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

Table 22

Multiple comparison analysis between the ASR 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	0.8877
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	0.9099	0.8862	0.8114
LSTM	0.0000	0.0000	0.3460	0.3080	0.2239	0.9999
GRU	0.0000	0.0000	0.2132	0.1853	0.1270	0.9981	1.0000
CART	0.0000	0.0000	0.0158	0.0195	0.0327	0.0000	0.0000	0.0000
NB	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.7298
RF	0.0000	0.0000	1.0000	1.0000	1.0000	0.9968	0.7444	0.5789	0.0018	0.0000
LR	0.0000	0.0000	0.1181	0.1003	0.0650	0.9879	1.0000	1.0000	0.0000	0.0000	0.4044
SVM	0.0000	0.0000	1.0000	1.0000	1.0000	0.9849	0.5952	0.4238	0.0042	0.0000	1.0000	0.2704
XGB	0.0000	0.0000	0.9937	0.9902	0.9746	1.0000	0.9878	0.9532	0.0001	0.0000	1.0000	0.8723	0.9998