Research Article
IntelliPortfolio: Intelligent Portfolio for Enhanced Index Tracking Using Clustering and LSTM
Table 6
Results of different selection algorithms on the SSE180 dataset.
| IntelliPortfolio |
| Selection algorithms | | | | | IntelliPortfolio | 0.00554 | 0.00116 | 1.76507 | 0.24298 | Random | 0.00200 | 0.00002 | 0.44814 | 0.01141 | Industry | 0.00215 | −0.00120 | 0.87021 | −0.55862 | Volume | 0.00171 | −0.00030 | 0.62009 | −0.17336 | Autoencoder | 0.00475 | 0.00055 | 1.26564 | 0.09968 |
| GA-RRL | Selection algorithms | | | | | IntelliPortfolio | 0.01103 | 0.00094 | 0.58642 | 0.11496 | Random | 0.00510 | 0.00050 | 0.24446 | 0.09727 | Industry | 0.00546 | −0.00144 | 0.35697 | −0.26416 | Volume | 0.00441 | 0.00011 | 0.35448 | 0.02391 | Autoencoder | 0.00818 | 0.00084 | 0.52252 | 0.07605 |
| DDPG | Selection algorithms | | | | | IntelliPortfolio | 0.02431 | 0.00047 | 0.16269 | 0.01950 | Random | 0.00365 | 0.00012 | 0.07826 | 0.03227 | Industry | 0.00581 | −0.00017 | 0.05993 | −0.02978 | Volume | 0.00296 | −0.00006 | −0.23251 | −0.02252 | Autoencoder | 0.01785 | 0.00021 | −0.17050 | 0.01179 |
| RRL | Selection algorithms | | | | | IntelliPortfolio | 0.04002 | 0.00117 | 0.02298 | 0.01953 | Random | 0.01092 | −0.00011 | −0.01936 | −0.01017 | Industry | 0.01738 | −0.00008 | −0.03844 | −0.00483 | Volume | 0.01029 | 0.00019 | −0.04926 | 0.01857 | Autoencoder | 0.04593 | 0.00090 | 0.02032 | 0.00753 |
| DPG | Selection algorithms | | | | | IntelliPortfolio | 0.00266 | 0.00118 | −0.03730 | 0.36666 | Random | 0.00179 | −0.00024 | −0.14548 | −0.13338 | Industry | 0.00085 | −0.00018 | −0.36048 | −0.21024 | Volume | 0.00141 | 0.00008 | −0.17127 | 0.05529 | Autoencoder | 0.00225 | 0.00060 | −0.05151 | 0.26669 |
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