Stock Price Prediction Using SVR: A Feature Engineering and Hyperparameter Tuning Approach
DOI:
https://doi.org/10.29207/resti.v10i3.7249Keywords:
cross validation, mining sector, stock price prediction, support vector regressionAbstract
Stock price prediction in Indonesia's volatile mining sector poses significant forecasting challenges driven by commodity price dynamics and structural market shifts. This study proposes a systematic prediction framework for PT Indo Tambangraya Megah Tbk (ITMG.JK) integrating technical and market-derived non-technical feature engineering, LightGBM-based feature selection, multilevel TimeSeriesSplit cross-validation, and hyperparameter optimization. Support Vector Regression (SVR) is benchmarked against LightGBM, XGBoost, and Random Forest under 5-fold, 10-fold, and 15-fold schemes. SVR achieves the best performance at 10-fold, with RMSE of 0.0121, MAE of 0.0090, MAPE of 1.1457%, and R² of 0.9249. Generalization experiments across four additional stocks in banking, automotive, and mining sectors confirm SVR's robustness, maintaining R² above 0.89 and MAPE below 2.65% in all cases while tree-based models produce negative R² on certain datasets. Statistical validation via Wilcoxon signed-rank test (p < 0.05) and Cohen's d (|d| > 0.8) confirms the significance of SVR's advantage. These findings indicate that SVR consistently outperforms the evaluated models under the proposed experimental framework.
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