From: Research on a stock-matching trading strategy based on bi-objective optimization
λ | Serial No. | Stock A | Stock weight | Serial No. | Stock B | Stock weight |
---|---|---|---|---|---|---|
0 | 1 | 600,795 | 0.5028 | 6 | 600,016 | 0.0136 |
2 | 601,398 | 0.1417 | 7 | 601,766 | −0.0224 | |
3 | 601,328 | 0.1249 | 8 | 600,028 | −0.0504 | |
4 | 601,390 | 0.031 | 9 | 601,669 | −0.0523 | |
5 | 601,166 | 0.0241 | 10 | 601,988 | −0.8392 | |
0.1 | 1 | 600,050 | 0.7513 | 6 | 601,336 | −0.0657 |
2 | 600,999 | 0.4585 | 7 | 600,150 | −0.1127 | |
3 | 600,036 | 0.1822 | 8 | 601,688 | −0.1165 | |
4 | 600,887 | 0.1213 | 9 | 600,104 | −0.201 | |
5 | 601,318 | −0.0251 | 10 | 601,800 | −0.3252 | |
0.2 | 1 | 601,888 | 0.3566 | 6 | 600,519 | 0.019 |
2 | 600,606 | 0.2937 | 7 | 600,547 | −0.0345 | |
3 | 601,601 | 0.0848 | 8 | 600,340 | −0.1763 | |
4 | 601,336 | 0.0747 | 9 | 601,211 | −0.4097 | |
5 | 601,688 | 0.0299 | 10 | 600,703 | −0.7566 | |
0.3 | 1 | 601,628 | 0.2169 | 6 | 600,109 | 0.0275 |
2 | 600,893 | 0.1016 | 7 | 600,050 | −0.009 | |
3 | 601,688 | 0.0875 | 8 | 600,150 | −0.0099 | |
4 | 601,186 | 0.0665 | 9 | 600,999 | −0.2757 | |
5 | 600,887 | 0.0381 | 10 | 601,857 | −0.9232 | |
0.4 | 1 | 600,050 | 0.8067 | 6 | 600,887 | −0.0156 |
2 | 601,186 | 0.249 | 7 | 601,601 | −0.0225 | |
3 | 600,999 | 0.2128 | 8 | 601,628 | −0.1203 | |
4 | 600,893 | 0.0647 | 9 | 600,150 | −0.1544 | |
5 | 601,688 | 0.0181 | 10 | 601,800 | −0.4454 | |
0.5 | 1 | 600,050 | 0.7972 | 6 | 600,109 | −0.0174 |
2 | 601,186 | 0.2569 | 7 | 601,601 | −0.0246 | |
3 | 600,999 | 0.2342 | 8 | 601,628 | −0.1251 | |
4 | 600,893 | 0.0651 | 9 | 600,150 | −0.1548 | |
5 | 601,688 | 0.0044 | 10 | 601,800 | −0.4459 | |
0.6 | 1 | 600,050 | 0.7886 | 6 | 601,601 | 0.0168 |
2 | 601,186 | 0.2794 | 7 | 601,601 | −0.1138 | |
3 | 600,999 | 0.1789 | 8 | 601,628 | −0.1197 | |
4 | 601,688 | 0.0691 | 9 | 600,150 | −0.1589 | |
5 | 600,893 | 0.065 | 10 | 601,800 | −0.4542 | |
0.7 | 1 | 601,800 | 0.2475 | 6 | 601,601 | 0.0522 |
2 | 601,688 | 0.1843 | 7 | 600,893 | −0.0448 | |
3 | 600,150 | 0.1535 | 8 | 600,111 | −0.1994 | |
4 | 601,601 | 0.1162 | 9 | 600,999 | −0.3851 | |
5 | 601,186 | 0.07 | 10 | 600,050 | −0.8185 |