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

Table 12

Summary for 40% expected return weight portfolio trading without limitation.

40% Expected return weight
Model	MDD	Return (%)	Counts	SR	Win rate (%)	Loss (10^6)	Profit (10^6)	Net volume (10^6)
Baseline	0.37	163.91	1	2.46			3.28	2.65
Random Forest	0.34	61.90	2297	1.33	0.53	2.56	1.24	−0.13
XGBoost	0.19	38.84	2290	0.97	0.51	2.18	0.78	−0.28
GRU	0.41	−30.52	1927	−1.24	0.51	2.26	−0.28	−1.19
LSTM	0.30	−13.78	1155	−0.70	0.51	2.34	−0.28	−1
Multi-GCN-GRU	0.12	237.22	1718	4.80	0.59	1.12	4.47	2.61
Multi-GCN-LSTM	0.09	458.13	1601	6.85	0.62	2.79	9.16	4.78