Indian Stock Market Long/Short x% recommendation

Introduction: -

In this analysis, we first forecast whether a stock will move by x% with respect to its Opening price. This is done for both long and short on the combined Nifty Midcap and Nifty Smallcap stock universe.

Procedure: -

We run backtest of 780 days for different percentages of x. For this procedure, we have parameterized the price data with commonly used technical features derived from the Opening price for a day like moving averages, RSI, MACD etc. For the predictive analytics part XGBoost model is used.

Results: -

Result for Long only position with 1% profit

• •Accuracy: 61%
  
• •Standard Deviation: 12%
  
• •Average number of stocks recommended each day: 77
  

Result for Long only position with 0.75% profit

• •Accuracy: 69%
  
• •Standard Deviation: 11%
  
• •Average number of stocks recommended each day: 91
  

Result for Long only position with 0.5% profit

• •Accuracy: 78%
  
• •Standard Deviation: 9%
  
• •Average number of stocks recommended each day: 106
  

Result for Short only position with 1% profit

• •Accuracy: 68%
  
• •Standard Deviation: 11%
  
• •Average number of stocks recommended each day: 98
  

Result for Short only position with 0.75% profit

• •Accuracy: 76%
  
• •Standard Deviation: 9%
  
• •Average number of stocks recommended each day: 112
  

Result for Short only position with 0.5% profit

• •Accuracy: 84%
  
• •Standard Deviation: 7%
  
• •Average number of stocks recommended each day: 128
  

*Note: Favourable denotes the number of forecasted stocks. Accuracy denotes the daily accuracy.