This dataset comprise the results of the Diebold-Mariano (DM) tests when comparing several models for predicting day-ahead electricity prices in Belgium in the years 2015-2016. These results are part of the research paper: Forecasting spot electricity prices: deep learning approaches and empirical comparison of traditional algorithms The results are provided for each of the 27 models evaluated in the original paper. In particular, there are 27 files representing the p-values of the statistical tests, each one of the corresponding to one model. The name of the file represents the model evaluated. The results of the DM tests are given defining the model under evaluation as M1 (as defined in the original research paper), and then considering the remaining 26 models as M2. The DM test considers the null hypothesis of the forecasts of M1 being equal or worse than those of M2 against the alternative hypothesis of the forecasts of