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

Table 11

Multiple comparison analysis between the ARR of any two trading strategies. 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	0.0001	0.0006	0.0001
LSTM	0.0000	0.0000	0.0000	0.0002	0.0000	1.0000
GRU	0.0000	0.0000	0.0001	0.0008	0.0001	1.0000	1.0000
CART	0.0000	0.0000	1.0000	1.0000	1.0000	0.0001	0.0000	0.0001
NB	0.0000	0.0000	0.0021	0.0094	0.0022	1.0000	0.9998	1.0000	0.0018
RF	0.0000	0.0000	0.7978	0.9524	0.8036	0.1685	0.0874	0.1962	0.7745	0.5861
LR	0.0000	0.0000	0.0002	0.0012	0.0002	1.0000	1.0000	1.0000	0.0002	1.0000	0.2408
SVM	0.0000	0.0000	0.2375	0.4806	0.2427	0.7029	0.5214	0.7457	0.2178	0.9778	0.9999	0.8015
XGB	0.0000	0.0000	0.0674	0.1856	0.0694	0.9423	0.8466	0.9576	0.0600	0.9996	0.9905	0.9739	1.0000