Trade-Intelix/nse-swing-trading-lightgbm

NSE Swing Trading LightGBM Classification Model

Overview

A production-ready LightGBM multiclass classification model for Indian NSE stock swing trading with 5-day forward Buy/Sell/Hold signals.

Model Details

• Task: Multiclass classification (3 classes)
• Classes: SELL (0), HOLD (1), BUY (2)
• Boosting Type: GBDT
• Features: 25 selected from 40 engineered features
• Validation: TimeSeriesSplit (5 splits, gap=5)
• Class Balancing: compute_sample_weight('balanced')

Training Data

• Period: 5 years (2021-05-07 to 2026-05-07)
• Tickers: RELIANCE.NS, TCS.NS, INFY.NS, HDFCBANK.NS, ICICIBANK.NS, WIPRO.NS, AXISBANK.NS, SBIN.NS
• Macro Data: ^NSEI (Nifty 50), ^INDIAVIX (India VIX)
• Total Samples: 7,768 (after preprocessing)
• Train/Test Split: 80/20 chronological holdout

Features

Technical Indicators

• RSI (14, 28), MACD, Bollinger Bands, ATR, Stochastic, ADX, OBV, CCI, Williams %R, VWAP deviation

Lag & Return Features

• Log returns (lags 1,2,3,5,10), Rolling mean/volatility (5,10,20)
• High-Low range normalized, Close position within day range

India-Specific Features

• Nifty50 log return, India VIX level & 5-day change
• Rolling 60-day beta vs Nifty50
• Distance from 52-week high/low

Calendar Features (Categorical)

• day_of_week, month, is_expiry_week, is_monday, quarter
• Market regime (bull/bear based on 200-day SMA)

Performance

Raw Model (Top-25 features, GBDT)

• Accuracy: 0.378
• Macro F1: 0.370

Per-Class Metrics

Class	Precision	Recall	F1
SELL	0.329	0.352	0.340
HOLD	0.496	0.441	0.467
BUY	0.292	0.315	0.303

Boosting Comparison

• GBDT: F1 = 0.368 (test)
• DART: F1 = 0.356 (test)
• Winner: GBDT

Regime Separation

• Single model with regime feature: F1 = 0.370
• Separate bull/bear models: F1 = 0.265
• Winner: Single model with regime feature

Selected Top-25 Features (by gain)

1. vix_level
2. month
3. vix_5d_change
4. atr_norm
5. dist_52w_low
6. adx
7. beta_60
8. dist_52w_high
9. macd_hist
10. rolling_vol_20
11. rolling_vol_10
12. nifty_log_return
13. macd_signal
14. stoch_d
15. rsi_28
16. rolling_vol_5
17. cci_20
18. bb_bandwidth
19. obv_norm
20. bb_pctb
21. rolling_mean_ret_10
22. rolling_mean_ret_20
23. is_expiry_week
24. rolling_mean_ret_5
25. rsi_14

India-Specific Features in Top-10 SHAP

• vix_level, vix_5d_change, beta_60, dist_52w_high, dist_52w_low

Artifacts

File	Description
	Best single model (top-25 features)
	Bull regime model
	Bear regime model
	Top-25 feature list
	Full test predictions with probabilities
	Complete evaluation metrics
	Confusion matrix
	Feature importance (gain)
	Feature importance (split)
	SHAP summary plot

Usage

License

MIT - For educational and research purposes only. Not financial advice.

Generated by ML Intern

This model repository was generated by ML Intern, an agent for machine learning research and development on the Hugging Face Hub.

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