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

Table 16

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	0.18	91.56	1398	2.40	0.33	2.39	1.83	0.31
XGBoost	0.17	124.15	1422	3.08	0.33	1.83	2.48	0.92
GRU	0.24	17.69	1187	0.69	0.33	1.57	0.35	−0.32
LSTM	0.12	25.55	680	1.38	0.29	1.34	0.51	−0.14
Multi-GCN-GRU	0.06	142.52	1097	5.49	0.43	0.28	2.85	1.73
Multi-GCN-LSTM	0.06	252.94	960	6.70	0.45	0.66	5.06	2.98