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

Table 17

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

	MLP	DBN	SAE	RNN	LSTM	GRU	CART	NB	RF	LR	SVM
DBN	1.0000
SAE	1.0000	1.0000
RNN	0.9996	0.9996	1.0000
LSTM	0.9309	0.9314	0.9781	0.9999
GRU	0.9660	0.9663	0.9916	1.0000	1.0000
CART	0.9744	0.9742	0.9225	0.5809	0.1509	0.2138
NB	0.1093	0.1088	0.0574	0.0075	0.0004	0.0007	0.8861
RF	0.0537	0.0534	0.0260	0.0028	0.0001	0.0002	0.7544	1.0000
LR	0.0330	0.0328	0.0152	0.0015	0.0001	0.0001	0.6498	1.0000	1.0000
SVM	0.3444	0.3434	0.2170	0.0434	0.0033	0.0059	0.9920	1.0000	0.9998	0.9991
XGB	0.0193	0.0192	0.0085	0.0007	0.0000	0.0000	0.5344	1.0000	1.0000	1.0000	0.9960