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

Table 19

Multiple comparison analysis between the AUC 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	0.9999	1.0000
RNN	0.9945	0.9985	1.0000
LSTM	0.5273	0.6382	0.9259	0.9937
GRU	0.8448	0.9102	0.9958	1.0000	1.0000
CART	0.6921	0.5835	0.2356	0.0801	0.0014	0.0096
NB	0.0002	0.0001	0.0000	0.0000	0.0000	0.0000	0.2616
RF	0.0001	0.0001	0.0000	0.0000	0.0000	0.0000	0.2002	1.0000
LR	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0930	1.0000	1.0000
SVM	0.0027	0.0014	0.0001	0.0000	0.0000	0.0000	0.6454	1.0000	0.9999	0.9980
XGB	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.1257	1.0000	1.0000	1.0000	0.9993