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‎docs/assets/tab_forecasting.tex‎

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\begin{table}[htbp]
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\caption{Comparison of models for time series forecasting.}
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\label{tab:forecasting}
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\centering
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\footnotesize
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\setlength{\tabcolsep}{2pt}
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\renewcommand{\arraystretch}{0.8}
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\resizebox{0.98\linewidth}{!}{
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\begin{tabular}{lcccccccccccccccc}
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\toprule
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\multirow{3}{*}{\parbox{1.2cm}{\centering\textbf{Model}}} &
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\multicolumn{4}{c}{DJ30} &
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\multicolumn{4}{c}{SP500} \\
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\cmidrule(lr){2-5} \cmidrule(lr){6-9}
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& MAE~$\downarrow$ & MSE~$\downarrow$ & RankIC~$\uparrow$ & RankICIR~$\uparrow$
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& MAE~$\downarrow$ & MSE~$\downarrow$ & RankIC~$\uparrow$ & RankICIR~$\uparrow$ \\
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% \cmidrule(r){1-1} \cmidrule(lr){2-5} \cmidrule(lr){6-9}
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\midrule
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\rowcolor{gray!15}
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\multicolumn{9}{c}{\textit{\textbf{ML-based}}} \\
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LightGBM & 0.1392 & 0.0235 & 0.0157 & 0.2017 & 0.6741 & 0.0788 & 0.0216 & 0.2242 \\
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XGBoost & 0.1476 & 0.0251 & 0.0138 & 0.1684 & 0.7025 & 0.0814 & 0.0199 & 0.1925 \\
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\rowcolor{gray!15}
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\multicolumn{9}{c}{\textit{\textbf{DL-based}}} \\
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Autoformer & 0.1044 & 0.0182 & 0.0193 & 0.3265 & 0.4568 & 0.0671 & 0.0312 & \underline{0.3379} \\
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Crossformer & 0.1624 & 0.0173 & 0.0150 & 0.3561 & 0.6448 & 0.0774 & 0.0219 & 0.2984 \\
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ETSformer & 0.0640 & 0.0115 & 0.0209 & 0.2411 & 0.2560 & 0.0448 & 0.0295 & 0.3125 \\
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DLinear & 0.0867 & 0.0122 & 0.0144 & 0.2247 & 0.3537 & 0.0416 & 0.0177 & 0.2783 \\
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TimesNet & 0.1242 & 0.0142 & 0.0211 & 0.2642 & 0.4013 & 0.0660 & \underline{0.0483} & 0.3512 \\
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PatchTST & 0.0830 & 0.0112 & 0.0140 & 0.2134 & 0.3682 & 0.0498 & 0.0157 & 0.1922 \\
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TimeMixer & 0.0620 & 0.0081 & 0.0294 & 0.4741 & 0.2278 & 0.0279 & 0.0349 & 0.1193 \\
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TimeXer & \underline{0.0529} & \underline{0.0062} & \underline{0.0302} & \underline{0.4889} & \underline{0.1871} & \underline{0.0240} & 0.0425 & 0.3255 \\
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\bottomrule
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\toprule
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% 第二组
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\multirow{3}{*}{\parbox{1.2cm}{\centering\textbf{Model}}} &
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\multicolumn{4}{c}{SSE50} &
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\multicolumn{4}{c}{HS300} \\
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\cmidrule(lr){2-5} \cmidrule(lr){6-9}
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& MAE~$\downarrow$ & MSE~$\downarrow$ & RankIC~$\uparrow$ & RankICIR~$\uparrow$
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& MAE~$\downarrow$ & MSE~$\downarrow$ & RankIC~$\uparrow$ & RankICIR~$\uparrow$ \\
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% \cmidrule(r){1-1} \cmidrule(lr){2-5} \cmidrule(lr){6-9}
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\midrule
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\rowcolor{gray!15}
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\multicolumn{9}{c}{\textit{\textbf{ML-based}}} \\
