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

Table 26

The ASR of SPICS for daily trading with different transaction cost. The result that there is no significant difference between performance without transaction cost and that with transaction cost is in boldface.

	MLP	DBN	SAE	RNN	LSTM	GRU	CART	NB	RF	LR	SVM	XGB
(s0, c0)	1.5468	1.5412	1.5502	1.5764	1.5571	1.5828	1.3927	1.6237	1.6763	1.5818	1.6018	1.6298
(s0, c1)	1.4562	1.4478	1.4577	1.3000	1.2317	1.3565	0.9346	1.3554	1.2650	1.2472	1.2456	1.1294
(s0, c2)	1.3639	1.3527	1.3635	1.0191	0.9015	1.1262	0.4657	1.0822	0.8482	0.9074	0.8846	0.6236
(s0, c3)	1.2702	1.2561	1.2679	0.7355	0.5690	0.8929	-0.0085	0.8061	0.4298	0.5652	0.5216	0.1182
(s0, c4)	1.1751	1.1581	1.1709	0.4511	0.2366	0.6580	-0.4823	0.5291	0.0139	0.2234	0.1596	-0.3812
(s0, c5)	1.079	1.0591	1.0728	0.1678	-0.0931	0.4227	-0.9500	0.2534	-0.3959	-0.1152	-0.1987	-0.8696
(s1, c0)	1.5121	1.5057	1.5149	1.4927	1.4606	1.5119	1.2449	1.5424	1.5582	1.4825	1.4974	1.4886
(s1, c1)	1.4208	1.4116	1.4217	1.2146	1.1334	1.2841	0.7823	1.2722	1.1447	1.1459	1.1394	0.9859
(s1, c2)	1.3279	1.3159	1.3270	0.9325	0.8020	1.0526	0.3105	0.9977	0.7267	0.8048	0.7772	0.4792
(s1, c3)	1.2337	1.2188	1.2308	0.6482	0.4690	0.8185	-0.1646	0.7209	0.3082	0.4622	0.4139	-0.0257
(s1, c4)	1.1382	1.1204	1.1333	0.3637	0.1368	0.5831	-0.6374	0.4438	-0.1068	0.1208	0.0524	-0.5231
(s1, c5)	1.0417	1.0210	1.0348	0.0807	-0.1920	0.3478	-1.1025	0.1686	-0.5146	-0.2169	-0.3047	-1.0083
(s2, c0)	1.477	1.4699	1.4792	1.4081	1.3632	1.4403	1.0946	1.4601	1.4390	1.3822	1.3922	1.3462
(s2, c1)	1.3851	1.3752	1.3854	1.1285	1.0343	1.2111	0.6283	1.1883	1.0237	1.0439	1.0325	0.8416
(s2, c2)	1.2916	1.2789	1.2901	0.8454	0.7021	0.9785	0.1547	0.9128	0.6049	0.7019	0.6696	0.3346
(s2, c3)	1.1969	1.1812	1.1934	0.5607	0.3688	0.7437	-0.3205	0.6355	0.1868	0.3591	0.3063	-0.1690
(s2, c4)	1.1010	1.0825	1.0955	0.2763	0.0372	0.5081	-0.7916	0.3586	-0.2268	0.0183	-0.0545	-0.6639
(s2, c5)	1.0041	0.9827	0.9967	-0.006	-0.2905	0.2729	-1.2533	0.0841	-0.6323	-0.3179	-0.4101	-1.1454
(s3, c0)	1.4415	1.4337	1.4432	1.3227	1.2650	1.3679	0.9425	1.3770	1.3189	1.2810	1.2862	1.2030
(s3, c1)	1.3490	1.3384	1.3488	1.0419	0.9348	1.1375	0.4733	1.1039	0.9023	0.9413	0.9252	0.6971
(s3, c2)	1.2551	1.2416	1.2529	0.7580	0.6019	0.9040	-0.0013	0.8275	0.4832	0.5988	0.5618	0.1904
(s3, c3)	1.1599	1.1435	1.1558	0.4731	0.2688	0.6688	-0.4757	0.5500	0.0658	0.2562	0.1988	-0.3116
(s3, c4)	1.0636	1.0443	1.0575	0.1891	-0.0620	0.4331	-0.9442	0.2735	-0.3460	-0.0836	-0.1608	-0.8034
(s3, c5)	0.9664	0.9443	0.9584	-0.0924	-0.3883	0.1982	-1.4018	0.0000	-0.7489	-0.4183	-0.5146	-1.2808
(s4, c0)	1.4058	1.3972	1.4068	1.2368	1.1662	1.2950	0.7892	1.2933	1.1983	1.1793	1.1796	1.0591
(s4, c1)	1.3127	1.3013	1.3119	0.9549	0.8350	1.0634	0.3180	1.0190	0.7807	0.8386	0.8177	0.5527
(s4, c2)	1.2183	1.204	1.2155	0.6705	0.5018	0.8293	-0.1568	0.7421	0.3617	0.4958	0.4542	0.0468
(s4, c3)	1.1226	1.1055	1.1179	0.3857	0.1691	0.5938	-0.6295	0.4647	-0.0545	0.1537	0.0918	-0.4529
(s4, c4)	1.026	1.006	1.0193	0.1021	-0.1607	0.3582	-1.0948	0.1888	-0.4642	-0.1849	-0.2665	-0.9413
(s4, c5)	0.9286	0.9057	0.9199	-0.1783	-0.4853	0.1238	-1.5478	-0.0836	-0.8642	-0.5177	-0.6182	-1.4142