Table 6 Simulation results with ANN/DNN classifiers using entire untransformed data
From: Predicting the daily return direction of the stock market using hybrid machine learning algorithms
# of hidden layers | Mean of daily return | Std. of daily return | Sharpe ratio |
|---|---|---|---|
10 | 7.8493E-04 | 0.0077 | 0.1015 |
12 | 7.4376E-04 | 0.0071 | 0.1051 |
14 | 8.3735E-04 | 0.0077 | 0.1090 |
16 | 8.2346E-04 | 0.0078 | 0.1056 |
18 | 1.0000E-03 | 0.0073 | 0.1411 |
20 | 7.8827E-04 | 0.0077 | 0.1030 |
22 | 8.4592E-04 | 0.0077 | 0.1103 |
24 | 8.6660E-04 | 0.0073 | 0.1187 |
26 | 8.8574E-04 | 0.0074 | 0.1196 |
28 | 8.3240E-04 | 0.0075 | 0.1112 |
30 | 8.4049E-04 | 0.0079 | 0.1071 |
35 | 8.6501E-04 | 0.0077 | 0.1119 |
40 | 7.9263E-04 | 0.0079 | 0.1006 |
45 | 8.2000E-04 | 0.0073 | 0.1125 |
50 | 7.7529E-04 | 0.0077 | 0.1004 |
100 | 8.4306E-04 | 0.0076 | 0.1110 |
500 | 7.9310E-04 | 0.0079 | 0.1007 |
1000 | 7.9541E-04 | 0.0078 | 0.1019 |