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LightGBM & 0.1540 & 0.0267 & 0.0211 & 0.1688 & 0.7836 & 0.1097 & 0.0219 & 0.1961 \\
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XGBoost & 0.1632 & 0.0293 & 0.0184 & 0.1497 & 0.8140 & 0.1123 & 0.0193 & 0.1724 \\
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\rowcolor{gray!15}
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\multicolumn{9}{c}{\textit{\textbf{DL-based}}} \\
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Autoformer & 0.1163 & 0.0212 & 0.0336 & 0.1848 & 0.5696 & 0.1213 & \underline{0.0364} & \underline{0.2493} \\
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Crossformer & 0.1756 & 0.0197 & 0.0225 & 0.1318 & 0.9829 & 0.1082 & 0.0187 & 0.1525 \\
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ETSformer & 0.0737 & 0.0125 & \underline{0.0452} & 0.2107 & 0.4413 & 0.0546 & 0.0332 & 0.2406 \\
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DLinear & 0.0932 & 0.0154 & 0.0343 & 0.1722 & 0.4315 & 0.0717 & 0.0285 & 0.2078 \\
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TimesNet & 0.1329 & 0.0168 & 0.0251 & 0.1465 & 0.7118 & 0.0997 & 0.0241 & 0.1894 \\
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PatchTST & 0.0907 & 0.0135 & 0.0377 & 0.1934 & \underline{0.3253} & 0.0595 & 0.0276 & 0.1971 \\
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TimeMixer & 0.0724 & 0.0119 & 0.0402 & 0.2086 & 0.3804 & 0.0442 & 0.0348 & 0.2417 \\
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TimeXer & \underline{0.0625} & \underline{0.0093} & 0.0425 & \underline{0.2173} & 0.3727 & \underline{0.0529} & 0.0352 & 0.2478 \\
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\bottomrule
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\end{tabular}
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}
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\end{table}

‎docs/assets/tab_trading.tex‎

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\begin{table}[htb]
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\caption{Comparison of models for algorithmic trading.}
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\vspace{-1em}
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\label{tab:trading}
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\centering
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\footnotesize
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\setlength{\tabcolsep}{1pt}
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\renewcommand{\arraystretch}{0.85}
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\resizebox{0.97\linewidth}{!}{
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\begin{tabular}{lcccccccccccc}
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\toprule
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\multirow{2}{*}{\parbox{1.2cm}{\centering\textbf{Model}}}
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& \multicolumn{6}{c}{AAPL}
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& \multicolumn{6}{c}{AMZN} \\
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\cmidrule(lr){2-7} \cmidrule(lr){8-13}
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& ARR~$\uparrow$ & SR~$\uparrow$ & MDD~$\downarrow$ & CR~$\uparrow$ & SoR~$\uparrow$ & VOL~$\downarrow$
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& ARR~$\uparrow$ & SR~$\uparrow$ & MDD~$\downarrow$ & CR~$\uparrow$ & SoR~$\uparrow$ & VOL~$\downarrow$ \\
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% \cmidrule(r){1-1}\cmidrule(lr){2-2}\cmidrule(lr){3-3}\cmidrule(lr){4-4}\cmidrule(lr){5-5}\cmidrule(lr){6-6}\cmidrule(lr){7-7}\cmidrule(lr){8-8}\cmidrule(lr){9-9}\cmidrule(lr){10-10}\cmidrule(lr){11-11}\cmidrule(lr){12-12}\cmidrule(lr){13-13}
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\midrule
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\rowcolor{gray!15}
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\multicolumn{13}{c}{\textit{\textbf{Rule-based}}} \\
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BUY\&HOLD & 13.0620 & 0.6654 & 17.6828 & 0.7387 & 0.9606 & 0.2210 & 43.9823 & 1.4190 & 19.6246 & 2.2412 & 2.1558 & 0.2854 \\
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MACD & 9.7042 & 0.6964 & \underline{11.5621} & 0.8393 & 1.0251 & 0.1487 & -1.4856 & 0.0028 & \underline{19.4850} & -0.0762 & 0.0041 & 0.1761 \\
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\rowcolor{gray!15}
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\multicolumn{13}{c}{\textit{\textbf{ML-based}}} \\
