I want to sign my 4 years old son to private martial arts sessions so he won't get bullied in the future. What martial arts would be good?

I used to get bullied back in school and don't want this to happen to my son. I will put him into private sessions since I think he will have hard time understanding in the group class.
Is Muay Thai good for self defense? Or is mma good too? Cause I keep seeing people talk about it.
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