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

Table 12

Multiple comparison analysis between the ASR 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	0.9667
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	0.8763	0.7617	0.8998
LSTM	0.0000	0.0000	0.9922	0.9701	0.9949	1.0000
GRU	0.0000	0.0000	0.6124	0.4563	0.6537	1.0000	0.9996
CART	0.0000	0.0000	0.0002	0.0005	0.0002	0.0000	0.0000	0.0000
NB	0.0000	0.0000	0.0467	0.0233	0.0557	0.9529	0.7037	0.9971	0.0000
RF	0.0000	0.0000	0.0000	0.0000	0.0000	0.0291	0.0042	0.1062	0.0000	0.8010
LR	0.0000	0.0000	0.7506	0.6025	0.7859	1.0000	1.0000	1.0000	0.0000	0.9872	0.0602
SVM	0.0000	0.0000	0.1759	0.1020	0.2010	0.9982	0.9399	1.0000	0.0000	1.0000	0.4671	0.9998
XGB	0.0000	0.0000	0.0099	0.0044	0.0122	0.7548	0.3776	0.9470	0.0000	1.0000	0.9681	0.8791	0.9997