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LightGBM & 7.4450 & 0.5112 & 16.7097 & 0.4456 & 0.7363 & 0.1679 & -2.6266 & -0.1886 & 38.1339 & -0.0689 & -0.2575 & \underline{0.1093} \\
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XGBoost & 15.7943 & 1.0359 & 17.6320 & 2.0695 & \underline{2.0720} & \underline{0.1185} & 20.8648 & 0.7175 & 26.5675 & 0.3134 & 0.8854 & 0.3823 \\
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\rowcolor{gray!15}
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\multicolumn{13}{c}{\textit{\textbf{DL-based}}} \\
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Transformer & 23.3469 & 0.8788 & 18.7073 & 1.2480 & 1.6204 & 0.2809 & 5.8822 & 0.3716 & 25.5574 & 0.0884 & 0.4436 & 0.3520 \\
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LSTM & 11.2387 & 0.5262 & 35.9190 & 0.2448 & 0.9589 & 0.2647 & 15.5243 & 0.8552 & 40.3636 & 0.3846 & 1.2941 & 0.1897 \\
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DLinear & 9.5539 & 0.4686 & 34.7311 & 0.2136 & 0.8594 & 0.2644 & 9.9999 & 0.7221 & 30.5673 & 0.3272 & 1.1297 & 0.1468 \\
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\rowcolor{gray!15}
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\multicolumn{13}{c}{\textit{\textbf{RL-based}}} \\
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PPO & \underline{31.5838} & \underline{1.0483} & 18.7102 & \underline{1.6222} & 1.9040 & 0.2956 & 37.3429 & 1.2514 & 22.2379 & \underline{1.6793} & 1.7909 & 0.2864 \\
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SAC & 28.2963 & 0.8758 & 37.7384 & 0.6467 & 1.5797 & 0.2970 & \underline{44.4502} & \underline{1.6389} & 23.4218 & 1.4709 & \underline{2.6872} & 0.1918 \\
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\bottomrule
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\toprule
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% 第二组
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\multirow{2}{*}{\parbox{1.2cm}{\centering\textbf{Model}}}
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& \multicolumn{6}{c}{GOOGL}
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& \multicolumn{6}{c}{META} \\
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\cmidrule(lr){2-7} \cmidrule(lr){8-13}
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& ARR~$\uparrow$ & SR~$\uparrow$ & MDD~$\downarrow$ & CR~$\uparrow$ & SoR~$\uparrow$ & VOL~$\downarrow$
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& ARR~$\uparrow$ & SR~$\uparrow$ & MDD~$\downarrow$ & CR~$\uparrow$ & SoR~$\uparrow$ & VOL~$\downarrow$ \\
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% \cmidrule(r){1-1}\cmidrule(lr){2-2}\cmidrule(lr){3-3}\cmidrule(lr){4-4}\cmidrule(lr){5-5}\cmidrule(lr){6-6}\cmidrule(lr){7-7}\cmidrule(lr){8-8}\cmidrule(lr){9-9}\cmidrule(lr){10-10}\cmidrule(lr){11-11}\cmidrule(lr){12-12}\cmidrule(lr){13-13}
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\midrule
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\rowcolor{gray!15}
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\multicolumn{13}{c}{\textit{\textbf{Rule-based}}} \\
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BUY\&HOLD & 28.1837 & 1.0236 & 22.2309 & 1.1678 & 1.4589 & 0.2811 & 67.2719 & 1.7264 & 18.8226 & 1.5740 & 2.8285 & 0.3286 \\
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MACD & 10.0432 & 0.6068 & \underline{12.6638} & 0.7931 & 0.8620 & 0.1862 & 40.3374 & 1.5468 & \underline{12.7635} & 1.1604 & 2.0533 & 0.2362 \\
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\rowcolor{gray!15}
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\multicolumn{13}{c}{\textit{\textbf{ML-based}}} \\
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LightGBM & 16.4245 & 1.0908 & 21.0885 & 0.7788 & 1.6732 & 0.1468 & 39.6612 & 1.1212 & 23.4416 & 0.7655 & 1.5979 & 0.3676 \\
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XGBoost & 7.5362 & 0.6783 & 20.6611 & 0.3648 & 1.2239 & \underline{0.1171} & 32.0035 & 1.6461 & 24.2472 & 1.3199 & 2.8858 & \underline{0.1778} \\
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\rowcolor{gray!15}
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\multicolumn{13}{c}{\textit{\textbf{DL-based}}} \\
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Transformer & 10.3923 & 0.6683 & 36.7980 & 0.2824 & 0.9652 & 0.1468 & 48.2834 & 1.6819 & 29.0003 & \underline{1.6649} & \underline{2.9686} & 0.2528 \\
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LSTM & 18.7416 & 0.8849 & 36.8169 & 0.5091 & 1.2871 & 0.2221 & 44.6391 & 1.1864 & 30.0527 & 0.8918 & 1.7019 & 0.3702 \\
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DLinear & 21.4708 & 1.0461 & 36.8203 & 0.5831 & 1.5575 & 0.2063 & 35.3426 & 1.445 & 34.0928 & 1.0366 & 2.6560 & 0.2267 \\
