全球量化策略-在布伦特原油获利点

《全球量化策略-在布伦特原油获利点》由会员上传分享，免费在线阅读，更多相关内容在行业资料-天天文库。

1、若出现数据缺失，图表错位，可加微信：535600147，凭下载记录截图索取pdf版本Charts7-10:BNPP-TIFforBrentcrudeoil若出现数据缺失，图表错位，可加微信：535600147，凭下载记录截图索取pdf版本150BullCyclesBull/Beartrendstrategyreturn-BrentTotalPnL214.1%AvgPnL1.9%StDevPnL7.5%214.1%若出现数据缺失，图表错位，可加微信：535600147，凭下载记录截图索取pdf版本120BearCyclesBrentcrud

2、eoil190%130%LongOnlyStrategyreturn-Brent若出现数据缺失，图表错位，可加微信：535600147，凭下载记录截图索取pdf版本#Signals111AvgLengthPnL(weeks)3.59070%6010%HitRatio49%Samplesize(years)11#Signalsperyear10.16.1%若出现数据缺失，图表错位，可加微信：535600147，凭下载记录截图索取pdf版本若出现数据缺失，图表错位，可加微信：535600147，凭下载记录截图索取pdf版本30Mar-07Ma

3、r-09Mar-11Mar-13Mar-15Mar-17-50%#Signalsinthelast3M2#Signalsinthelast6M3PnLinthelast3M2.5%PnLinthelast6M8.1%Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17若出现数据缺失，图表错位，可加微信：535600147，凭下载记录截图索取pdf版本150100%.ullTrend52%67%boTrend33%BullCycleNoTrendBearcycleCurrentProbability1weekagoprob

4、ability1monthagoprobability.earTrend0%BullCycles若出现数据缺失，图表错位，可加微信：535600147，凭下载记录截图索取pdf版本BearCyclesBrentcrudeoilPricechangetotrigger/end2.7%bulltrend(ceterisparibus)Pricechangetotrigger/end-3.5%beartrend(ceterisparibus)120906030Mar-07Mar-09Mar-11Mar-13Mar-15Mar-17Source:Blo

5、ombergLLP,BNPParibas;asof15June2018;weeklydata若出现数据缺失，图表错位，可加微信：535600147，凭下载记录截图索取pdf版本15June2018若出现数据缺失，图表错位，可加微信：535600147，凭下载记录截图索取pdf版本CommodityQuantStrategy2www.globalmarkets.bnpparibas.com若出现数据缺失，图表错位，可加微信：535600147，凭下载记录截图索取pdf版本ThisdocumenthasbeenwrittenbyourStrate

6、gistandEconomistteamswithintheBNPParibasgroupofcompanies(collectively“BNPP”);itdoesnotpurporttobeanexhaustiveanalysis,andmaybesubjecttoconflictsofinterestresultingfromtheirinteractionwithsalesandtradingwhichcouldaffecttheobjectivityofthisreport.Thisdocumentisnon-independentr

7、esearchforthepurposeoftheUKFinancialConductAuthorityrules.ForthepurposesoftherecastMarketsinFinancialInstrumentsDirective(2014/65/EU)(MiFIDII),non-independentresearchconstitutesamarketingcommunication.ThisdocumentisnotinvestmentresearchforthepurposesofMiFIDII.Ithasnotbeenpre

8、paredinaccordancewithlegalrequirementsdesignedtoprovidetheindependenceofinv