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