Table 13 Simulated transaction results for Robustness analysis
From: An interval constraint-based trading strategy with social sentiment for the stock market
| Â | SARIMA-X | ES-X | SVR-X | ELM-X | BPNN-X | LSTM-X | TCN-X | Propose approach |
|---|---|---|---|---|---|---|---|---|
Return (%) | 17.78 | 21.58 | 21.47 | 25.26 | 22.24 | 18.94 | 29.49 | 37.10 |
Mean of return (%) | 0.2831 | 0.3382 | 0.3227 | 0.3892 | 0.3471 | 0.2999 | 0.4470 | 0.5465 |
Standard deviation of return (%) | 2.32 | 2.31 | 1.38 | 1.36 | 2.31 | 1.39 | 2.31 | 1.91 |
Sharpe ratio | 0.8667 | 0.9992 | 1.6073 | 1.9310 | 1.0227 | 1.5095 | 1.3130 | 2.0330 |
Maximum of drawback (%) | 23.94 | 30.24 | 25.78 | 24.90 | 23.95 | 28.07 | 24.50 | 20.13 |