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

Table 15

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	0.11	36.11	1398	2.23	0.33	1.50	0.72	−0.06
XGBoost	0.11	39.48	1422	2.42	0.33	1.47	0.79	−0.01
GRU	0.15	15.54	1187	1.08	0.33	1.78	0.31	−0.43
LSTM	0.06	28.50	680	2.87	0.29	1.18	0.57	−0.04
Multi-GCN-GRU	0.03	104.24	1097	9.02	0.43	0.81	2.08	1.05
Multi-GCN-LSTM	0.06	142.03	960	8.91	0.45	1.05	2.84	1.44