时间序列

机器学习

回测收益

年化收益率

最大回撤

GARCH

RF

[7057.85, 38935.16]

[1.953, 8.621]

[10.141, 31.460]

ADA

[−5353.19, 47817.09]

[−0.772, 10.038]

[15.911, 36.467]

GBDT

[7355.13, 58283.19]

[1.861, 12.459]

[17.354, 32.158]

Hist-GB

[8507.41, 57397.32]

[2.190, 12.255]

[18.381, 30.061]

GJR-GARCH

RF

[7880.61, 42081.99]

[2.059, 9.328]

[11.069, 26.299]

ADA

[−634.72, 54076.05]

[0.328, 11.324]

[14.813, 37.630]

GBDT

[9345.29, 56937.05]

[2.444, 12.128]

[12.556, 32.904]

Hist-GB

[13300.03, 49001.53]

[3.341, 10.674]

[19.315, 31.160]

EGARCH

RF

[8952.33, 38000.09]

[2.359, 8.477]

[9.322, 29.977]

ADA

[−5382.14, 48870.00]

[−0.830, 10.281]

[17.414, 36.187]

GBDT

[4972.81, 69354.98]

[1.600, 14.178]

[18.898, 32.552]

Hist-GB

[7038.36, 56423.13]

[1.921, 12.008]

[19.004, 30.431]