Smile: Predicting the Direction of Stock Market Prices using a Random Forrest Classifier

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.