System

NYSE(N)

DJIA

SP500

HS300

$\alpha$ Factor

p-Value

$\alpha$ Factor

p-Value

$\alpha$ Factor

p-Value

$\alpha$ Factor

p-Value

RMR

0.0031

<0.0001

0.0030

0.0054

0.0018

0.0102

−4.5e−5

0.5261

OLMAR

0.0031

0.0000

0.0013

0.1366

0.0019

0.0082

−0.0003

<0.0001

PPT

0.0035

<0.0001

0.0034

0.0024

0.0020

0.0065

−0.0005

0.7465

TRLR

0.0035

<0.0001

0.0031

0.0043

0.0022

0.0039

0.0001

<0.0001

SSPO

0.0034

<0.0001

0.0037

0.00009

0.0024

0.0019

−0.0005

<0.0001

AICTR

0.0032

<0.0001

0.0039

<0.0001

0.0022

0.0027

6.8e−5

0.4638

CPP

0.0034

<0.0001

0.0042

<0.0001

0.0024

<0.0001

0.0002

<0.0001