c9\u4e0a\u5b83\u53ea\u662f\u4e2a\u80cc\u666f\u6761\u4ef6\u3002\u7ed3\u679c\u8fd8\u662f\u8ddf\u6211\u539f\u672c\u4ee5\u4e3a\u7684\u4e0d\u4e00\u6837\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u56fa\u5b9a\u5e74\u5316 Sharpe \u5728 2.1\uff0c\u8bd5\u9a8c\u6b21\u6570\u9501\u6b7b\u5728 100\uff0c\u53ea\u6539\u56de\u6d4b\u957f\u5ea6\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">3 \u5e74\u6570\u636e\u95e8\u69db 1.46\uff0cDSR 0.8653\uff0c\u5224\u4e0d\u901a\u8fc7\u30025 \u5e74\u6570\u636e\u95e8\u69db 1.13\uff0cDSR 0.9847\uff0c\u901a\u8fc7\u300210 \u5e74\u6570\u636e\u95e8\u69db 0.80\uff0cDSR 1.0000\uff0c\u901a\u8fc7\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u6211\u5f53\u65f6\u662f\u6709\u70b9\u610f\u5916\u7684\u3002\u6309\u7406\u8bf4\u628a\u8bd5\u9a8c\u6b21\u6570\u4ece 100 \u5f80\u4e0a\u8c03\uff0c\u95e8\u69db\u5e94\u8be5\u66f4\u96be\u770b\u3002\u7ed3\u679c\u628a\u5e74\u6570\u4e00\u52a0\uff0c\u76f4\u63a5\u7ffb\u76d8\u4e86\u3002\u6211\u53c8\u8dd1\u4e86\u4e00\u904d 8 \u5e74\u8fd9\u4e2a\u4e2d\u95f4\u503c\uff0cDSR 0.9997\uff0c\u786e\u8ba4\u4e0d\u662f\u8df3\u53d8\u3002\u540c\u4e00\u5957\u53c2\u6570\uff0c\u540c\u4e00\u4e2a Sharpe\uff0c\u7ed3\u8bba\u4ece\u300c\u4e0d\u901a\u8fc7\u300d\u7ffb\u6210\u300c\u901a\u8fc7\u300d\u3002\u9760\u7684\u5c31\u662f\u628a\u56de\u6d4b\u4ece 3 \u5e74\u62c9\u5230 10 \u5e74\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u7136\u540e\u6211\u505a\u53cd\u8fc7\u6765\u7684\u4e00\u7ec4\u300210 \u5e74\u6570\u636e\u56fa\u5b9a\uff0c\u628a\u8bd5\u9a8c\u6b21\u6570\u4ece 2 \u4e00\u8def\u6da8\u5230 10 \u4e07\u3002\u95e8\u69db\u4ece 0.16 \u632a\u5230 1.39\uff0cDSR \u4ece 1.0000 \u964d\u5230 0.9877\u3002\u5168\u7a0b\u90fd\u5728 0.95 \u5224\u5b9a\u7ebf\u4e4b\u4e0a\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8fd9\u4e24\u7ec4\u653e\u4e00\u8d77\u8bb2\uff0c\u7ed3\u8bba\u6709\u70b9\u53cd\u76f4\u89c9\u3002\u95e8\u69db\u4e3b\u8981\u8ddf\u7740\u56de\u6d4b\u957f\u5ea6\u8d70\uff0c\u4e0d\u662f\u8ddf\u7740\u8bd5\u9a8c\u6b21\u6570\u8d70\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" width=\"1024\" height=\"585\" src=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/02-length-vs-trials-1024x585.png\" alt=\"\" class=\"wp-image-5102\" srcset=\"http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/02-length-vs-trials-1024x585.png 1024w, http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/02-length-vs-trials-300x171.png 300w, http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/02-length-vs-trials-767x438.png 767w, http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/02-length-vs-trials.png 1344w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><figcaption class=\"wp-element-caption\">\u5de6\u56fe\u53ea\u6539\u5e74\u6570\u7ed3\u8bba\u7ffb\u8f6c\uff0c\u53f3\u56feN \u8de8\u4e94\u4e2a\u6570\u91cf\u7ea7\u7ed3\u8bba\u4e0d\u53d8<\/figcaption><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">\u8fd9\u8ddf\u5927\u591a\u6570\u89e3\u8bfb\u7684\u65b9\u5411\u662f\u53cd\u7684\u3002\u5927\u5bb6\u4e60\u60ef\u8bf4<strong>\u4f60\u8bd5\u7684\u6b21\u6570\u8d8a\u591a\u8d8a\u5bb9\u6613\u649e\u8fd0\u6c14<\/strong>\u3002\u8fd9\u53e5\u8bdd\u672c\u8eab\u6ca1\u9519\uff0c\u4f46\u5b83\u5bf9\u95e8\u69db\u7684\u5f71\u54cd\u5e45\u5ea6\uff0c\u6bd4\u6570\u636e\u6709\u591a\u957f\u5c0f\u4e00\u4e2a\u91cf\u7ea7\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u4e00\u5e74\u6570\u636e\u8981 Sharpe 3.87 \u624d\u591f 10 \u4e07\u6b21\u8bd5\u9a8c\uff0c\u5341\u5e74\u6570\u636e 1.39 \u5c31\u591f\u3002\u4e2d\u95f4\u5dee\u4e86 2.48\u3002\u540c\u6837\u5728\u5341\u5e74\u6570\u636e\u4e0a\uff0cN \u4ece 10 \u6da8\u5230 10 \u4e07\u53ea\u5dee 0.28\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8bf4\u5b9e\u8bdd\u6211\u7b2c\u4e00\u53cd\u5e94\u662f\u4e0d\u4fe1\u7684\u3002\u8fd9\u4e2a\u7ed3\u8bba\u8ddf\u300c\u591a\u8bd5\u51e0\u6b21\u5bb9\u6613\u649e\u8fd0\u6c14\u300d\u7684\u76f4\u89c9\u51b2\u7a81\uff0c\u6211\u5dee\u70b9\u5c31\u5f53\u6210\u7b97\u9519\u4e86\u3002\u540e\u6765\u628a 1 \u5e74\u5230 10 \u5e74\u6bcf\u4e00\u6863\u90fd\u8dd1\u4e86\u4e00\u904d\uff0c\u8d8b\u52bf\u662f\u5e73\u7684\uff0c\u6ca1\u6709\u54ea\u4e2a\u70b9\u8df3\u51fa\u6765\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u5bf9\u6563\u6237\u6765\u8bf4\u8fd9\u6761\u633a\u6709\u7528\u3002\u5927\u90e8\u5206\u4eba\u505a\u56de\u6d4b\u6700\u5927\u7684\u9650\u5236\u4e0d\u662f\u8bd5\u9a8c\u6b21\u6570\uff0c\u662f\u6570\u636e\u957f\u5ea6\u3002\u4e00\u53ea\u7968\u80fd\u62ff\u5230\u5341\u5e74\u65e5\u7ebf\u5df2\u7ecf\u7b97\u8fd0\u6c14\u597d\uff0c\u5f88\u591a\u9898\u6750\u4e09\u4e94\u5e74\u5c31\u6ca1\u4eba\u505a\u4e86\u3002\u4e09\u5e74\u95e8\u69db 