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\rowcolor{gray!15}
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\multicolumn{13}{c}{\textit{\textbf{RL-based}}} \\
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PPO & 20.5532 & 1.0145 & 16.7733 & 1.2254 & 1.5855 & 0.2048 & \underline{72.0104} & \underline{2.1031} & 18.6421 & 1.5360 & 1.4293 & 0.2591 \\
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SAC & \underline{30.6081} & \underline{1.2203} & 35.4036 & \underline{1.7233} & \underline{1.8833} & 0.2038 & 56.8891 & 1.5085 & 34.6565 & 1.6415 & 2.4020 & 0.3355 \\
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\bottomrule
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\toprule
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% 第三组
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\multirow{2}{*}{\parbox{1.2cm}{\centering\textbf{Model}}}
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& \multicolumn{6}{c}{MSFT}
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& \multicolumn{6}{c}{TSLA} \\
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\cmidrule(lr){2-7} \cmidrule(lr){8-13}
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& ARR~$\uparrow$ & SR~$\uparrow$ & MDD~$\downarrow$ & CR~$\uparrow$ & SoR~$\uparrow$ & VOL~$\downarrow$
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& ARR~$\uparrow$ & SR~$\uparrow$ & MDD~$\downarrow$ & CR~$\uparrow$ & SoR~$\uparrow$ & VOL~$\downarrow$ \\
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% \cmidrule(r){1-1}\cmidrule(lr){2-2}\cmidrule(lr){3-3}\cmidrule(lr){4-4}\cmidrule(lr){5-5}\cmidrule(lr){6-6}\cmidrule(lr){7-7}\cmidrule(lr){8-8}\cmidrule(lr){9-9}\cmidrule(lr){10-10}\cmidrule(lr){11-11}\cmidrule(lr){12-12}\cmidrule(lr){13-13}
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\midrule
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\rowcolor{gray!15}
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\multicolumn{13}{c}{\textit{\textbf{Rule-based}}} \\
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BUY\&HOLD & 13.3812 & 0.6991 & 18.6840 & 0.7162 & 0.9635 & 0.2116 & 30.8051 & 0.7469 & 53.6797 & 0.5739 & 1.1537 & 0.5892 \\
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MACD & 6.4616 & 0.4703 & \underline{13.7325} & 0.4705 & 0.6337 & \underline{0.1606} & 68.8393 & 1.5085 & \underline{21.7414} & \underline{2.1663} & 2.5809 & 0.3989 \\
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\rowcolor{gray!15}
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\multicolumn{13}{c}{\textit{\textbf{ML-based}}} \\
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LightGBM & 20.7821 & 0.9031 & 37.8864 & 0.5485 & 1.4983 & 0.2400 & 49.2144 & 1.3086 & 56.0589 & 0.8779 & 2.2514 & \underline{0.3529} \\
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XGBoost & 14.4887 & 0.6633 & 49.8944 & 0.2904 & 1.0676 & 0.2497 & 39.7010 & 0.9788 & 58.5673 & 0.5053 & 1.5409 & 0.4401 \\
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\rowcolor{gray!15}
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\multicolumn{13}{c}{\textit{\textbf{DL-based}}} \\
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Transformer & 23.2662 & 1.0207 & 32.8318 & 0.6037 & 1.4478 & 0.2180 & 73.1291 & 1.2581 & 48.5669 & 0.9308 & 1.8457 & 0.5683 \\
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LSTM & 16.5063 & 0.6185 & 31.8587 & 0.3910 & 1.0206 & 0.2162 & 44.7985 & 1.0768 & 53.6992 & 1.0904 & 1.5650 & 0.6473 \\
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DLinear & 9.4778 & 0.5599 & 31.7271 & 0.2987 & 0.7792 & 0.1962 & 41.1897 & 1.0612 & 62.3380 & 0.6608 & 1.7030 & 0.3998 \\
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\rowcolor{gray!15}
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\multicolumn{13}{c}{\textit{\textbf{RL-based}}} \\
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PPO & \underline{29.5326} & \underline{1.1044} & 18.6900 & \underline{1.5801} & \underline{1.7624} & 0.2654 & 58.5511 & 1.0402 & 48.5536 & 0.5703 & 1.6841 & 0.4298 \\
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SAC & 22.2784 & 0.9515 & 27.7286 & 0.8035 & 1.5859 & 0.2405 & \underline{70.548} & \underline{1.6474} & 57.4088 & 1.5065 & \underline{2.7099} & 0.5016 \\
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\bottomrule
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\end{tabular}
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}
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\vspace{-2em}
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\end{table}

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