Table 5 The metrics of fundamental indicators for DNN with MLP or LSTM.
Fundamental indicators | ||||
|---|---|---|---|---|
Metric | SGP-MLP | SGP-LSTM | MLP | LSTM |
2020 | ||||
Rank IC | − 7.15% | − 6.70% | − 2.95% | − 2.46% |
ICIR | − 4.20 | − 3.90 | − 2.79 | − 2.25 |
Excess R above 300 | − 7.87% | − 5.83% | 1.39% | − 3.53% |
Excess R above 500 | − 3.35% | − 1.20% | 6.28% | 1.15% |
Excess R above average | 0.27% | 2.39% | 10.01% | 4.84% |
Sharp ratio | 0.04 | 0.34 | 1.84 | 1.01 |
2021 | ||||
Rank IC | − 7.13% | − 7.25% | − 1.04% | − 2.13% |
ICIR | − 4.24 | − 5.58 | − 0.80 | − 2.72 |
Excess R above 300 | 45.71% | 41.29% | 31.96% | 23.85% |
Excess R above 500 | 21.40% | 17.49% | 9.92% | 2.91% |
Excess R above average | 12.77% | 8.83% | 1.62% | − 4.61% |
Sharp ratio | 1.67 | 1.38 | 0.27 | − 0.91 |
2022 | ||||
Rank IC | − 9.86% | − 9.99% | − 1.58% | − 4.07% |
ICIR | − 6.11 | − 7.32 | − 1.26 | − 5.08 |
Excess R above 300 | 35.99% | 34.59% | 20.57% | 20.60% |
Excess R above 500 | 34.54% | 33.12% | 18.96% | 19.16% |
Excess R above average | 19.05% | 17.84% | 5.27% | 5.46% |
Sharp ratio | 2.77 | 3.09 | 0.69 | 1.26 |
