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

Table 6

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	0.22	−3.81	4893	−0.26	0.52	2.09	−0.08	−0.79
XGBoost	0.14	−7.88	4909	−0.64	0.50	1.17	−0.16	−0.70
GRU	0.10	36.38	4905	2.06	0.51	1.94	0.73	−0.22
LSTM	0.26	8.65	4900	0.49	0.52	2.95	0.17	−0.95
Multi-GCN-GRU	0.05	411.82	4903	9.57	0.56	5.46	8.24	3.21
Multi-GCN-LSTM	0.08	334.82	4894	8.98	0.56	4.07	6.70	2.75