Modeling Traders’ Behavior with Deep Learning and Machine Learning Methods: Evidence from BIST 100 Index

Table 6

Results of falling direction orders.

		30M				1H				2H
th.		DNN	LOG	SVM	RND	DNN	LOG	SVM	RND	DNN	LOG	SVM	RND
0	pre. %	61.05	60.47	53.98	55.84	62.53	61.97	50.09	49.6	53.52	53.62	49.92	50.17
	rec. %	49.11	34.38	47.79	52.72	49.38	22.49	61.47	48.1	30.93	34.14	46.81	44.62
	acc. %	57.51	57.69	56.18	57.12	57.64	58.37	57.4	57.15	53.43	54	51.4	51.58
	f1 %	54.44	43.84	50.69	54.24	55.18	33	55.2	48.84	39.21	41.72	48.32	47.23
	ret. %	0.19	0.18	0.14	0.14	0.31	0.3	0.29	0.2	0.24	0.24	0.23	0.23
	mdd. %	2.04	2.47	1.9	2.4	1.97	1.26	3.18	3.35	3.87	4.07	8.08	4.85
	cmp.	3.77	3.35	2.59	2.54	2.51	1.32	1.53	1.72	1.31	1.38	1.19	1.12
0.1	pre. %	61.18	61.12	53.39	51	65.04	63.03	52.91	46.66	47.51	53.96	42.26	46.24
	rec. %	52.37	27.84	30.89	45.82	53.38	70.09	82.73	41.75	55.4	26.09	38.41	38.74
	acc. %	61.14	60.44	60.04	59.73	61.58	62.74	62.33	60.77	56.83	58.42	51.62	55.66
	f1 %	56.43	38.26	39.14	48.27	58.63	66.37	64.54	44.07	51.15	35.18	40.24	42.16
	ret. %	0.26	0.24	0.17	0.16	0.39	0.4	0.36	0.23	0.32	0.28	0.27	0.27
	mdd. %	1.64	2.58	1.83	2.66	1.26	0.84	1.8	2.29	4.23	2.87	6.29	5.72
	cmp.	2.39	1.73	1.56	2.13	1.83	1.28	1.22	1.62	1.2	1.2	1.09	1.15
0.2	pre. %	58.8	59.33	49.23	46.15	63.68	66	51.1	42.11	45.81	58.62	37.69	38.62
	rec. %	48.22	40.46	35.41	42.24	50.94	37.5	92.08	41.1	63.8	33.55	36.02	33.44
	acc. %	64.91	64.67	63.99	63.03	65.27	66.82	66.59	64.14	62.72	64	54.42	58.72
	f1 %	52.99	48.11	41.19	44.11	56.6	47.83	65.72	41.6	53.33	42.68	36.84	35.84
	ret. %	0.3	0.29	0.2	0.19	0.51	0.5	0.39	0.26	0.41	0.31	0.3	0.3
	mdd. %	1.75	1.35	2.46	2.07	0.73	0.71	1.75	2.43	3.03	1.79	6.15	4.31
	cmp.	1.72	1.44	1.54	1.8	1.55	1.16	1.28	1.5	1.13	1.14	1.13	1.12
0.3	pre. %	56.25	59.2	51.36	45.36	63.33	54.05	52.81	39.89	40.32	50	35.86	32.4
	rec. %	49.51	51.75	21.62	39.84	55.56	32.79	90.38	38.05	83.33	40.91	20.1	25.55
	acc. %	69.12	69.01	68.95	67.84	69.6	70.88	70.92	68.73	67.74	68.19	63.55	63.92
	f1 %	52.67	55.22	30.43	42.42	59.19	40.82	66.67	38.95	54.35	45	25.76	28.57
	ret. %	0.37	0.33	0.23	0.21	0.57	0.55	0.49	0.31	0.5	0.51	0.34	0.35
	mdd. %	1.64	1.19	1.17	2.14	1.24	0.74	0.89	3.35	1.14	1.04	3.18	7.89
	cmp.	1.46	1.24	1.58	1.6	1.38	1.1	1.19	1.46	1.07	1.07	1.17	1.02
0.4	pre. %	56.08	57.89	45.97	41.77	59.41	57.58	47.24	38.48	75	56.52	30.42	31.73
	rec. %	50	30.77	22.54	37.58	54.55	57.58	95.24	37.5	70.59	54.17	26.11	26.06
	acc. %	73.25	73.14	72.54	71.75	73.58	75	74.77	72.87	72.15	71.96	61.02	68.11
	f1 %	52.87	40.18	30.25	39.56	56.87	57.58	63.16	37.98	72.73	55.32	28.1	28.62
	ret. %	0.38	0.35	0.25	0.24	0.56	0.59	0.46	0.33	0.54	0.52	0.37	0.4
	mdd. %	1.1	1.19	1.76	2.13	1.24	0.71	1.38	1.26	0.28	1.07	4.24	4.4
	cmp.	1.38	1.12	1.47	1.47	1.32	1.11	1.21	1.41	1.06	1.06	1.24	1.07
0.5	pre. %	55.24	60	33.93	39.38	61.25	50	48	40.71	83.33	60	26.93	26.09
	rec. %	54.11	28.57	26.14	37.71	59.04	40.63	96	36.18	71.43	60	24.12	23.08
	acc. %	76.96	76.92	74.54	75.65	77.17	78.47	78.39	77.35	76.23	76.04	65.77	72.6
	f1 %	54.67	38.71	29.53	38.53	60.12	44.83	64	38.31	76.92	60	25.45	24.49
	ret. %	0.43	0.4	0.26	0.28	0.62	0.6	0.53	0.39	0.58	0.51	0.4	0.41
	Mdd. %	1.1	0.5	1.66	1.8	1.24	0.71	0.97	2.47	0.06	0.76	3.96	3.36
	cmp.	1.33	1.14	1.29	1.41	1.26	1.07	1.2	1.41	1.05	1.05	1.19	1.02