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Trade-Intelix/
nse-swing-trading-lightgbm

Name: nse-swing-trading-lightgbm
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ml-intern

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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)

vix_level
month
vix_5d_change
atr_norm
dist_52w_low
adx
beta_60
dist_52w_high
macd_hist
rolling_vol_20
rolling_vol_10
nifty_log_return
macd_signal
stoch_d
rsi_28
rolling_vol_5
cci_20
bb_bandwidth
obv_norm
bb_pctb
rolling_mean_ret_10
rolling_mean_ret_20
is_expiry_week
rolling_mean_ret_5
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

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Trade-Intelix/nse-swing-trading-lightgbm