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

Table 18

Multiple comparison analysis between the F1 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	0.0000	0.0000	0.0000
LSTM	0.0000	0.0000	0.0000	0.0000
GRU	0.0000	0.0000	0.0000	0.0000	1.0000
CART	0.0000	0.0000	0.0000	0.0000	0.7211	0.6670
NB	0.0000	0.0000	0.0000	0.0136	0.0132	0.0099	0.8664
RF	0.0000	0.0000	0.0000	0.0786	0.0016	0.0011	0.5162	1.0000
LR	0.0000	0.0000	0.0000	0.0000	0.9440	0.9208	1.0000	0.5675	0.2181
SVM	0.0000	0.0000	0.0000	0.0178	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
XGB	0.0000	0.0000	0.0000	0.0001	0.3138	0.2679	1.0000	0.9937	0.8849	0.9964	0.0000