Table 1 Features used in the study
From: A statistical learning approach for stock selection in the Chinese stock market
Features | Symbol |
|---|---|
Return based: | |
1. One-month return | R1 |
2. Two-month cumulative return | R2 |
3. Three-month cumulative return | R3 |
4. Four-month cumulative return | R4 |
5. Five-month cumulative return | R5 |
6. Six-month cumulative return | R6 |
7. Seven-month cumulative return | R7 |
8. Eight-month cumulative return | R8 |
9. Nine-month cumulative return | R9 |
10. Ten-month cumulative return | R10 |
11. Eleven-month cumulative return | R11 |
12. Twelve-month cumulative return | R12 |
Statistics based: | |
13. Standard deviation calculated from the past 12 months of returns | SD |
14. Skewness calculated from the past 12 months of returns | Skew |
15. Kurtosis calculated from the past 12 months of returns | Kurt |
16. Sharpe ratio calculated from the past 12 months of returns | Sharpe |
17. Alpha with respect to the market calculated from the past 12 months of returns | Alpha |
18. Market beta calculated from the past 12 months of returns | Beta |
19. Correlation with index calculated from the past 12 months of returns | Corr |
20. Short-term volatility calculated from the daily returns in the past 20 days | Vol |
21. Distance/drawdown from the high watermark in the past 12 months | DD |