Model

Max Drawdown

Return

Volatility

SP Ratio

Average Value

Incresed with SSE50

ARIMA-XGBoost

15.42%

26.32%

94.97%

0.25

1132032.84

23.67%

LSTM-XGBoost

16.21%

22.17%

85.39%

0.23

1086227.95

18.67%

Informer-XGBoost

17.71%

26.7%

96.75%

0.25

1155771.46

26.27%

iTransformer-XGBoost

16.09%

31.71%

101.32%

0.29

1203448.03

31.48%

ARIMA

13.58%

15.73%

84.11%

0.16

1131376.3

23.60%

LSTM

17.3%

14.65%

91.85%

0.13

1068018.23

16.68%

Informer

16.54%

11.44%

81.22%

0.11

1033493.04

12.91%

iTransformer

11.25%

16.3%

74.83%

0.18

1097613.4

19.91%

XGBoost

18.12%

8.08%

84.23%

0.07

1047361.14

14.42%

SSE 50

26.84%

−8.7%

86.42%

−0.13

915338.79