1.46 \u8ddf\u5341\u5e74\u95e8\u69db 0.80 \u7684\u5dee\u522b\uff0c\u6bd4\u4f60\u591a\u626b\u4e94\u5341\u7ec4\u53c2\u6570\u5927\u5f97\u591a\u3002\u6211\u628a\u8fd9\u4e2a\u6570\u653e\u5728\u8fd9\u513f\uff0c\u4f60\u81ea\u5df1\u5bf9\u7740\u6301\u4ed3\u7684\u5e74\u9650\u770b\u4e00\u773c\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8fd9\u4e24\u4e2a\u4f60\u6253\u7b97\u5148\u7b97\u54ea\u4e2a\uff1f\u6211\u66f4\u503e\u5411\u5148\u67e5\u5e74\u9650\u3002\u56de\u6d4b\u957f\u5ea6\u8fd9\u4ef6\u4e8b\u4f60\u6539\u4e0d\u4e86\uff0c\u6570\u636e\u5c31\u90a3\u4e48\u591a\u3002\u62ff\u5230\u4e00\u4e2a Sharpe \u5148\u67e5\u5e74\u9650\uff0c\u67e5\u5b8c\u518d\u770b N\u3002\u987a\u5e8f\u53cd\u4e86\uff0c\u4f60\u4f1a\u4e00\u76f4\u5728\u7ea0\u7ed3\u626b\u4e86\u591a\u5c11\u7ec4\u53c2\u6570\u3002\u8bf4\u4e0d\u597d\u4f1a\u7ea0\u7ed3\u5230\u660e\u5e74\uff0c\u7ed3\u679c\u8fd8\u662f\u62ff\u4e0d\u51c6\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u56db\u3001\u975e\u6b63\u6001\u4fee\u6b63\u88ab\u9ad8\u4f30\u4e86<\/strong><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">DSR \u7b2c\u4e8c\u4e2a\u6263\u51cf\u9879\u662f\u6536\u76ca\u5206\u5e03\u4e0d\u6b63\u6001\uff0c\u516c\u5f0f\u91cc\u90a3\u6bb5\u5e26\u504f\u5ea6\u548c\u5cf0\u5ea6\u7684\u90e8\u5206\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u770b\u516c\u5f0f\u7684\u65f6\u5019\u6211\u4f1a\u5148\u76ef\u8fd9\u6bb5\u3002\u7406\u7531\u542c\u7740\u633a\u987a\uff0c\u7b56\u7565\u6536\u76ca\u8d1f\u504f\u5ea6\u5927\uff0cSharpe \u5f53\u7136\u4e0d\u53ef\u4fe1\u3002\u6211\u5c31\u4e13\u95e8\u91cf\u4e86\u91cf\u5b83\u5230\u5e95\u6709\u591a\u72e0\u3002\u7528\u5b66\u751f t \u5206\u5e03\u9020\u51e0\u79cd\u5c3e\u5df4\u539a\u5ea6\u7684\u6536\u76ca\uff0c\u7b97\u8fd9\u4e2a\u4fee\u6b63\u628a\u6807\u51c6\u8bef\u81a8\u80c0\u4e86\u591a\u5c11\u500d\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">t \u5206\u5e03 df=10\uff0c\u81a8\u80c0 1.01 \u500d\u3002df=6\uff0c\u4e5f\u662f 1.01 \u500d\u3002df=4 \u539f\u59cb\u5cf0\u5ea6\u8dd1\u5230 68\uff0c\u81a8\u80c0 1.03 \u500d\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u4e5f\u5c31\u662f\u8bf4\u8fd9\u4e2a\u4fee\u6b63\u5728\u5e38\u89c1\u60c5\u5f62\u4e0b\u662f\u767e\u5206\u7ea7\u5230\u5343\u5206\u4e4b\u51e0\u7684\u8c03\u6574\uff0c\u4e0d\u662f\u6570\u91cf\u7ea7\u7684\u8c03\u6574\u3002\u5927\u5934\u5728\u591a\u91cd\u8bd5\u9a8c\u90a3\u4e00\u9879\uff0cV[SR] \u90a3\u4e2a\u56e0\u5b50\u9664\u4ee5 \u221a(T-1)\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u7ed3\u8bba\u662f\u8fd9\u9879\u4e0d\u662f\u6ca1\u7528\uff0c\u5b83\u786e\u5b9e\u62e6\u5f97\u4f4f\u62ff\u6781\u7aef\u503c\u6491\u8d77\u6765\u7684 Sharpe\u3002\u4f46\u5b83\u4e0d\u662f\u5927\u5934\u3002\u771f\u6b63\u628a\u95e8\u69db\u62ac\u8d77\u6765\u7684\u662f\u591a\u91cd\u8bd5\u9a8c\u90a3\u4e00\u9879\uff0c\u5c31\u662f\u4e0a\u9762\u90a3\u4e2a\u9664\u4ee5 \u221a(T-1)\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8fd9\u4e00\u6bb5\u6211\u7b97\u662f\u767d\u7d27\u5f20\u4e86\u3002df=10 \u90a3\u4e09\u884c\u8dd1\u5b8c\u6211\u5c31\u77e5\u9053\uff0c1.01 \u500d\u8fd9\u4e2a\u6570\u6491\u4e0d\u8d77\u8fd9\u4e2a\u4f4d\u7f6e\u3002\u8bfb\u516c\u5f0f\u7684\u65f6\u5019\u4e0d\u7528\u7ed9\u5b83\u8fd9\u4e48\u591a\u6743\u91cd\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u4e94\u3001\u95ee\u9898\u51fa\u5728\u300c\u8bd5\u9a8c\u6b21\u6570\u300d<\/strong><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">\u8fd9\u662f\u6211\u89c9\u5f97\u6700\u503c\u5f97\u5927\u5bb6\u770b\u7684\u4e00\u8282\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8bba\u6587\u91cc\u90a3\u53e5\u6700\u786c\u7684\u8bdd\u662f\uff0c\u56de\u6d4b\u4e0d\u62a5\u544a\u8bd5\u9a8c\u6b21\u6570\u5c31\u4ec0\u4e48\u90fd\u4e0d\u662f\u3002\u6211\u62ff\u8fd9\u53e5\u8bdd\u5bf9\u7167\u81ea\u5df1\u7684\u6d41\u7a0b\uff0c\u53d1\u73b0\u5361\u4f4f\u6211\u7684\u6b63\u662f\u8fd9\u4e2a\u6570\u600e\u4e48\u7b97\u3002\u8bba\u6587\u6ca1\u8bb2\uff0c\u6211\u81ea\u5df1\u8bd5\u4e86\u4e00\u5708\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u771f\u5b9e\u573a\u666f\u662f\u8fd9\u6837\u7684\u3002\u4f60\u60f3\u4e86\u4e2a\u53cc\u5747\u7ebf\u7b56\u7565\uff0c\u7136\u540e\u5f00\u59cb\u626b\u53c2\u6570\u3002\u5feb\u7ebf\u4ece 2 \u626b\u5230 28\uff0c\u6162\u7ebf\u4ece 20 \u626b\u5230 210\u3002\u4e00\u5171 5112 \u4e2a\u6709\u6548\u7ec4\u5408\u3002\u4f60\u4e0d\u53ef\u80fd\u4e00\u4e2a\u4e2a\u8bb0\u4e0b\u6765\uff0c\u53ea\u8bb0\u5f97\u300c\u6211\u5927\u6982\u8bd5\u4e86\u4e94\u5343\u591a\u4e2a\u300d\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u4f46\u8fd9 5112 \u4e2a\u4e0d\u662f 5112 \u4e2a\u72ec\u7acb\u7684\u60f3\u6cd5\u300210 \u65e5\u5747\u7ebf\u914d 