Skip to main content
Financial Innovation

Table 10 Simulated transaction results for different models

From: An interval constraint-based trading strategy with social sentiment for the stock market

 

SARIMA-X

ES-X

SVR-X

ELM-X

BPNN-X

LSTM-X

TCN-X

Propose approach

Return (%)

6.21

− 1.41

1.88

− 2.09

8.58

2.59

8.08

24.57

Mean of return (%)

0.1041

− 0.0253

0.0322

-0.0365

0.1421

0.0442

0.1346

0.3803

Standard deviation of return (%)

2.43

2.42

2.42

2.41

2.39

2.40

2.40

2.13

Sharpe Ratio

0.5277

–

0.4418

–

0.3711

0.4613

0.5753

1.2030

Maximum of drawback (%)

11.15

12.65

15.40

12.63

9.58

14.73

10.69

6.27

Back to article page