Risk Adapting Stock Trading System Associated Technical with Macroeconomic Indicators

Table 2

Portfolio return against different expected returns from 2019-09-03 to 2021-08-30.

	20%		30%		40%		45%
Signal	Max drawdown	Return (%)	Max drawdown	Return (%)	Max drawdown	Return (%)	Max drawdown	Return (%)
MOM	0.0294	1.9392	0.0840	4.8181	0.2954	102.2031	0.5550	579.9807
RSI	0.0482	2.8534	0.0983	10.4727	0.1182	18.6023	0.2212	17.0694
MA	0.0280	1.6443	0.0487	5.2744	0.0805	46.9569	0.0723	41.6670
Bollinger	0.0528	7.9582	0.1324	12.4940	0.1359	32.7371	0.2345	99.2040
SVM (with macroeconomics)	0.0762	8.3053	0.2136	29.2437	0.2364	87.2302	0.1255	91.3222
LSTM (with macroeconomics)	0.0795	8.9045	0.2135	29.3482	0.2940	160.7614	0.5282	443.7264
SVM (without macroeconomics)	0.0745	9.3661	0.1988	20.9247	0.1782	76.4173	0.1085	66.8775
LSTM (without macroeconomics)	0.0775	8.7866	0.2135	29.3482	0.2645	130.2704	0.1601	123.7176