Ensemble Classifier for Stock Trading Recommendation

This paper presents a heterogeneous ensemble classifier for price trend prediction of a stock, in which the prediction results are subsequently used in trading recommendation. The proposed ensemble model is based on Support vector machine, Artificial neural networks, Random forest, Extreme gradient boosting, and Light gradient boosting machine. A feature selection is performed to choose an optimal set of 45 technical indicators as input attributes of the model. Each base classifier is executed with an extensive hyperparameter tuning to improve performance. The prediction results from five base classifiers are aggregated through a modified majority voting among three classifiers with the highest accuracies, to obtain final prediction result. The performance of proposed ensemble classifier is evaluated using daily historical prices of 20 stocks from Stock Exchange of Thailand, with 3 overlapping datasets of 5-year intervals during 2014–2020 for different market conditions. The experimental results show that the proposed ensemble classifier clearly outperforms buy-and-hold strategy, individual base classifiers, and the ensemble with straightforward majority voting in terms of both trading return and Sharpe ratio.