Algorithm

Monthly Return (%)

Alpha

Sharpe Ratio

Win Rate (%)

OLS

2.35

0.0371

0.2920

60.92

PLS

2.82

0.0396

0.2994

66.09

Ridge

2.43

0.0374

0.2938

60.92

Bayesian Ridge

2.38

0.0399

0.3051

61.49

Lasso

2.50

0.0397

0.3100

62.64

LassoLars

2.50

0.0395

0.3087

62.64

ElasticNet

2.61

0.0391

0.3067

62.64

LSVR

3.24

0.0394

0.3080

62.64

SVR

2.35

0.0415

0.2585

60.34

DT

3.04

0.0426

0.2811

59.77

GBDT

2.53

0.0425

0.3153

63.79

RF

2.06

0.0396

0.2824

60.92

AdaBoost

3.09

0.0436

0.3150

62.64

ET

2.57

0.0511

0.3132

62.64

XGBoost

2.65

0.0402

0.2816

61.49

LGBM

3.13

0.0454

0.3397

64.94