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Table 5 Out-of-sample backtesting of Strategy 3, RMM-Spooner and AS model on ETFs

From: Predictive Market Making via Machine Learning

Symbol	Strategy 3 ($)	RMM-Spooner ($)	AS model ($)	Market spread ($)	RMSE (CNN)
SPY	25.8445	20.7483	-4.5587	0.0193	0.2786
DIA	62.1945	40.4736	-4.4901	0.0765	0.0513
XLF	4.1764	-0.4012	-3.5596	0.0137	0.0202
Mean ($ per 30 units):	30.7384	20.2735	-4.2028

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