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

Table 7

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	0.21	2.94	4893	0.11	0.52	2.79	0.06	−0.96
XGBoost	0.25	20.73	4909	0.64	0.50	4.12	0.42	−1.23
GRU	0.27	45.75	4905	1.29	0.51	5.83	0.91	−1.55
LSTM	0.36	131.43	4900	2.43	0.52	9.68	2.63	−1.89
Multi-GCN-GRU	0.15	1335.75	4903	8.57	0.56	19.80	26.72	9.54
Multi-GCN-LSTM	0.14	877.42	4894	8.69	0.56	13.74	17.55	6.01