The values in Table 8 were calculated incorrectly. Please see the corrected Table 8 here.
Table 8. Evaluations on trading strategies.
The returns have been annualized using 250 days as the number of trading days in a year.
| Company | Annualized Absolute Return (%) | Annualized Excess Return to Stock (%) | Annualized Excess Return to Index (%) | Sharpe Ratio | Maximum Drawdown (%) |
|---|---|---|---|---|---|
| Jinchuan | 184.97 | 90.40 | 165.95 | 1.51 | 24.79 |
| Sumitomo | 262.47 | 246.57 | 244.33 | 1.57 | 9.60 |
| Zijin | 71.10 | 69.88 | 48.65 | 1.99 | 10.68 |
In the Abstract, there is an error in the penultimate sentence of the first paragraph. The correct sentence is: We test dynABE on three cobalt-related companies, and it achieves the best-case misclassification error of 31.12% and an annualized absolute return of 262.47% with 9.60% maximum drawdown.
In the 5.6 Trading strategy performance subsection of the Results and analysis, there is an error in the last sentence of the third paragraph. The correct sentence is: We see that the trading strategy on Jinchuan has a maximum drawdown of 24.79%, Sumitomo 9.60%, and Zijin 10.68%.
In the Conclusion, there is an error in the first sentence of the first paragraph. The correct sentence is: By achieving a best-case misclassification error of 31.12% for Jinchuan Group and a best-case profit of 262.47% annualized absolute return for Sumitomo Metal Mining, dynABE demonstrates accurate stock predictions and high profitability.
Reference
- 1.Dong Z (2019) Dynamic Advisor-Based Ensemble (dynABE): Case study in stock trend prediction of critical metal companies. PLoS ONE 14(2): e0212487 10.1371/journal.pone.0212487 [DOI] [PMC free article] [PubMed] [Google Scholar]
