Backtesting comparison of machine learning algorithms with different random seed.

Machine learning is nowadays popular area of science research. As the amount of accessible data is still increasing, therefore the machine learning methods can be used for many applications. One of the more detailed topics, which is commonly analyzed in practice in regard to financial decision supporting, is the support for decision making on stock market. It has been noticed that the main focus is on the developed markets like in Asia, West Europe or USA. As the Polish stock market is also recognized as the developed market, here in opposite to Asia, West Europe or USA markets, the shortage of practical implementation of machine learning algorithms is perceptible. With this paper various learning algorithms have been used to determine its backtesting performance. The main goal of this paper is to examine the effectiveness of selected machine learning algorithms and to find the best one for stock data by comparing several selected algorithms using a backtesting environment on the same data sets and general parameters. For this purpose, experiments were carried out on one random seed and then out on 100 different seeds. [ABSTRACT FROM AUTHOR]