200 \u65e5\u5747\u7ebf\uff0c\u548c 12 \u65e5\u914d 200 \u65e5\uff0c\u6301\u4ed3\u65f6\u95f4\u5927\u91cf\u91cd\u53e0\u3002\u65e5\u6536\u76ca\u5e8f\u5217\u51e0\u4e4e\u5c31\u662f\u540c\u4e00\u6761\u3002\u8fd9\u70b9\u6211\u4e00\u5f00\u59cb\u5b8c\u5168\u6ca1\u60f3\u8fc7\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u6211\u5b9e\u6d4b\u4e86\u8fd9\u4e9b\u53d8\u4f53\u4e4b\u95f4\u7684\u76f8\u5173\u7cfb\u6570\u3002\u62bd 400 \u5bf9\u76f8\u90bb\u53c2\u6570\u7b97\u65e5\u6536\u76ca\u5e8f\u5217\u7684\u76ae\u5c14\u900a\u76f8\u5173\uff0c\u5e73\u5747 +0.955\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u63a5\u8fd1 1\uff0c\u57fa\u672c\u4e0a\u5c31\u662f\u540c\u4e00\u4e2a\u60f3\u6cd5\u3002\u6211\u7b2c\u4e00\u6b21\u770b\u5230 0.955 \u7684\u65f6\u5019\u8fd8\u6123\u4e86\u4e00\u4e0b\uff0c\u89c9\u5f97\u662f\u4e0d\u662f\u54ea\u91cc\u5199\u9519\u4e86\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img loading=\"lazy\" decoding=\"async\" width=\"1024\" height=\"585\" src=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/03-correlated-trials-1024x585.png\" alt=\"\" class=\"wp-image-5103\" srcset=\"http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/03-correlated-trials-1024x585.png 1024w, http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/03-correlated-trials-300x171.png 300w, http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/03-correlated-trials-767x438.png 767w, http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/03-correlated-trials.png 1344w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><figcaption class=\"wp-element-caption\">\u5de6\u8fb95112 \u4e2a\u72ec\u7acb\u7b56\u7565\u5b9e\u6d4b2.15\uff0c5112 \u4e2a\u53c2\u6570\u53d8\u4f53\u53ea\u6709 0.83<\/figcaption><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\">\u8fd9\u4e2a\u76f8\u5173\u6027\u5bf9\u95e8\u69db\u5f71\u54cd\u6709\u591a\u5927\uff0c\u6211\u5148\u7b97\u4e86\u4e00\u4e2a\u6570\u3002\u4e24\u8fb9\u90fd\u662f 5112 \u6b21\u8bd5\u9a8c\uff0c3 \u5e74\u6570\u636e\uff0c\u7ed3\u679c\u5dee\u4e86 2.6 \u500d\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8def\u5f84 A\uff0c5112 \u4e2a\u4e92\u76f8\u72ec\u7acb\u751f\u6210\u7684\u968f\u673a\u6536\u76ca\u5e8f\u5217\uff0c\u53d6\u6700\u597d\u7684\u3002\u5b9e\u6d4b\u5e73\u5747 Sharpe 2.15\uff0c\u516c\u5f0f\u95e8\u69db 2.13\u3002\u8fd9\u6761\u5bf9\u4e0a\u4e86\uff0c\u8bf4\u660e\u516c\u5f0f\u5728\u72ec\u7acb\u60c5\u5f62\u4e0b\u662f\u51c6\u7684\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8def\u5f84 B \u662f 5112 \u4e2a\u53c2\u6570\u53d8\u4f53\u6324\u5728\u540c\u4e00\u6761\u968f\u673a\u6e38\u8d70\u4e0a\uff0c\u53d6\u6700\u597d\u7684\u3002\u5b9e\u6d4b\u5e73\u5747 Sharpe 0.83\uff0c\u53ea\u6709\u95e8\u69db\u7684 0.39 \u500d\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8fd9\u4e2a\u6570\u51fa\u6765\u7684\u65f6\u5019\u6211\u76ef\u7740\u770b\u4e86\u597d\u51e0\u904d\uff0c\u56e0\u4e3a\u76f4\u89c9\u4e0a\u4e0d\u8be5\u5dee\u8fd9\u4e48\u591a\u3002\u540e\u6765\u60f3\u660e\u767d\u4e86\uff0c\u516c\u5f0f\u628a\u6bcf\u7ec4\u90fd\u5f53\u72ec\u7acb\u8bd5\u9a8c\uff0c\u7b49\u4e8e\u9ed8\u8ba4 5112 \u4e2a\u5b8c\u5168\u4e0d\u540c\u7684\u7b56\u7565\uff0c\u800c\u6211\u5b9e\u9645\u4e0a\u53ea\u6709\u4e00\u4e2a\u60f3\u6cd5\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u5dee\u4e86 2.6 \u500d\u3002\u8bf4\u5b9e\u8bdd\u6211\u539f\u672c\u4ee5\u4e3a\u4f1a\u53cd\u8fc7\u6765\u3002\u516c\u5f0f\u628a\u95e8\u69db\u62ac\u9ad8\u4e86\uff0c\u771f\u5b9e\u60c5\u51b5\u6ca1\u5b83\u90a3\u4e48\u4e25\uff0c\u8fd9\u4e2a\u65b9\u5411\u662f\u597d\u4e8b\u3002\u4f60\u628a\u81ea\u5df1\u626b\u8fc7\u90a3\u53e0\u53c2\u6570\u644a\u5f00\u770b\u770b\uff0c\u5341\u7ec4\u91cc\u6709\u51e0\u7ec4\u662f\u771f\u7684\u6362\u4e86\u60f3\u6cd5\uff0c\u8fd8\u662f\u540c\u4e00\u53e5\u8bdd\u6362\u4e86\u4e2a\u6570\u5b57\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u4f46\u662f\u6211\u4e0d\u60f3\u628a\u8fd9\u4e8b\u8bf4\u6210\u4f60\u53ef\u4ee5\u5b89\u6170\u81ea\u5df1\u3002\u6211\u628a\u76f8\u5173\u6027\u548c\u7b49\u6548\u8bd5\u9a8c\u6b21\u6570\u7684\u5173\u7cfb\u4e5f\u91cf\u4e86\u3002\u6784\u9020\u51e0\u7fa4\u76f8\u5173\u5ea6\u4e0d\u540c\u7684\u7b56\u7565\uff0c\u770b\u516c\u5f0f\u91cc\u7684 N \u4f1a\u88ab\u6298\u6210\u591a\u5c11\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u03c1=0 \u65f6\u7b49\u6548\u8bd5\u9a8c\u6b21\u6570 93.6\uff0c\u57fa\u672c\u5c31\u662f\u5b9e\u9645\u7684 100\uff0c\u8fd9\u662f\u65b9\u6cd5\u7684\u81ea\u6211\u6821\u9a8c\u901a\u8fc7\u3002\u03c1=0.5 \u6298\u6210 15.2\uff0c\u03c1=0.95 \u6298\u6210 2.2\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8fd9\u91cc\u6211\u76ef\u7740 93.6 \u8fd9\u4e2a\u6570\u770b\u4e86\u597d\u51e0\u904d\u3002\u5dee 6%\uff0c\u662f\u8499\u7279\u5361\u6d1b\u7684\u6b63\u5e38\u8bef\u5dee\uff0c\u8bf4\u660e\u53cd\u67e5\u8fd9\u6761\u8def\u6ca1\u8d70\u6b6a\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u6240\u4ee5\u540c\u4e00\u4e2a\u300c\u6211\u626b\u4e86 100 \u7ec4\u53c2\u6570\u300d\uff0c\u62a5\u4e0d\u62a5\u76f8\u5173\u7cfb\u6570\uff0c\u7b97\u51fa\u6765\u7684\u95e8\u69db\u53ef\u4ee5\u5dee\u4e00\u500d\u591a\u3002\u6211\u62ff\u81ea\u5df1\u7684\u4e24\u4e2a\u811a\u672c\u5bf9\u8fc7\uff0c\u4e00\u4e2a\u586b 100 \u4e00\u4e2a\u586b 20\uff0c\u7ed3\u8bba\u5b8c\u5168\u76f8\u53cd\u3002\u53cd\u8fc7\u6765\u4e5f\u63d0\u9192\u4e00\u53e5\uff0c\u8981\u62a5\u4e00\u4e2a\u771f\u5b9e\u591f\u5927\u7684 N\u3002\u522b\u56e0\u4e3a\u76f8\u5173\u6027\u9ad8\u5c31\u53ea\u586b\u4e2a 20\uff0c\u663e\u5f97\u81ea\u5df1\u5f88\u5e72\u51c0\u3002<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img loading=\"lazy\" decoding=\"async\" width=\"1024\" height=\"585\" src=\"https:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/04-threshold-curve-1024x585.png\" alt=\"\" class=\"wp-image-5104\" srcset=\"http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/04-threshold-curve-1024x585.png 1024w, http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/04-threshold-curve-300x171.png 300w, http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/04-threshold-curve-767x438.png 767w, http:\/\/laoyulaoyu.com\/wp-content\/uploads\/2026\/10\/04-threshold-curve.png 1344w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><figcaption class=\"wp-element-caption\">\u540c\u6837\u62a5100 \u7ec4\uff0c\u03c1 \u4ece 0 \u5230 0.95\uff0c\u7b49\u6548\u8bd5\u9a8c\u6b21\u6570\u4ece 94 \u6298\u5230 2<br><\/figcaption><\/figure>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u516d\u3001\u56db\u4e2a\u95ee\u9898<\/strong><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">\u516c\u5f0f\u8fd9\u90e8\u5206\u8bb2\u5b8c\u4e86\u3002\u8fd9\u4e24\u5e74\u6211\u81ea\u5df1\u8fd8\u7559\u4e86\u56db\u4e2a\u95ee\u9898\uff0c\u90fd\u662f\u4e0d\u7528\u4ee3\u7801\u7684\u90a3\u79cd\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8fd9\u56db\u4e2a\u6211\u6309\u6210\u672c\u3001\u56de\u64a4\u3001\u5bf9\u624b\u3001\u7ed3\u6784\u7684\u987a\u5e8f\u8fc7\u3002\u8ddf\u4e0d\u5c11\u8d44\u6599\u7684\u6392\u6cd5\u4e0d\u4e00\u6837\uff0c\u8bf4\u4e0b\u6211\u7684\u7406\u7531\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u7b2c\u4e00\u4e2a\u662f\u7ed3\u6784\u8fd8\u662f\u5de7\u5408\uff0c\u4e5f\u5c31\u662f\u8fd9\u4e2a\u6536\u76ca\u4e3a\u4ec0\u4e48\u5e94\u8be5\u5b58\u5728\u3002\u6307\u6570\u6210\u5206\u8c03\u6574\u5e26\u6765\u7684\u88ab\u52a8\u8ddf\u968f\u3001\u671f\u6743\u505a\u5e02\u5546\u4e3a\u4e86\u4e2d\u6027\u5bf9\u51b2 gamma\u3001\u6563\u6237\u5728\u6574\u6570\u5173\u53e3\u6050\u614c\u4ea4\u51fa\u7b79\u7801\uff0c\u8fd9\u4e9b\u80cc\u540e\u90fd\u6709\u673a\u5236\u3002\u56fe\u5f62\u770b\u7740\u50cf\u90a3\u4e48\u56de\u4e8b\u4e0d\u7b97\u7406\u7531\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u7b2c\u4e8c\u4e2a\u662f\u5bf9\u624b\u662f\u8c01\u3002\u4f60\u8d5a\u7684\u94b1\u662f\u8c01\u4e8f\u7684\u3002\u8bf4\u662f\u300c\u5e02\u573a\u300d\u7b49\u4e8e\u6ca1\u8bf4\uff0c\u4f60\u5c31\u662f\u4e00\u4e2a\u5e26\u624b\u7eed\u8d39\u7684\u629b\u786c\u5e01\u3002\u6709\u7ed3\u6784\u6027\u8f93\u5bb6\u624d\u53eb\u7b56\u7565\u3002\u88ab\u8feb\u5728\u67d0\u4e2a\u65e5\u671f\u8c03\u4ed3\u7684\u57fa\u91d1\u3001\u5728\u67d0\u4e2a\u4ef7\u4f4d\u6050\u614c\u79bb\u573a\u7684\u4eba\u3001\u5bf9\u51b2\u5df2\u77e5\u6d41\u91cf\u7684\u505a\u5e02\u5546\u3002\u627e\u4e0d\u5230\u8f93\u5bb6\uff0c\u90a3\u4f60\u5c31\u662f\u8f93\u5bb6\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u7b2c\u4e09\u4e2a\u662f\u6210\u672c\u4e4b\u540e\u8fd8\u5269\u591a\u5c11\u3002\u7eb8\u9762\u4e0a\u5355\u7b14 0.3% \u7684\u7b56\u7565\uff0c\u6263\u6389\u4ef7\u5dee\u3001\u6ed1\u70b9\u3001\u4f63\u91d1\u5c31\u6ca1\u4e86\u3002\u5047\u8bbe\u6bcf\u6b21\u4e70\u5356\u90fd\u8de8\u4ef7\u5dee\u3001\u4f63\u91d1\u6309\u6ee1\u989d\u7b97\u3001\u5f00\u76d8\u4ef7\u8fd8\u5c11\u6210\u4ea4\u534a\u4e2a\u4ef7\u4f4d\u3002\u66f2\u7ebf\u8fd8\u80fd\u5f80\u4e0a\u8d70\uff0c\u624d\u7b97\u6709\u4e1c\u897f\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u7b2c\u56db\u4e2a\u662f\u56de\u64a4\u625b\u4e0d\u625b\u5f97\u4f4f\u3002\u8fd9\u4e2a\u8ddf\u524d\u4e09\u95ee\u4e0d\u4e00\u6837\uff0c\u5b83\u4e0d\u662f\u7edf\u8ba1\u95ee\u9898\uff0c\u662f\u4f60\u7684\u95ee\u9898\u3002\u6211\u4f30\u4e00\u822c\u6563\u6237\u5230\u8fd9\u91cc\u5c31\u505c\u4e86\uff0c\u89c9\u5f97\u524d\u9762\u4e09\u95ee\u90fd\u8fc7\u4e86\u5c31\u6ca1\u4e8b\u300225% \u7684\u9884\u671f\u56de\u64a4\u4f60\u8981\u662f\u53ea\u80fd\u53d7 