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

Table 9

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	1.0000	1.0000
RNN	1.0000	1.0000	1.0000
LSTM	1.0000	1.0000	1.0000	0.9999
GRU	1.0000	1.0000	1.0000	1.0000	0.9975
CART	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
NB	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000
RF	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0270	0.0000
LR	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.5428
SVM	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.3125	0.0000	0.0000	0.0000
XGB	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0000	0.0002	0.3954	0.0000