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