Integrated Model of Multiple Kernel Learning and Differential Evolution for EUR/USD Trading

Table 11

Sharpe ratios for the baseline, benchmark, and proposed methods.

Method	Average return	Standard deviation	Sharpe ratio
GA-s	−0.0223	0.0242	−0.5025
GA-m	−0.0046	0.0266	−1.1177
Buy and Hold	−0.0388	0.0144	−3.2152
Sell and Hold	0.0388	0.0144	2.1736
SVM-s	−0.0941	0.0965	−1.0528
SVM-m	−0.0340	0.0050	−8.3000
MKL-m	−0.0518	0.1258	−0.4713
MKL-m-t	0.0138	0.0084	0.7500
DE-only	−0.0201	0.0219	−1.2602
MKL-m-t-DE	0.0498	0.0162	2.6111