2024年中期策略报告：坚守量化策略长期收益，积极寻找增量信息

        300 ( ) 2.5 2 1.5 1 0.5 0 1.8 1.6 1.4 1.2 1 0.8 0.6 0.4 max � 𝛼𝑇� 𝑠.𝑡.𝑠�≤𝑋𝑠(�−𝑤𝑏)≤𝑠�ℎ�≤𝑋ℎ(�−𝑤𝑏)≤ℎ� 𝑤�≤�−𝑤�≤𝑤� � � 𝑋� 𝟏𝑇�=10<�<1 𝑋ℎ 𝑠� ℎ�ℎ� 𝑤�𝑤� 𝑠� ℎ� 𝑠�ℎ� 𝑤�𝑤� 𝑠� 𝑋�−𝐸(𝑋𝑞) 𝑆𝑈�= 𝜎� 𝐸(𝑋𝑞)𝜎��−1�−8𝑋𝑞−�−𝑋𝑞−𝑡−4 𝑥� � 1 𝑑�=�−1∑‖𝑥�−𝑥𝑗‖,�≠� 𝑗=1 𝑠𝑡𝑎𝑡𝑒_𝑜𝑤� 0.8≤𝑠𝑡𝑎𝑡𝑒_𝑜𝑤𝑛𝑇� 𝑤� ∑𝑟𝑒𝑙𝑒𝑎𝑠𝑒𝑇𝑤𝑏)𝑟𝑒𝑙𝑒𝑎𝑠� 𝑚𝑖�(0.7,1.5×∑𝑟𝑒𝑙𝑒𝑎𝑠𝑒𝑇𝑤𝑏)≤𝑟𝑒𝑙𝑒𝑎𝑠𝑒𝑇� 𝑚𝑖𝑛(70%,1.5× max w 𝑤𝑇�− 1 𝜆𝑤𝑇Σ� 2 � � Σ � max w 𝑤𝑇�− 1 𝜆𝑤𝑇Σ� 2 � Σ � �=1000