Stock Price Prediction with Machine Learning Models

In this project, I explore the application of machine learning models for predicting stock price movements. I leverage financial indicators and historical stock price data to train models that can predict the direction of stock price changes.

Note: This project is for educational purposes only and should not be construed as investment advice. The models presented here are for experimental and learning purposes, and their performance may not translate to real-world trading scenarios.

Data Collection

I gathered historical stock price data for a selected set of BIST100 stocks from Yahoo Finance.

The data spans from May 21, 2022, to December 13, 2023.

Feature Engineering

To enhance the predictive power of my models, I employed various technical indicators. These indicators include Moving Average Convergence Divergence (MACD), Relative Strength Index (RSI), Bollinger Bands, Average Directional Index (ADX), Exponential Moving Average (EMA), and Simple Moving Average (SMA).

Data Preprocessing

The collected data underwent preprocessing steps, including imputation of missing values using the mean imputation strategy. The target variable, representing the direction of stock price changes, was derived by comparing the closing prices on consecutive days.

Model Training and Evaluation

I trained three different machine learning models for each stock: Random Forest, Light GBM, and CatBoost.

Hyperparameter optimization with Optuna was performed to enhance each model's performance.

Model evaluation metrics included accuracy, precision, recall, and F1 score.

Top 10 Tickers Based on F1 Score and Models Used

Stock Symbol	Best Model	F1 Score	Accuracy	Precision	Recall
AKFYE.IS	CatBoost	0.7517	0.75	0.6667	0.8
EUPWR.IS	CatBoost	0.7190	0.7188	0.6875	0.7333
YYLGD.IS	CatBoost	0.6642	0.6709	0.7857	0.5238
BIMAS.IS	CatBoost	0.6415	0.6456	0.68	0.7391
GENIL.IS	CatBoost	0.6364	0.6389	0.6667	0.5556
ODAS.IS	LGB	0.6359	0.6329	0.7143	0.6383
ISMEN.IS	CatBoost	0.6354	0.6456	0.6415	0.7907
ZOREN.IS	CatBoost	0.6346	0.6329	0.7105	0.6
CANTE.IS	RF	0.6331	0.6329	0.6053	0.6216
AHGAZ.IS	LGB	0.6234	0.6327	0.5455	0.8571