Forecast Model Comparison
Walk-forward backtestElasticNet
RMSE 0.042
LightGBM
RMSE 0.038
LSTM
RMSE 0.045
Portfolio Allocation (MPT)
Stock Forecasting and Investment Decision Support System
A web-based investment decision-support platform combining machine-learning forecasting with portfolio optimisation.
- Built and compared ElasticNet, LightGBM, and LSTM forecasting models
- Created an ensemble forecasting framework
- Used Modern Portfolio Theory for portfolio optimisation
- Applied Ledoit-Wolf covariance estimation
- Evaluated models using RMSE, MAE, MASE, and directional accuracy
- Used walk-forward backtesting to reduce look-ahead bias