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Benchmarks Performance
Here are the results of each benchmark model running on the Alpha158 and Alpha360 dataset respectively. The value of each metric are the mean and std calculated based on 10 runs.
Alpha158 dataset
| Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Annualized Return | Information Ratio | Max Drawdown |
|---|---|---|---|---|---|---|---|---|
| Linear | Alpha158 | 0.0393±0.00 | 0.2980±0.00 | 0.0475±0.00 | 0.3546±0.00 | 0.0795±0.00 | 1.0712±0.00 | -0.1449±0.00 |
| CatBoost | Alpha158 | 0.0503±0.00 | 0.3586±0.00 | 0.0483±0.00 | 0.3667±0.00 | 0.1080±0.00 | 1.1567±0.00 | -0.0787±0.00 |
| XGBoost | Alpha158 | 0.0481±0.00 | 0.3659±0.00 | 0.0495±0.00 | 0.4033±0.00 | 0.1111±0.00 | 1.2915±0.00 | -0.0893±0.00 |
| LightGBM | Alpha158 | 0.0475±0.00 | 0.3979±0.00 | 0.0485±0.00 | 0.4123±0.00 | 0.1143±0.00 | 1.2744±0.00 | -0.0800±0.00 |
| MLP | Alpha158 | 0.0321±0.00 | 0.2493±0.04 | 0.0408±0.00 | 0.3134±0.03 | 0.0661±0.03 | 0.7884±0.39 | -0.1038±0.03 |
| TFT | Alpha158 | 0.0287±0.00 | 0.1663±0.01 | 0.0016±0.00 | 0.0095±0.02 | 0.0205±0.02 | 0.1758±0.19 | -0.1990±0.04 |
| GRU | Alpha158 (with selected 20 features) | 0.0313±0.00 | 0.2427±0.01 | 0.0416±0.00 | 0.3370±0.01 | 0.0335±0.01 | 0.4808±0.22 | -0.1112±0.03 |
| LSTM | Alpha158 (with selected 20 features) | 0.0337±0.01 | 0.2562±0.05 | 0.0427±0.01 | 0.3392±0.04 | 0.0269±0.06 | 0.3385±0.74 | -0.1285±0.04 |
| ALSTM | Alpha158 (with selected 20 features) | 0.0366±0.00 | 0.2803±0.04 | 0.0478±0.00 | 0.3770±0.02 | 0.0520±0.03 | 0.7115±0.30 | -0.0986±0.01 |
| GATs | Alpha158 (with selected 20 features) | 0.0355±0.00 | 0.2576±0.02 | 0.0465±0.00 | 0.3585±0.00 | 0.0509±0.02 | 0.7212±0.22 | -0.0821±0.01 |
Alpha360 dataset
| Model Name | Dataset | IC | ICIR | Rank IC | Rank ICIR | Annualized Return | Information Ratio | Max Drawdown |
|---|---|---|---|---|---|---|---|---|
| Linear | Alpha360 | 0.0150±0.00 | 0.1049±0.00 | 0.0284±0.00 | 0.1970±0.00 | -0.0655±0.00 | -0.6985±0.00 | -0.2961±0.00 |
| CatBoost | Alpha360 | 0.0397±0.00 | 0.2878±0.00 | 0.0470±0.00 | 0.3703±0.00 | 0.0342±0.00 | 0.4092±0.00 | -0.1057±0.00 |
| XGBoost | Alpha360 | 0.0400±0.00 | 0.3031±0.00 | 0.0461±0.00 | 0.3862±0.00 | 0.0528±0.00 | 0.6307±0.00 | -0.1113±0.00 |
| LightGBM | Alpha360 | 0.0399±0.00 | 0.3075±0.00 | 0.0492±0.00 | 0.4019±0.00 | 0.0323±0.00 | 0.4370±0.00 | -0.0917±0.00 |
| MLP | Alpha360 | 0.0253±0.01 | 0.1954±0.05 | 0.0329±0.00 | 0.2687±0.04 | 0.0161±0.01 | 0.1989±0.19 | -0.1275±0.03 |
| GRU | Alpha360 | 0.0503±0.01 | 0.3946±0.06 | 0.0588±0.00 | 0.4737±0.05 | 0.0799±0.02 | 1.0940±0.26 | -0.0810±0.03 |
| LSTM | Alpha360 | 0.0466±0.01 | 0.3644±0.06 | 0.0555±0.00 | 0.4451±0.04 | 0.0783±0.05 | 1.0539±0.65 | -0.0844±0.03 |
| ALSTM | Alpha360 | 0.0472±0.00 | 0.3558±0.04 | 0.0577±0.00 | 0.4522±0.04 | 0.0522±0.02 | 0.7090±0.32 | -0.1059±0.03 |
| GATs | Alpha360 | 0.0480±0.00 | 0.3555±0.02 | 0.0598±0.00 | 0.4616±0.01 | 0.0857±0.03 | 1.1317±0.42 | -0.0917±0.01 |