8%\uff0c\u7b56\u7565\u597d\u4e0d\u597d\u5c31\u8ddf\u4f60\u65e0\u5173\u4e86\u3002\u4f60\u4f1a\u5728\u5e95\u90e8\u5173\u6389\u5b83\uff0c\u4e8f\u5728\u6700\u4f4e\u70b9\uff0c\u7136\u540e\u602a\u5e02\u573a\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u628a\u6210\u672c\u548c\u56de\u64a4\u653e\u6700\u524d\u9762\uff0c\u662f\u56e0\u4e3a\u8fd9\u4e24\u95ee\u7b97\u4e00\u904d\u5c31\u6709\u7b54\u6848\uff0c\u5341\u5206\u949f\u5185\u80fd\u51fa\u7ed3\u679c\u3002\u7eb8\u4e0a\u6536\u76ca\u5148\u6263\u4e00\u904d\u6210\u672c\uff0c\u5fc3\u7406\u625b\u4e0d\u4f4f\u7684\u5148\u5212\u6389\uff0c\u7701\u4e0b\u7684\u65f6\u95f4\u624d\u914d\u82b1\u5728\u5bf9\u624b\u662f\u8c01\u8fd9\u79cd\u95ee\u9898\u4e0a\u3002\u6211\u81ea\u5df1\u7684\u6301\u4ed3\u662f\u5341\u5e74\u524d\u4e70\u7684\u4e2d\u95f4\u6d88\u8d39\u7535\u5b50\uff0c\u8fd9\u4e24\u5e74\u505a\u8fd9\u7c7b\u56de\u6d4b\uff0c\u7b2c\u4e00\u4ef6\u4e8b\u90fd\u662f\u5148\u770b K \u7ebf\u591f\u4e0d\u591f\u957f\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u7ed3\u6784\u548c\u5bf9\u624b\u8fd9\u4e24\u95ee\u6162\uff0c\u4f46\u5b83\u4eec\u624d\u51b3\u5b9a\u7b56\u7565\u80fd\u4e0d\u80fd\u6d3b\u8fc7\u4e09\u5e74\u3002\u524d\u9762\u4e24\u95ee\u6740\u6389\u7684\u662f\u5047\u8d27\uff0c\u540e\u9762\u8fd9\u4e24\u95ee\u7b5b\u6389\u7684\u662f\u771f\u800c\u65e0\u7528\u7684\u4e1c\u897f\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u4e03\u3001\u4f60\u4f1a\u62ff\u54ea\u4e2a\u6570\u53bb\u6bd4<\/strong><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">\u5982\u679c\u53ea\u8ba9\u6211\u7559\u4e00\u53e5\u8bdd\uff0c\u4f1a\u7559\u8fd9\u4e2a\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u522b\u95ee\u6211\u7684 Sharpe \u591f\u4e0d\u591f\u597d\u3002\u95ee\uff1a\u6211\u8bf4\u4e0d\u51fa\u56de\u6d4b\u6709\u591a\u957f\u7684\u65f6\u5019\uff0c\u8fd9\u4e2a\u6570\u5230\u5e95\u6709\u6ca1\u6709\u610f\u4e49\u300d\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u4e09\u5e74\u6570\u636e\u95e8\u69db 1.46\uff0c\u5341\u5e74\u6570\u636e 0.80\uff0c\u5dee 0.66\u3002\u8fd9\u662f\u6211\u8fd9\u6b21\u7b97\u5b8c\u6700\u60f3\u8bb0\u4f4f\u7684\u4e00\u4e2a\u6570\uff0c\u6bd4\u8bd5\u9a8c\u6b21\u6570\u90a3\u6761\u7ebf\u91cd\u8981\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u7b2c\u4e8c\u4e2a\u4f1a\u8bb0\u4f4f\u7684\u662f\u8fd9\u53e5\u3002\u4e0d\u62a5\u544a\u8bd5\u9a8c\u6b21\u6570\u7684\u56de\u6d4b\uff0c\u4ec0\u4e48\u90fd\u4e0d\u662f\u3002\u6211\u628a\u5b83\u5f53\u9ed8\u8ba4\u503c\u7528\u3002\u8fd9\u8bdd\u5728\u6211\u8eab\u4e0a\u4e5f\u6210\u7acb\uff0c\u6211\u81f3\u4eca\u8bf4\u4e0d\u6e05\u81ea\u5df1\u626b\u8fc7\u591a\u5c11\u7ec4\u53c2\u6570\uff0c\u56e0\u4e3a\u6211\u6839\u672c\u6ca1\u8bb0\u3002\u811a\u672c\u91cc\u6211\u586b\u4e86 5112\uff0c\u90a3\u6b21\u7f51\u683c\u662f\u811a\u672c\u8dd1\u7684\u6211\u8bb0\u5f97\u3002\u624b\u6413\u7684\u90a3\u4e9b\u6211\u5c31\u4e0d\u62a5\u4e86\uff0c\u62a5\u4e86\u6211\u81ea\u5df1\u4e0d\u4fe1\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u6211\u66f4\u503e\u5411\u628a\u81ea\u6211\u6821\u9a8c\u5f53\u6210\u9ed8\u8ba4\u52a8\u4f5c\u3002\u03c1=0 \u65f6\u53cd\u67e5\u56de\u6765\u7684 N \u5e94\u8be5\u7b49\u4e8e\u5b9e\u9645\u7684 100\uff0c\u6211\u8fd9\u5957\u65b9\u6cd5\u8dd1\u51fa\u6765 93.6\uff0c\u8bef\u5dee 6%\u3002\u5bf9\u4e0a\u4e86\u6211\u624d\u6562\u5f80\u4e0b\u7528\u3002\u4f60\u4ee5\u540e\u7528\u4efb\u4f55\u7edf\u8ba1\u5de5\u5177\u90fd\u80fd\u8fd9\u4e48\u5e72\u4e00\u904d\u3002\u5148\u786e\u8ba4\u5b83\u5728\u6700\u7b80\u5355\u7684\u60c5\u5f62\u4e0b\u662f\u51c6\u7684\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u516b\u3001\u8c01\u9002\u5408\u7528\u8fd9\u4e2a<\/strong><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">\u8fd9\u5957\u4e1c\u897f\u6211\u7528\u4e86\u4e24\u5e74\uff0c\u8bf4\u8bf4\u5b83\u4e0d\u9002\u5408\u8c01\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u4f60\u8981\u7684\u662f\u4e00\u5957\u80fd\u76f4\u63a5\u6284\u53c2\u6570\u7684\u516c\u5f0f\uff0c\u90a3\u8fd9\u7bc7\u5bf9\u4f60\u6ca1\u7528\u3002DSR \u4e0d\u4ea7\u751f\u7b56\u7565\uff0c\u5b83\u53ea\u5426\u6389\u7b56\u7565\uff0c\u4e0d\u80fd\u5e2e\u4f60\u8d5a\u94b1\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u4f60\u5df2\u7ecf\u77e5\u9053\u56de\u6d4b\u6709\u591a\u957f\u3001\u626b\u4e86\u591a\u5c11\u7ec4\u53c2\u6570\uff0cSharpe \u53c8\u660e\u663e\u9ad8\u4e8e\u95e8\u69db\uff0c\u7b97\u5b83\u610f\u4e49\u4e0d\u5927\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u4f60\u6700\u8be5\u7528\u7684\u5c31\u662f\u8fd9\u4e24\u79cd\u3002\u4e00\u662f\u4f60\u624b\u4e0a\u6709\u4e2a Sharpe \u8fd8\u4e0d\u9519\u7684\u7b56\u7565\uff0c\u60f3\u77e5\u9053\u5b83\u662f\u4e0d\u662f\u771f\u7684\u3002\u4e8c\u662f\u4f60\u7684\u56de\u6d4b\u6570\u636e\u4e0d\u957f\uff0c\u53ea\u6709\u4e24\u4e09\u5e74\uff0c\u60f3\u77e5\u9053\u81ea\u5df1\u8be5\u628a\u6807\u51c6\u653e\u5728\u54ea\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u6700\u540e\u4e00\u6bb5\u4ee3\u7801\u5728\u4e0b\u9762\u3002\u6211\u628a\u4e24\u4e2a\u811a\u672c\u6838\u5fc3\u51fd\u6570\u62bd\u51fa\u6765\uff0c\u7b2c\u4e00\u4e2a\u662f\u5b8c\u6574\u53ef\u8dd1\u7684 DSR \u8ba1\u7b97\uff0c\u7b2c\u4e8c\u4e2a\u662f\u53c2\u6570\u626b\u63cf\u5bf9\u7167\u5b9e\u9a8c\u3002\u4f60\u7684\u6536\u76ca\u5e8f\u5217\u548c\u8bd5\u9a8c\u6b21\u6570\u586b\u8fdb\u53bb\u5c31\u80fd\u7528\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><strong>\u9644\u5f55\uff0c\u5b9e\u6218\u811a\u672c<\/strong><\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">\u4e0b\u9762\u662f\u8fd9\u6b21\u7684\u5b8c\u6574\u4ee3\u7801\u3002\u7b2c\u4e00\u6bb5\u662f DSR \u5b9e\u73b0\uff0c\u5206\u4f4d\u6570\u51fd\u6570\u6211\u81ea\u5df1\u5199\u4e86\u4e2a Acklam \u8fd1\u4f3c\uff0c\u8fd9\u6837\u4e0d\u7528\u88c5 scipy\u3002<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>import math\nimport numpy as np\n\nEULER_GAMMA = 0.5772156649015329\nTRADING_DAYS = 252\n\n_A = &#91;-3.969683028665376e+01, 2.209460984245205e+02, -2.759285104469687e+02,\n      1.383577518672690e+02, -3.066479806614716e+01, 2.506628277459239e+00]\n_B = &#91;-5.447609879822406e+01, 1.615858368580409e+02, -1.556989798598866e+02,\n      6.680131188771972e+01, -1.328068155288572e+01]\n_C = &#91;-7.784894002430293e-03, -3.223964580411365e-01, -2.400758277161838e+00,\n      -2.549732539343734e+00, 4.374664141464968e+00, 2.938163982698783e+00]\n_D = &#91;7.784695709041462e-03, 3.224671290700398e-01, 2.445134137142996e+00,\n      3.754408661907416e+00]\n\n\ndef norm_ppf(p):\n    \"\"\"\u6807\u51c6\u6b63\u6001\u5206\u4f4d\u6570\uff0cAcklam \u8fd1\u4f3c\uff0c\u7edd\u5bf9\u8bef\u5dee\u5c0f\u4e8e 1.15e-9\u3002\"\"\"\n    if not 0.0 &lt; p &lt; 1.0:\n        raise ValueError(\"p \u843d\u5728 (0,1) \u4e4b\u5916\")\n    p_low, p_high = 0.02425, 1 - 0.02425\n    if p &lt; p_low:\n        q = math.sqrt(-2 * math.log(p))\n        return (((((_C&#91;0]*q + _C&#91;1])*q + _C&#91;2])*q + _C&#91;3])*q + _C&#91;4])*q + _C&#91;5]) \/ \\\n               ((((_D&#91;0]*q + _D&#91;1])*q + _D&#91;2])*q + _D&#91;3])*q + 1)\n    if p > p_high:\n        q = math.sqrt(-2 * math.log(1 - p))\n        return -(((((_C&#91;0]*q + _C&#91;1])*q + _C&#91;2])*q + _C&#91;3])*q + _C&#91;4])*q + _C&#91;5]) \/ \\\n               ((((_D&#91;0]*q + _D&#91;1])*q + _D&#91;2])*q + _D&#91;3])*q + 1)\n    q = p - 0.5\n    r = q * q\n    return (((((_A&#91;0]*r + _A&#91;1])*r + _A&#91;2])*r + _A&#91;3])*r + _A&#91;4])*r + _A&#91;5])*q \/ \\\n           (((((_B&#91;0]*r + _B&#91;1])*r + _B&#91;2])*r + _B&#91;3])*r + _B&#91;4])*r + 1)\n\n\ndef expected_max_sr(n_trials, n_obs, annualize=TRADING_DAYS):\n    \"\"\"\n    \u7eaf\u566a\u58f0\u4e0b N \u6b21\u8bd5\u9a8c\u80fd\u8fbe\u5230\u7684\u671f\u671b\u6700\u5927 Sharpe\uff0c\u5e74\u5316\u53e3\u5f84\u3002\n\n    \u6ce8\u610f\u8fd9\u91cc\u6709\u4e24\u4e2a\u56e0\u5b50\u5f88\u5bb9\u6613\u641e\u6df7\uff1a\n      \u6781\u503c\u9879\u4e0d\u542b T\uff0c\u5fc5\u987b\u9664\u4ee5 sqrt(T-1) \u624d\u662f\u5355\u671f Sharpe\n      \u5355\u671f Sharpe \u518d\u4e58 sqrt(annualize) \u624d\u662f\u5e74\u5316 Sharpe\n    \u6211\u7b2c\u4e00\u6b21\u5199\u5c31\u662f\u6f0f\u4e86\u9664\u4ee5 sqrt(T-1)\uff0c\u7ed3\u679c\u95e8\u69db\u5dee 15.87 \u500d\u3002\n    \"\"\"\n    if n_trials &lt; 2:\n        return float(\"nan\")\n    euler_term = ((1 - EULER_GAMMA) * norm_ppf(1 - 1.0 \/ n_trials)\n                  + EULER_GAMMA * norm_ppf(1 - 1.0 \/ (n_trials * math.e)))\n    per_period = euler_term \/ math.sqrt(n_obs - 1)\n    return per_period * math.sqrt(annualize)\n\n\ndef deflated_sharpe_ratio(returns, n_trials, expected_annual=0.0,\n                          annualize=TRADING_DAYS):\n    \"\"\"\n    \u5b8c\u6574 DSR\u3002returns \u662f\u9010\u671f\u6536\u76ca\u5e8f\u5217\uff08\u4e0d\u662f\u4ef7\u683c\uff09\uff0c\n    n_trials \u586b\u4f60\u5b9e\u9645\u626b\u8fc7\u591a\u5c11\u7ec4\uff0c\u4e0d\u662f\u4f60\u8bb0\u5f97\u626b\u8fc7\u591a\u5c11\u7ec4\u3002\n    \u8fd4\u56de (DSR \u6982\u7387, \u96f6\u5047\u8bbe\u5e74\u5316\u95e8\u69db, Z \u503c)\u3002\n    \"\"\"\n    r = np.asarray(returns, dtype=float)\n    t = len(r)\n    sr_per_period = r.mean() \/ r.std(ddof=1)\n    sr_annual = sr_per_period * math.sqrt(annualize)\n\n    sr0_annual = (expected_annual \/ math.sqrt(annualize)\n                  + expected_max_sr(n_trials, t, annualize))\n\n    # Mertens(2002)\/Johnson(2003) \u975e\u6b63\u6001 Sharpe \u6807\u51c6\u8bef\uff0c\u539f\u59cb\u5cf0\u5ea6\u6b63\u6001\u53d6 3\n    skew = float(((r - r.mean()) ** 3).mean() \/ r.std() ** 3)\n    raw_kurt = float(((r - r.mean()) ** 4).mean() \/ r.std() ** 4)\n    se = math.sqrt((1 - skew * sr_per_period\n                    + (raw_kurt - 1) \/ 4 * sr_per_period ** 2) \/ (t - 1))\n\n    z = (sr_per_period - sr0_annual \/ math.sqrt(annualize)) \/ se\n    return 0.5 * math.erfc(-z \/ math.sqrt(2)), sr0_annual, z<\/code><\/pre>\n\n\n\n<p class=\"wp-block-paragraph\">\u7b2c\u4e8c\u6bb5\u662f\u9a8c\u8bc1\u516c\u5f0f\u672c\u8eab\u3002\u8fd9\u6bb5\u6bd4\u7b2c\u4e00\u6bb5\u91cd\u8981\uff0c\u5148\u8dd1\u5b83\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8fd9\u4e2a\u5751\u6211\u8e29\u8fc7\u4e00\u6b21\u3002\u81ea\u5df1\u5199\u7684\u5de5\u5177\uff0c\u5148\u62ff\u6700\u7b80\u5355\u7684\u60c5\u5f62\u8bd5\u4e00\u904d\u3002\u524d\u5e74\u6211\u62ff\u4e00\u4e2a Sharpe 1.3 \u7684\u53cc\u5747\u7ebf\u9ad8\u5174\u4e86\u534a\u4e2a\u6708\uff0c\u540e\u6765\u8865\u8dd1\u8499\u7279\u5361\u6d1b\u5bf9\u8d26\uff0c\u624d\u53d1\u73b0\u90a3\u4e2a\u6570\u8fde\u7eaf\u566a\u58f0\u7684\u95e8\u69db\u90fd\u6ca1\u5230\u3002<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>import numpy as np\n\ndef verify_closed_form(rng, n_obs=756, n_trials=100, n_paths=3000):\n    \"\"\"\n    \u5bf9\u8d26\u8bba\u6587\u5f0f(1)\uff1a\u95ed\u5f0f\u516c\u5f0f vs \u8499\u7279\u5361\u6d1b\u66b4\u529b\u6a21\u62df\u3002\n    \u4e24\u8005\u5e94\u8be5\u5728\u5c0f\u6570\u70b9\u540e\u4e24\u4f4d\u5bf9\u4e0a\uff0c\u5bf9\u4e0d\u4e0a\u8bf4\u660e\u5b9e\u73b0\u9519\u4e86\uff0c\u522b\u5f80\u4e0b\u7b97\u3002\n    \"\"\"\n    best = &#91;]\n    for _ in range(n_paths):\n        r = rng.standard_normal((n_trials, n_obs))\n        best.append((r.mean(axis=1) \/ r.std(axis=1, ddof=1)).max())\n    sim = float(np.mean(best) * np.sqrt(252))\n    closed = expected_max_sr(n_trials, n_obs)\n    print(f\"N={n_trials}  \u95ed\u5f0f {closed:.4f}  \u6a21\u62df {sim:.4f}  \u6bd4\u503c {sim\/closed:.3f}\")\n    return closed, sim\n\n\nrng = np.random.default_rng(20261019)\nverify_closed_form(rng, n_trials=10)\nverify_closed_form(rng, n_trials=100)\nverify_closed_form(rng, n_trials=1000)<\/code><\/pre>\n\n\n\n<p class=\"wp-block-paragraph\">\u6211\u8dd1\u51fa\u6765\u662f\u8fd9\u4e09\u884c\u3002N=100 \u90a3\u884c\u95ed\u5f0f 1.4620\uff0c\u6a21\u62df 1.4420\uff0c\u6bd4\u503c 0.987\u3002<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>N=10    \u95ed\u5f0f 0.9097  \u6a21\u62df 0.8902  \u6bd4\u503c 0.978\nN=100   \u95ed\u5f0f 1.4620  \u6a21\u62df 1.4420  \u6bd4\u503c 0.987\nN=1000  \u95ed\u5f0f 1.8806  \u6a21\u62df 1.8844  \u6bd4\u503c 1.002<\/code><\/pre>\n\n\n\n<p class=\"wp-block-paragraph\">\u7b2c\u4e09\u6bb5\uff0c\u91cf\u4e00\u4e0b\u53c2\u6570\u53d8\u4f53\u4e4b\u95f4\u7684\u76f8\u5173\u6027\u3002\u8fd9\u6bb5\u662f\u6211\u81ea\u5df1\u52a0\u7684\uff0c\u8bba\u6587\u91cc\u6ca1\u6709\u3002<\/p>\n\n\n\n<pre class=\"wp-block-code\"><code>def rolling_mean(x, window):\n    \"\"\"numpy \u6ca1\u6709 rolling\uff0c\u7528\u7d2f\u79ef\u548c\u7b97\u3002\"\"\"\n    csum = np.cumsum(np.insert(x, 0, 0.0))\n    out = np.full(len(x), np.nan)\n    if len(x) >= window:\n        out&#91;window - 1:] = (csum&#91;window:] - csum&#91;:-window]) \/ window\n    return out\n\n\ndef sma_backtest(closes, fast, slow):\n    closes = np.asarray(closes, dtype=float)\n    f = rolling_mean(closes, fast)\n    s = rolling_mean(closes, slow)\n    with np.errstate(invalid=\"ignore\"):\n        sig = np.where(np.isnan(f) | np.isnan(s), 0.0, (f > s).astype(float))\n    rets = closes&#91;1:] \/ closes&#91;:-1] - 1.0\n    n = min(len(sig), len(rets))\n    return (sig&#91;:n] * rets&#91;:n])&#91;:n - 1]\n\n\ndef measure_variant_corr(closes, n_pairs=400):\n    \"\"\"\n    \u62bd\u76f8\u90bb\u53c2\u6570\u5bf9\uff0c\u7b97\u65e5\u6536\u76ca\u5e8f\u5217\u7684\u76f8\u5173\u3002\n    \u5982\u679c\u8fd9\u4e2a\u6570\u63a5\u8fd1 1\uff0c\u8bf4\u660e\u4f60\u7684\u300c\u8bd5\u9a8c\u6b21\u6570\u300d\u662f\u865a\u7684\u3002\n    \"\"\"\n    corrs = &#91;]\n    for _ in range(n_pairs):\n        fast, slow = rng.integers(2, 29), rng.integers(30, 211)\n        fast2 = max(2, fast + rng.integers(-3, 4))\n        slow2 = max(fast2 + 1, slow + rng.integers(-10, 11))\n        if slow2 >= len(closes):\n            continue\n        a, b = sma_backtest(closes, fast, slow), sma_backtest(closes, fast2, slow2)\n        n = min(len(a), len(b))\n        if n >= 60 and a.std() > 0 and b.std() > 