Table 6.

Comparison of predictive ability of three machine learning methods.

Data	Model	F1	Accuracy	Recall rate	AUROC
All samples (n = 600)	Logistic return	0.949	0.873	0.753	0.969
	XGB	0.962	0.879	0.759	0.964
	ANN	0.951	0.841	0.781	0.954
Training sample (n = 450)	Logistic return	0.952	0.958	0.958	0.814
	XGB	0.966	0.968	0.965	0.906
	ANN	0.961	0.959	0.969	0.889
Test sample (n = 150)	Logistic return	0.951	0.950	0.943	0.828
	XGB	0.953	0.954	0.965	0.881
	ANN	0.951	0.957	0.955	0.885