[Retracted] Beat Wash-Sale Tax with Multigraph Convolutional Neural Networks Based Trading Strategy

Table 10

Summary for 20% expected return weight portfolio trading without limitation.

20% Expected return weight
Model	MDD	Return (%)	Counts	SR	Win rate (%)	Loss (10^6)	Profit (10^6)	Net volume (10^6)
Baseline	0.35	45.06	1	1.31			0.90	0.75
Random Forest	0.14	−3.79	2297	−0.42	0.53	1.37	−0.08	−0.52
XGBoost	0.16	−11.72	2290	−1.34	0.51	1.21	−0.23	−0.56
GRU	0.09	1.05	1927	0.08	0.51	1.16	0.02	−0.38
LSTM	0.07	16.67	1155	2.23	0.51	0.65	0.33	0.00
Multi-GCN-GRU	0.03	129.97	1718	9.67	0.59	0.42	2.60	1.52
Multi-GCN-LSTM	0.03	117.89	1601	11.67	0.62	1.01	2.36	1.15