Table 21 Four metrics of different trading strategies for a portfolio of 5 stocks
From: A hybrid model for stock price prediction based on multi-view heterogeneous data
Strategy | AR (%) | ASR | MDD (%) | AV (%) |
|---|---|---|---|---|
SSE 50 index | 17.64 | 2.11 | 3.72 | 8.38 |
Buy and hold | 18.54 | 1.14 | 14.37 | 16.23 |
Randomly buy | 5.02 | 0.50 | 8.10 | 10.01 |
Momentum trading | 17.46 | 1.66 | 6.21 | 10.49 |
ARIMA | 3.10 | 0.30 | 7.23 | 10.43 |
SVMMD | 16.57 | 2.25 | 2.87 | 7.38 |
SVMDR | 6.65 | 0.66 | 10.39 | 10.09 |
SVMFN | 9.28 | 0.95 | 11.84 | 9.78 |
SVMMV | 17.63 | 1.59 | 8.50 | 11.12 |
MVL-SVMMD | 45.43 | 4.86 | 2.40 | 9.34 |
MVL-SVMDR | 49.14 | 5.33 | 2.34 | 9.21 |