Research Article

Predicting Nigerian Stock Returns using Technical Analysis and Machine Learning

D. O. Oyewola
Renaissance University, Ugbawka, Enugu State
* Corresponding author
Emmanuel Gbenga Gbenga Dada
Omole Ezekiel Olaoluwa
K.A. Al-Mustapha
DOI icon 10.24018/ejece.2019.3.2.65

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Submitted 2019-03-18
Published 2019-03-28

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Article Main Content

Models of stock price prediction have customarily utilized technical indicators alone to produce trading signals. In this paper, we construct trading techniques by applying machine-learning methods to technical analysis indicators and stock market returns data. The resulting prediction models can be utilized as an artificial trader used to trade on any given stock trade. Here the issue of stock trading decision prediction is enunciated as a classification problem with two class values representing the buy and sell signals. The stacking technique utilized in this paper is to assist trader with applying the proposed algorithms in their trading using random forest which was staked with different algorithms which incorporates Logistic Regression (LR), Random Forest (RF), Support Vector Machine (SVM) and Neural Network (NN). The experimental results indicated that Top Layer of Random Forest (TRF) produced the best performance among all the algorithms compared. This is an indication that it is a promising strategy for forecasting Nigerian stock returns.

Keywords: Machine learning stock price trading signals random forest neural network

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