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Table 7 Simulation results with ANN/DNN classifiers using transformed data with PCs = 60

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 7.6471E-04 0.0076 0.1011
12 8.7298E-04 0.0074 0.1178
14 7.0400E-04 0.0077 0.0911
16 9.0078E-04 0.0076 0.1181
18 9.0041E-04 0.0075 0.1202
20 9.6420E-04 0.0075 0.1294
22 9.0986E-04 0.0077 0.1188
24 7.8212E-04 0.0076 0.1036
26 9.6026E-04 0.0070 0.1375
28 9.5506E-04 0.0071 0.1354
30 9.3496E-04 0.0074 0.1271
35 7.9479E-04 0.0077 0.1035
40 5.8272E-04 0.0075 0.0778
45 7.0538E-04 0.0074 0.0953
50 5.9244E-04 0.0071 0.0832
100 8.3309E-04 0.0079 0.1061
500 9.3984E-04 0.0074 0.1275
1000 8.7984E-04 0.0076 0.1150