# Stock Portfolio Management in the Presence of Downtends Using Computational Intelligence
## 5 Experiments
### Results
However, if he/she continues until April 2021, the investment would have become USD 1952 (i.e., +95.28%). In this sense, it is clear that the proposed approach outperformed the benchmarks by creating a portfolio that includes long and short positions. This result shows the potential of our proposal, which could be improved in future approaches by including stocks from other indexes, more technical/fundamental variables, etc. \begin{table}
\begin{tabular}{c c c c c c} \hline \hline  & **S\&F500** & **Yang** & **Solares** & **Without** & **With** \\  & **Index** & **et al. (2019)** & **et al. (2019)** & **Negative Trends** & **Negative Trends** \\ \hline Nov. 2018 & 1.75\% & 1.01\% & 1.87\% & \(-5.11\%\) & \(-4.87\%\) \\ Dec. 2018 & \(-10.11\%\) & \(-9.18\%\) & \(-8.81\%\) & \(-9.56\%\) & \(-9.14\%\) \\ Jan. 2019 & 7.29\% & 10.88\% & 6.71\% & 6.77\% & 9.00\% \\ Feb. 2019 & 2.89\% & 7.47\% & 4.19\% & 7.00\% & 6.52\% \\ Mar. 2019 & 1.76\% & 0.20\% & 2.17\% & 0.89\% & 0.81\% \\ Apr. 2019 & 3.78\% & 4.29\% & 4.65\% & 3.88\% & 4.06\% \\ May. 2019 & \(-7.04\%\) & \(-7.22\%\) & \(-5.65\%\) & \(-7.66\%\) & \(-5.77\%\) \\ Jun. 2019 & 6.45\% & 8.45\% & 7.53\% & 8.06\% & 9.33\% \\ Jul. 2019 & 1.30\% & 0.25\% & 0.92\% & 2.66\% & 2.64\% \\ Aug. 2019 & \(-1.84\%\) & \(-1.08\%\) & \(-1.78\%\) & \(-0.03\%\) & \(-3.19\%\) \\ Sep. 2019 & 1.69\% & \(-1.63\%\) & 0.83\% & \(-6.20\%\) & \(-4.96\%\) \\ Oct. 2019 & 2.00\% & 3.12\% & 1.67\% & 5.85\% & 5.09\% \\ Nov. 2019 & 3.29\% & 2.58\% & 4.00\% & 4.17\% & 5.43\% \\ Dec. 2019 & 2.78\% & 1.13\% & 2.39\% & 0.13\% & 0.36\% \\ Jan. 2020 & \(-0.16\%\) & 0.81\% & 1.67\% & 2.13\% & 1.29\% \\ Feb. 2020 & \(-9.18\%\) & \(-9.09\%\) & \(-9.28\%\) & \(-7.22\%\) & \(-4.96\%\) \\ Mar. 2020 & \(-14.30\%\) & \(-10.27\%\) & \(-14.03\%\) & \(-6.59\%\) & \(-4.94\%\) \\ Apr. 2020 & 11.26\% & 14.33\% & 12.53\% & 19.64\% & 20.02\% \\ May. 2020 & 4.33\% & 7.09\% & 7.02\% & 11.54\% & 11.11\% \\ Jun. 2020 & 1.81\% & \(-0.29\%\) & 0.15\% & 1.95\% & 2.88\% \\ Jul. 2020 & 5.22\% & 4.18\% & 5.87\% & 5.28\% & 10.65\% \\ Aug. 2020 & 6.55\% & 4.68\% & 3.90\% & 4.18\% & 5.94\% \\ Sep. 2020 & \(-4.08\%\) & \(-3.95\%\) & \(-1.10\%\) & \(-3.20\%\) & \(-3.04\%\) \\ Oct. 2020 & \(-2.85\%\) & \(-4.74\%\) & \(-2.05\%\) & \(-5.88\%\) & \(-2.31\%\) \\ Nov. 2020 & 9.71\% & 11.50\% & 11.91\% & 8.28\% & 4.97\% \\ Dec. 2020 & 3.58\% & 2.95\% & 5.39\% & 3.33\% & 4.37\% \\ Jan. 2021 & \(-1.13\%\) & \(-2.23\%\) & \(-0.53\%\) & \(-3.06\%\) & \(-3.76\%\) \\ Feb. 2021 & 2.54\% & 3.43\% & 8.35\% & 1.51\% & 5.23\% \\ Mar. 2021 & 4.07\% & 7.22\% & 3.23\% & 0.88\% & 3.75\% \\ Apr. 2021 & 4.98\% & 6.05\% & 5.09\% & 6.00\% & 6.84\% \\
**Average** & **1.28\%** & **1.73\%** & **1.96\%** & **1.65\%** & **2.45\%** \\
**Std desv.** & **5.61\%** & **6.06\%** & **5.76\%** & **6.35\%** & **6.27\%** \\ \hline \hline \end{tabular}
\end{table} 
Table 1: Returns produced per period. In the case of the algorithms, the return is averaged in twenty runs. According to Figure 2 and Table 1, the worst return obtained by our approach was in Dec 2018. This is also shown in Figure 4, where the detriment is caused by the higher negative return produced in this period. In that moment, the system decided to open long positions and allocate high proportions of investments to some stocks with bad actual returns. This was due to the good historical performance of such actions that indicated a good statistical behavior. Several external issues affect the performance of a stock in the market, such as the case of Nvidia corporation as reported in the news [89]. Thus, a way of improving the proposed system in the future is by considering criteria coming from the so-called sentiment analysis [90] that takes into consideration such factors. On the other hand, as a way of measuring the performance of our proposal and comparing the results with some benchmarks, the Sharpe ratio \(r_{sharpe}\) and Sortino ratio \(r_{sortimo}\) are used.