A study of the dynamic portfolio adjustment model based on the Markov decision process

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Experimental results of Markov-based investment strategies-experimental group 1

Name of Indicator	Result
Annualized Return	41.03%
Cumulative Return	120.34%
Annualized Volatility	24.73%
Sharpe Ratio	1.52
Karma Ratio	2.19
Maximum Retracement	-18.70%
Sortino Ratio	2.53

Estimates of market parameters

	P	Q	μ1w	μ2w	σ1w	σ2w
Estimated value	0.98	0.98	1.11	0.07	3.51	6.80
Standard deviation	0.06	0.17	0.31	0.66	0.02	0.07

Indicator names and significance of indicators

Name of Indicator	Indicator Meaning
Annualized Return	Portfolio direct return per year
Cumulative Return	Portfolio return at the end of the trading phase
Annualized Volatility	A measure of the uncertainty of the rate of return
Sharpe Ratio	A classic indicator of the combination of return and risk
Karma Ratio	Describes the relationship between return and maximum retracement
Maximum Retracement	Describes the portfolio's largest post-drop scenario
Sortino Ratio	Describes whether downside risk can lead to higher excess returns

Experimental results of Markov-based investment strategies - Experimental Group 2

Name of Indicator	Result
Annualized Return	46.81%
Cumulative Return	93.62%
Annualized Volatility	21.76%
Sharpe Ratio	2.20
Karma Ratio	3.27
Maximum Retracement	-18.00%
Sortino Ratio	3.35