Multifactor Stock Selection Strategy Based on Machine Learning: Evidence from China

Table 3

Back-test results of different algorithms.

Algorithm	Annualized return	Maximum retracement rate (%)	Sharpe ratio weekly
Linear regression	−5.38%	94.73	——
Ridge regression	−6.61	95.56	——
Random forest regression	−4.74	83.43	——
Support vector regression (SVR)	70.12%	58.63	0.27