IntelliPortfolio: Intelligent Portfolio for Enhanced Index Tracking Using Clustering and LSTM

Table 5

Hyperparameter estimation results for stock selection algorithm.

1	60	0.00198	−0.00026	−0.13240	0.95168
1	90	0.00221	0.00086	0.38720	0.87584
1	120	0.00293	0.00142	0.48443	1.37334
1156	60	0.00222	0.00006	0.02733	0.86875
1156	90	0.00144	−0.00045	−0.30875	0.73049
1156	120	0.00428	0.00018	0.04302	1.05809
2251	60	0.00541	0.00101	0.18715	1.56098
2221	90	0.00495	0.00066	0.13293	1.45561
2191	120	0.00465	0.00115	0.24705	1.57182