Threshold

Pair

Yield

Annual

Yield

Benchmark Yield

Division abnormal profit

Sharp ratio

Max drawdown

0.45

EB

14.11%

40.53%

9.68%

4.04%

2.282

4.57%

EC

4.01%

10.67%

9.68%

−5.17%

0.685

5.39%

0.5

EB

14.69%

42.38%

9.68%

4.57%

2.284

4.57%

EC

3.84%

10.21%

9.68%

−5.32%

0.637

5.40%

0.55

EB

13.41%

38.32%

9.68%

3.41%

2.047

4.57%

EC

3.59%

9.51%

9.68%

−5.55%

0.565

5.41%

0.6

EB

11.18%

31.40%

9.68%

1.37%

1.619

4.96%

EC

3.28%

8.68%

9.68%

−5.83%

0.471

5.93%

0.65

EB

10.16%

28.33%

9.68%

0.44%

1.391

5.30%

EC

3.23%

8.53%

9.68%

−5.88%

0.448

6.05%

0.7

EB

12.09%

34.18%

9.68%

2.19%

1.620

4.57%

EC

2.92%

7.69%

9.68%

−6.17%

0.364

6.26%

0.75

EB

11.10%

31.17%

9.68%

1.30%

1.461

4.57%

EC

1.83%

4.78%

9.68%

−7.16%

0.072

6.27%