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

Table 8

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	0.34	33.99	4893	0.64	0.52	3.16	0.68	−0.71
XGBoost	0.51	−27.03	4909	−0.70	0.50	2.01	−0.54	−1.05
GRU	0.54	−30.53	4905	−0.76	0.51	3.00	−0.61	−1.46
LSTM	0.43	76.92	4900	1.20	0.52	6.78	1.54	−1.5
Multi-GCN-GRU	0.27	634.06	4903	4.52	0.56	5.06	12.68	6.15
Multi-GCN-LSTM	0.21	1849.78	4894	6.82	0.56	14.68	37.00	17.91