Predicting Stock Market Volatility from Candlestick Charts: A Multiple Attention Mechanism Graph Neural Network Approach

Table 6

Overview of backtested returns of trading strategies.

Stocks	Benchmark return (%)	Strategy return (%)	Alpha	Beta	Sharpe	Sortino	Information	Maximum (%)
Financial	−12.48	2.19	0.37	1.308	0.761	1.022	1.821	28.29
Utilities	−22.70	6.11	0.049	1.034	0.406	0.515	0.354	33.58
Real estate	−18.29	0.18	0.086	1.046	0.52	0.685	0.673	25.31
Combined	−7.72	27.79	0.024	0.282	0.286	0.506	0.531	18.61
Industrial	8.06	76.28	0.187	0.386	0.526	0.553	0.195	14.26
Commercial	−12.69	9.30	0.232	1.209	0.578	0.785	1.613	24.73
Ping An	18.55	39.72	0.252	1.202	1.372	2.023	1.04	28.90
COSCO	93.85	101.64	0.485	0.939	1.268	1.735	1.979	23.05
Vanke A	−7.99	31.35	0.096	0.967	2.718	3.099	1.137	21.64
Makara	44.89	63.39	0.56	1.074	1.654	1.864	1.863	19.11
CNNC	−1.27	17.72	0.036	0.758	0.241	0.357	0.591	27.30
Yong Hui	−2.09	28.69	0.295	1.139	1.09	1.653	1.68	20.73