Table 9 The mean of metrics comparisons among three models.
Metric | Thomas Fischer’s LSTM | Ghosh’s LSTM | Proposed SGP-LSTM Model |
|---|---|---|---|
Rank IC | 10.6% | 10.7% | 9.24% |
Accuracy | 53.8% | 53.2% | 54.17% |
Precision | 52.1% | 51.5% | 53.07% |
Recall | 71.5% | 82.7% | 57.13% |
Excess return | − 6.34% | − 6% | 16.38% |
Excess volatility | 2.93% | 2.83% | 6.15% |
Information ratio | − 2.19 | − 2.10 | 2.66 |
