Model

Max Drawdown

Return

Volatility

SP Ratio

Average Value

Incresed with SSE50

ARIMA-XGBoost

19.6%

31.81%

41.02%

0.71

1,200,761.87

30.52%

LSTM-XGBoost

17.63%

11.81%

36.4%

0.26

1,045,566.86

13.65%

Informer-XGBoost

19.93%

26.1%

40.55%

0.58

1,166,372.54

26.78%

iTransformer-XGBoost

18.06%

33.24%

41.53%

0.74

1,235,449.21

34.29%

ARIMA

20.03%

12.75%

41.53%

0.25

1,057,799.99

14.98%

LSTM

19.69%

20.82%

37.31%

0.49

1,075,153.65

16.86%

Informer

18.34%

11.01%

33.74%

0.25

1,053,455.27

14.50%

iTransformer

17.07%

29.4%

42.26%

0.64

1,166,834.41

26.83%

XGBoost

16.66%

9.85%

35.32%

0.21

1,085,074.3

17.94%

SSE 50

26.84%

−8.7%

34.68%

−0.32

920,012.65