A set of profit-based loss functions lets time-series networks output daily long/short portfolio weights directly, and the best configuration reports 48 to 53 percent backtested annual returns on 50 S&P 500 stocks over 2021 to 2023.
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Directly Learning Stock Trading Strategies Through Profit Guided Loss Functions
A set of profit-based loss functions lets time-series networks output daily long/short portfolio weights directly, and the best configuration reports 48 to 53 percent backtested annual returns on 50 S&P 500 stocks over 2021 to 2023.