0:\n            corrs.append(np.corrcoef(a&#91;:n], b&#91;:n])&#91;0, 1])\n    return float(np.mean(corrs))\n\n\nsteps = rng.standard_normal(756) * 0.02\ncloses = 100.0 * np.exp(np.cumsum(steps))\nprint(\"\u53d8\u4f53\u76f8\u5173\u5ea6 =\", measure_variant_corr(closes))<\/code><\/pre>\n\n\n\n<p class=\"wp-block-paragraph\">\u6211\u8fd9\u91cc\u8dd1\u51fa\u6765\u662f +0.955\u3002\u4f60\u7684\u7b56\u7565\u5982\u679c\u662f\u591a\u54c1\u79cd\u591a\u5468\u671f\u6df7\u5408\u7684\uff0c\u8fd9\u4e2a\u6570\u4f1a\u4f4e\u4e00\u4e9b\uff0c\u95e8\u69db\u4e5f\u5c31\u771f\u5b9e\u4e00\u4e9b\u3002<\/p>\n\n\n\n<h2 class=\"wp-block-heading\">\u53c2\u8003\u8d44\u6599<\/h2>\n\n\n\n<p class=\"wp-block-paragraph\">Bailey, David H. and L\u00f3pez de Prado, Marcos, The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality, Journal of Portfolio Management, 40(5), pp. 94-107, 2014. SSRN \u5168\u6587\u514d\u8d39\uff0c\u7f16\u53f7 2460551\u3002<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Mertens, Jerrold. Profitability, Risk, and the Missing Link. Journal of Financial Economics 66.2, 2002.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Johnson, Norman. The Statistics of Sharpe Ratios. Financial Analysts Journal 59.4, 2003.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u00b7 \u00b7 \u00b7<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">\u8bba\u6587\u5730\u5740 <a href=\"https:\/\/davidhbailey.com\/dhbpapers\/deflated-sharpe.pdf\">davidhbailey.com\/dhbpapers\/deflated-sharpe.pdf<\/a><\/p>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\"\/>\n\n\n\n<p class=\"wp-block-paragraph\"><a>#\u91cf\u5316<\/a>&nbsp;<a>#\u56de\u6d4b<\/a>&nbsp;<a>#\u590f\u666e\u6bd4\u7387<\/a>&nbsp;<a>#\u56e0\u5b50\u6316\u6398<\/a>&nbsp;<a>#\u7edf\u8ba1\u663e\u8457\u6027<\/a>&nbsp;<a>#\u7b56\u7565\u5f00\u53d1<\/a>&nbsp;<a>#Python<\/a>&nbsp;<a>#\u8fc7\u62df\u5408\u68c0\u9a8c<\/a><\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>\u98ce\u9669\u63d0\u793a\uff1a<\/strong>\u672c\u6587\u5168\u90e8\u6570\u5b57\u6765\u81ea\u6309\u8bba\u6587\u516c\u5f0f\u7684\u672c\u5730\u590d\u73b0\uff0c\u6570\u636e\u6e90\u662f\u56fa\u5b9a\u79cd\u5b50\u7684\u968f\u673a\u6570\u751f\u6210\uff0c\u4e0d\u542b\u4efb\u4f55\u771f\u5b9e\u884c\u60c5\uff0c \u4e0d\u6784\u6210\u4efb\u4f55\u6295\u8d44\u5efa\u8bae\uff0c\u4e5f\u4e0d\u4ee3\u8868\u4efb\u4f55\u6807\u7684\u7684\u5b9e\u9645\u8868\u73b0\u3002\u6587\u4e2d\u63d0\u5230\u7684\u95e8\u69db\u6570\u503c\u53ea\u7528\u4e8e\u8bf4\u660e\u7edf\u8ba1\u53e3\u5f84\uff0c \u8bfb\u8005\u5957\u7528\u524d\u8bf7\u7528\u81ea\u5df1\u7684\u771f\u5b9e\u6536\u76ca\u5e8f\u5217\u4e0e\u8bd5\u9a8c\u6b21\u6570\u91cd\u7b97\u3002\u7b56\u7565\u56de\u6d4b\u7ed3\u679c\u4e0d\u9884\u793a\u672a\u6765\u6536\u76ca\u3002<\/p>\n","protected":false},"excerpt":{"rendered":"<p>\u4f5c \u8005\uff1a\u8001\u4f59\u635e\u9c7c \u539f\u521b\u4e0d\u6613\uff0c\u8f6c\u8f7d\u8bf7\u6807\u660e\u51fa\u5904\u53ca\u539f\u4f5c\u8005&#8230;<\/p>\n<div class=\"more-link-wrapper\"><a class=\"more-link\" href=\"http:\/\/laoyulaoyu.com\/index.php\/2026\/10\/23\/%e6%88%91%e6%8a%8a%e9%82%a3%e4%b8%aa%e6%8b%92%e6%8e%8999%e7%ad%96%e7%95%a5%e7%9a%84%e5%85%ac%e5%bc%8f%e8%b7%91%e9%80%9a%e4%ba%86%ef%bc%8c%e5%be%97%e5%87%ba%e4%b8%80%e4%b8%aa%e5%8f%8d%e7%9b%b4%e8%a7%89\/\">Continue reading<span class=\"screen-reader-text\">\u6211\u628a\u90a3\u4e2a\u62d2\u638999%\u7b56\u7565\u7684\u516c\u5f0f\u8dd1\u901a\u4e86\uff0c\u5f97\u51fa\u4e00\u4e2a\u53cd\u76f4\u89c9\u7684\u7ed3\u8bba<\/span><\/a><\/div>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[2],"tags":[17,4,5,6],"class_list":["post-5099","post","type-post","status-publish","format-standard","hentry","category-aiinvest","tag-ai","tag-6","entry"],"_links":{"self":[{"href":"http:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/posts\/5099","targetHints":{"allow":["GET"]}}],"collection":[{"href":"http:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"http:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/comments?post=5099"}],"version-history":[{"count":1,"href":"http:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/posts\/5099\/revisions"}],"predecessor-version":[{"id":5105,"href":"http:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/posts\/5099\/revisions\/5105"}],"wp:attachment":[{"href":"http:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/media?parent=5099"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/categories?post=5099"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/laoyulaoyu.com\/index.php\/wp-json\/wp\/v2\/tags?post=5099"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}