Table 9 Sharpe ratio - Standardized Person’s residuals
From: Analysis of the cryptocurrency market using different prototype-based clustering techniques
Technique | Cluster/Intersection | Sharpe ratio | ||
|---|---|---|---|---|
SRF | ERP | Acc | ||
TADPole | 1 | − 1.43 | 1.52 | − 0.44 |
2 | − 11.32 | 10.60 | 3.69 | |
3 | 11.65 | − 10.95 | − 3.58 | |
Combi | 1 | 5.83 | − 5.49 | − 1.74 |
2 | − 6.02 | 5.20 | 4.13 | |
3 | 3.92 | − 3.63 | − 1.53 | |
4 | − 4.67 | 4.67 | 0.11 | |
5 | 3.93 | − 3.68 | − 1.24 | |
6 | − 3.00 | 3.04 | − 0.15 | |