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% |