Threshold | Pair | Yield | Annual Yield | Benchmark Yield | Division abnormal profit | Sharp ratio | Max drawdown |
0.45 | EB | 16.61% | 48.58% | 9.68% | 6.32% | 2.419 | 4.63% |
EC | 4.33% | 11.55% | 9.68% | −4.87% | 1.015 | 4.31% | |
0.5 | EB | 16.61% | 48.58% | 9.68% | 6.32% | 2.419 | 4.63% |
EC | 0.07% | 0.18% | 9.68% | −8.76% | −0.450 | 5.91% | |
0.55 | EB | 16.21% | 47.30% | 9.68% | 5.96% | 2.347 | 4.63% |
EC | 0.07% | 0.18% | 9.68% | −8.76% | −0.450 | 5.91% | |
0.6 | EB | 16.21% | 47.30% | 9.68% | 5.96% | 2.347 | 4.63% |
EC | −0.39% | −1.00% | 9.68% | −9.18% | 0.471 | 5.93% | |
0.65 | EB | 16.21% | 47.30% | 9.68% | 5.96% | 2.347 | 4.63% |
EC | −0.39% | −1.00% | 9.68% | −9.18% | −0.575 | 5.91% | |
0.7 | EB | 15.64% | 45.44% | 9.68% | 5.44% | 2.243 | 4.63% |
EC | −0.39% | −1.00% | 9.68% | 9.18% | −0.575 | 5.91% | |
0.75 | EB | 15.64% | 45.44% | 9.68% | 5.44% | 2.243 | 4.63% |
EC | −0.39% | −1.00% | 9.68% | 9.18% | −0.575 | 5.91% |