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

Table 13

Multiple comparison analysis between the MDD 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	0.0052
DBN	0.0000	0.0031	1.0000
SAE	0.0000	0.0012	1.0000	1.0000
RNN	0.0000	0.0000	0.1645	0.2243	0.3556
LSTM	0.0000	0.0000	0.6236	0.7173	0.8511	1.0000
GRU	0.0000	0.0000	0.0245	0.0381	0.0760	1.0000	0.9860
CART	0.0000	0.0000	0.1496	0.2057	0.3309	1.0000	1.0000	1.0000
NB	0.0000	0.0000	0.0786	0.1136	0.1999	1.0000	0.9994	1.0000	1.0000
RF	0.0000	0.0000	0.0002	0.0004	0.0012	0.8964	0.4248	0.9980	0.9109	0.9713
LR	0.0000	0.0000	0.5451	0.6428	0.7935	1.0000	1.0000	0.9933	1.0000	0.9998	0.5015
SVM	0.0000	0.0000	0.2433	0.3194	0.4734	1.0000	1.0000	0.9999	1.0000	1.0000	0.8155	1.0000
XGB	0.0000	0.0000	0.0103	0.0167	0.0360	0.9998	0.9462	1.0000	0.9999	1.0000	0.9998	0.9685	0.9989