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

Table 14

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	0.07	7.05	1398	0.75	0.33	0.84	0.14	−0.18
XGBoost	0.07	2.32	1422	0.2479	0.33	0.77	0.05	−0.22
GRU	0.06	5.02	1187	0.58	0.33	0.71	0.10	−0.16
LSTM	0.06	1.00	680	0.14	0.29	0.29	0.02	−0.06
Multi-GCN-GRU	0.03	66.23	1097	7.50	0.43	0.07	1.32	0.84
Multi-GCN-LSTM	0.03	65.95	960	9.09	0.45	0.49	1.32	0.69