Window size

Data Characteristics

AC

K-AC

FK-AC

w = 10

SET50

Basic

0.9453

1.0155

1.2134

SIM

0.9509

1.5830

1.7439

Random 10 stocks

Basic

1.2247

1.1291

1.1699

SIM

1.4018

1.5079

1.4719

Random 2 stocks

from 7 industry

Basic

1.2553

1.1553

1.2121

SIM

1.5275

1.5024

1.4220

w = 20

SET50

Basic

1.1739

1.1307

1.1245

SIM

1.1490

1.3428

1.5330

Random 10 stocks

Basic

1.1189

1.1594

1.1296

SIM

1.3652

1.4602

1.4847

Random 2 stocks

from 7 industry

Basic

1.2607

1.2937

1.2954

SIM

1.5700

1.6091

1.6424

w = 30

SET50

Basic

1.1461

1.0819

1.0907

SIM

1.5626

1.4877

1.6538

Random 10 stocks

Basic

1.1267

1.1438

1.1435

SIM

1.4958

1.5165

1.5866

Random 2 stocks

from 7 industry

Basic

1.2084

1.1841

1.2345

SIM

1.4851

1.4835

1.5556