Forecast | Naïve Strategy | MACD | ARMA | Deep Belief Network | ANFIS model |
Annualized Returns | 10.13% | 11.12% | 12.87% | 18.87% | 19.67% |
Annualized Volatility | 13.78% | 14.89% | 15.87% | 18.12% | 16.67% |
Maximum drawdown | −14.67% | −12.87% | −14.67% | −15.77% | −12.12% |
Sharpe ratio | 0.73 | 0.74 | 0.81 | 1.04 | 1.17 |