1. 国富投资-量化研究实习
CapitalEdge Quant Analyst Intern
徐赛伦
Sailun Xu

2. ZZ500(2014-05-05 ~ 2016-07-01)
EMD(Empirical Mode Decomposition)
Compound, Trade fee = 1.5‰

3. Cumulative Return(Compound, Trade fee = 1.5‰)
累计收益率
75.01%
Number of winning, average rate
盈利次数，平均盈利率
160,1.155%
Number of losses, average rate
亏损次数，平均亏损率
98,0.89%
Max drawdown
最大回撤率
8.5%
Annualized Rate of Return
年化收益率
30.34%
Sharpe ratio
夏普比率
1.8025

4. ZZ500(2014-05-05 ~ 2016-07-01)
HOM(High Order Momentum)
Compound, Trade fee = 1.5‰

5. Cumulative Return(Compound, Trade fee = 1.5‰)
累计收益率
175.33%
Number of winning, average rate
盈利次数，平均盈利率
207, 1.85%
Number of losses, average rate
亏损次数，平均亏损率
230, 0.91%
Max drawdown
最大回撤率
15.02%
Annualized Rate of Return
年化收益率
100.00%
Sharpe ratio
夏普比率
3.366

6. LLT(Low Latency Trending)
Compound, Trade fee = 1.5‰
000001.sh(2006-01-01 ~ 2016-08-01)
Compound, Trade fee = 1.5‰

7. Cumulative Return(Compound, Trade fee = 1.5‰)
累计收益率
725.11%
Number of winning, average rate
盈利次数，平均盈利率
68, 9.11%
Number of losses, average rate
亏损次数，平均亏损率
151, 2.05%
Max drawdown
最大回撤率
33.80%
Annualized Rate of Return
年化收益率
22.97%
Sharpe ratio
夏普比率
0.7729

8. Kdb+ /q database maintenance(historical data covering)
date sym … date sym ipoDate lastDate …