An Empirical Study of Machine Learning Algorithms for Stock Daily Trading Strategy

Table 10

Multiple comparison analysis between the WR of any two trading algorithms. The p value of the two trading strategies with significant difference is in boldface.

	Index	BAH	MLP	DBN	SAE	RNN	LSTM	GRU	CART	NB	RF	LR	SVM
BAH	0.0000
MLP	0.0000	0.0000
DBN	0.0000	0.0000	1.0000
SAE	0.0000	0.0000	1.0000	1.0000
RNN	0.0000	0.0000	0.0000	0.0000	0.0000
LSTM	0.0000	0.0000	0.0000	0.0000	0.0000	0.9974
GRU	0.0011	0.0000	0.0001	0.0000	0.0000	1.0000	0.9961
CART	0.0000	0.9998	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
NB	0.0000	0.0000	0.0000	0.0000	0.0000	0.0031	0.0000	0.0038	0.0000
RF	0.0000	0.0000	0.0000	0.0000	0.0000	0.0118	0.0001	0.0140	0.0000	1.0000
LR	0.0000	0.0000	0.0000	0.0000	0.0000	1.0000	0.8508	1.0000	0.0000	0.0432	0.1177
SVM	0.0000	0.0000	0.0000	0.0000	0.0000	1.0000	1.0000	1.0000	0.0000	0.0001	0.0006	0.9780
XGB	0.0000	0.0000	0.0000	0.0000	0.0000	0.2660	0.0084	0.2927	0.0000	0.9831	0.9989	0.7627	0.0376