金工周报：南华指数量化解析

2%3.5%2.5% V 30% 1~2%10% 20111290 Z0013991 Z0020087 1............................................................................................................12.....................................................................................................33..............................................................................................44..........................................................................................55..........................................................................................86...................................................................................................10 1.1: 2024-05-10 ~ 2024-05-17..........................................................12.12024-05-17.....................................................32.2: 2024-05-17...................................................33.1: 2024-05-10 ~ 2024-05-17.....................44.1: 2024-05-10 ~ 2024-05-17.....................54.2: 2024-05-10 ~ 2024-05-17.......54.3: 2024-05-10 ~ 2024-05-17..................54.2: 2024-05-10~2024-05-17................75.1: 2024-05-17...........85.2: 2024-05-17...............85.3: 2024-05-17................................................96.1: 2024-05-17.....................................................10 1. 2%3.5%2.5% V 30% 1~2% 10% 2. 2%3.5%2.5% 3. 注：趋势度采用经典的EfficiencyRatio（ER）指标计算，基于一段时间的价格变动和期间的总价格波动数值，来算出标准化的趋势强度，数值范围0~1，越大表示趋势越明显。 V 4. 30% 5. 注 ：波 动指 标 采 用yang-zhang波动率算法。这种方法的优点在于它不仅仅考虑了日收盘价的变化（比如 传 统 的close-to-close波动率），还包括了开盘跳空和日内价格范围的信息，使得波动率的估计更加准确和全面 1~2%10% 波动率锥通过将不同板块在不同周期上的波动率绘制出来，以及每个周期波动率的分布，可以清晰的判断出当前板块在不同周期下的波动率水平具体是高还是低。 6. / 136310008400 8888 910www.nanhua.net603093