High-frequency trading momentum strategy prediction on HFT price-spike data (backtest)
17.44Cumulative ReturnModel 2
Evaluation results
| Method | Links | |||||||
|---|---|---|---|---|---|---|---|---|
| Model 2Optimization=PSA2025.12 | 17.44 | 19.72 | 2.69 | 53.49 | 1.22 | 1.06 | 9,180,000 | |
| Model 1Optimization=SA2025.12 | 15.49 | 10.7 | 5.85 | 52.63 | 1.15 | 1 | 8,150,000 | |
| Model 1Optimization=PSA2025.12 | 15.48 | 16.48 | 2.52 | 52.6 | 1.21 | 1.09 | 8,150,000 | |
| Model 2Optimization=SA2025.12 | 13.63 | 16.72 | 2.25 | 52.89 | 1.16 | 1.03 | 7,170,000 | |
| Naive2025.12 | 13.49 | 16.32 | 1.76 | 52.42 | 1.18 | 1.07 | 7,100,000 | |
| Random2025.12 | 12.71 | 17.99 | 2.77 | 52.28 | 1.17 | 1.07 | 6,690,000 | |
| Model 3Training=Supervised2025.12 | 12.44 | 15.91 | 2.95 | 52.79 | 1.13 | 1.01 | 6,550,000 |