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

Table 11

Summary for 30% expected return weight portfolio trading without limitation.

30% Expected return weight
Model	MDD	Return (%)	Counts	SR	Win rate (%)	Loss (10^6)	Profit (10^6)	Net volume (10^6)
Baseline	0.33	103.96	1	2.36			2.08	1.69
Random Forest	0.14	17.83	2297	0.87	0.53	2.24	0.36	−0.57
XGBoost	0.17	10.48	2290	0.53	0.51	2.46	0.21	−0.74
GRU	0.21	−2.68	1927	−0.17	0.51	3.21	−0.05	−1.19
LSTM	0.13	121.96	1155	4.48	0.51	3.16	2.44	0.40
Multi-GCN-GRU	0.05	327.14	1718	8.89	0.59	2.33	6.54	3.30
Multi-GCN-LSTM	0.06	282.88	1601	9.33	0.62	2.94	5.66	2.51