Table 2. Backtesting data for OW-XGBoost under different trading frequencies.

	Rate of return	Annualized return	Excess return	$\alpha$	$\beta$	Volatility	Sharpe ratio	Max drawdown
Monthly rebalancing	30.09%	61.05%	22.85%	0.547	0.339	0.183	3.113	5.9%
Weekly rebalancing	18.57%	36.15%	11.97%	0.302	0.287	0.146	2.202	6.13%
CSI 300 Index	5.89%	10.93%		−0.811	1.237	0.169	0.143	8.78%