In this demo we show how to forecast if the NASDAQ-100 is moving up or down. We do this with the help of a Random Forrest Classifier from the Smile Machine Learning Framework. I tried to replicate the result from a research paper
authored by Luckyson Khaidem, Snehanshu Saha, Sudeepa Roy Dey:

  • Data Preprocessing
    • exponentially smoothing
  • Features
    • Relative Strength Index
    • Stochastic Oscillator
    • Williams %R
    • Moving Average Convergence Divergence
    • Price Rate of Change
    • On Balance Volume
  • Labels
    • Sign(closei+d − closei)
  • Ticker Symbols
    • NDX

The solution has been implemented in Scala using Jupyter with the BeakerX kernel using the following libraries
Investor
Smile (Machine Learning Framework for Java and Scala)

The result can be found in the following Gist.


1 Comment

Christoph · 24. May 2021 at 17:01

Hi Phil,
many thanks for your interesting blog and for sharing your valuable work.
I just wanted to give a hint on the smile link on this page: the link is not valid anymore, the correct one is https://github.com/haifengl/smile.
Please keep up the great work.
Regards, Christoph

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