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

Table 21

Multiple comparison analysis between the ARR 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	0.0007
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	0.4790	0.6355	0.7182
LSTM	0.0000	0.0000	0.2512	0.3806	0.4630	1.0000
GRU	0.0000	0.0000	0.2235	0.3454	0.4249	1.0000	1.0000
CART	0.0000	0.0000	0.8301	0.9217	0.9542	1.0000	0.9999	0.9998
NB	0.0000	0.0000	1.0000	1.0000	1.0000	0.2920	0.1295	0.1125	0.6517
RF	0.0000	0.0000	0.0020	0.0048	0.0076	0.8705	0.9735	0.9806	0.5393	0.0006
LR	0.0000	0.0000	0.2058	0.3222	0.3995	1.0000	1.0000	1.0000	0.9996	0.1019	0.9845
SVM	0.0000	0.0000	1.0000	0.0803	0.1114	0.9993	1.0000	1.0000	0.9659	0.0165	0.9999	1.0000
XGB	0.0000	0.0000	1.0000	0.0333	0.0484	0.9916	0.9997	0.9998	0.8789	0.0057	1.0000	0.9999	1.0000