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

Table 23

Multiple comparison analysis between the MDD 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	0.0000
MLP	0.0000	0.0006
DBN	0.0000	0.0004	1.0000
SAE	0.0000	0.0023	1.0000	1.0000
RNN	0.0000	0.0000	0.0320	0.0421	0.0111
LSTM	0.0000	0.0000	0.0002	0.0003	0.0000	0.9947
GRU	0.0000	0.0000	0.0001	0.0001	0.0000	0.9767	1.0000
CART	0.0000	0.0000	0.1238	0.1538	0.0521	1.0000	0.9241	0.8305
NB	0.0000	0.1875	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
RF	0.0000	0.0000	0.1180	0.1469	0.0493	1.0000	0.9298	0.8401	1.0000	0.0000
LR	0.0000	0.0000	0.0001	0.0002	0.0000	0.9881	1.0000	1.0000	0.8821	0.0000	0.8898
SVM	0.0000	0.0000	0.3285	0.3839	0.1701	0.9999	0.7011	0.5424	1.0000	0.0000	1.0000	0.6216
XGB	0.0000	0.0000	0.0308	0.0405	0.0106	1.0000	0.9951	0.9783	1.0000	0.0000	1.0000	0.9890	0.9998