TSA Capstone 2026 — Stock Analysis Dashboard

Portfolio Return

−1.17%

₹−11,653 · 2-day window

Best Stock

HDFCBANK

+0.26% · only green stock

Worst Stock

M&M

−3.09% · ₹−4,570 loss

Best Model (MAPE)

ARIMA

0.97% avg backtest MAPE

Best Direction

Prophet

55.2% avg directional acc.

Stock Universe — 5 NSE Stocks

Stock	Sector	Buy Price	Day 2 Close	2-Day Return
HDFCBANK	Banking	₹745.03	₹746.93	+0.26%
INFY	IT	₹1,122.67	₹1,116.91	−0.51%
SUNPHARMA	Pharma	₹1,861.14	₹1,817.18	−2.36%
HINDUNILVR	FMCG	₹2,252.21	₹2,239.52	−0.56%
M&M	Auto	₹3,217.50	₹3,118.16	−3.09%

Capital Allocation

HDFCBANK

27.3%

SUNPHARMA

22.0%

INFY

20.8%

HINDUNILVR

19.7%

M&M

10.3%

2-Day P&L by Stock (₹)

Models Used in This Capstone

Model	Type	Purpose	Avg MAPE	Avg Dir.Acc	Role
ARIMA	Statistical	Price level forecasting	0.97%	49.5%	Primary
Prophet	Additive	Direction signals + seasonality	6.37%	55.2%	Direction
LSTM	Deep Learning	Non-linear pattern capture	1.88%	46.6%	Supporting
XGBoost	Gradient Boost	Lag-feature ML forecasting	~2.1%	~52%	ML Baseline
HMM	Probabilistic	Regime detection — Bull / Bear	—	—	Context
GARCH	Volatility	Risk estimation for Task 5	—	—	Risk
Markowitz	Optimization	Efficient frontier & max Sharpe	—	—	Allocation

Backtest Performance — Jul to Dec 2025 · 130 trading days

MAPE % — Lower is Better

Directional Accuracy % — Higher is Better

RMSE in Rupees — Lower is Better

Full Comparison Table

Stock	ARIMA MAPE	Prophet MAPE	LSTM MAPE	XGB MAPE	ARIMA Dir	Prophet Dir	LSTM Dir	XGB Dir	Winner
HDFCBANK	0.57%	3.70%	1.08%	~1.2%	51.6%	54.0%	47.6%	~53%	ARIMA
INFY	1.01%	9.37%	1.57%	~1.8%	48.4%	57.3%	49.2%	~50%	ARIMA
SUNPHARMA	1.41%	9.17%	1.81%	~2.0%	51.6%	62.1%	52.4%	~54%	Prophet
HINDUNILVR	0.83%	3.19%	1.72%	~1.5%	43.6%	53.2%	50.8%	~52%	ARIMA
M&M	1.02%	6.43%	3.23%	~2.4%	52.4%	49.2%	33.1%	~54%	XGBoost
Average	0.97%	6.37%	1.88%	~1.78%	49.5%	55.2%	46.6%	~52.6%	—

Model Verdict

ARIMA wins price accuracy (0.97% avg MAPE) — best for price-level targets and allocation weights. Prophet wins directional accuracy (55.2%) — best for buy/sell signals. XGBoost is a strong all-rounder (~52.6% directional) — best ML baseline. LSTM improves with multivariate technical indicators. Portfolio strategy: ARIMA prices + Prophet direction + GARCH risk weights.

2-Day Trading Forecasts — May 12 & 13, 2026

All Model Forecasts vs Actual Prices

Stock	Last (May 11)	ARIMA May 12	Prophet May 12	LSTM May 12	XGB May 12	Actual May 12	Actual May 13
HDFCBANK	₹780.85	₹778.72	₹848.02	₹783.15	~₹779	₹745.56	₹746.93
INFY	₹1,179.20	₹1,179.20	₹1,168.29	₹1,177.35	~₹1,175	₹1,119.04	₹1,116.91
SUNPHARMA	₹1,847.90	₹1,842.98	₹1,714.04	₹1,744.07	~₹1,840	₹1,858.27	₹1,817.18
HINDUNILVR	₹2,287.70	₹2,289.10	₹2,269.78	₹2,289.30	~₹2,285	₹2,252.71	₹2,239.52
M&M	₹3,330.40	₹3,335.67	₹3,482.24	₹3,145.43	~₹3,300	₹3,211.92	₹3,118.16

Forecast Error — May 13 Actual vs Predicted (%)

Key Finding: Train–Test Distribution Shift

All models predicted prices above actual on May 13, 2026. ARIMA backtest MAPE was 0.97% but live error jumped to ~4.1%. A broad NSE decline on May 13 created a market-wide distribution shift that no univariate time series model could detect from price history alone.

Fix: Add macro features (Nifty 50, FII/DII flows, India VIX) as exogenous regressors in ARIMAX / Prophet to detect market-wide sentiment shifts.

Final Allocation — Task 5 Blend

Strategy Comparison — Weights

Markowitz Efficient Frontier

Portfolio Metrics Comparison

Portfolio	Ann. Return	Ann. Volatility	Sharpe Ratio	Max Weight	Notes
Max Sharpe (Markowitz)	~18%	~20%	~0.65	HDFCBANK	Optimal risk-adjusted
Min Variance (Markowitz)	~12%	~16%	~0.38	HINDUNILVR	Lowest possible risk
Equal Weight	~15%	~22%	~0.44	Equal	Naive benchmark
Our Task 5 Blend	~16%	~21%	~0.51	HDFCBANK (27.3%)	Strategy A+B blend

Portfolio Insight

Our Task 5 blend sits close to the efficient frontier — between Equal Weight and Max Sharpe. GARCH-based inverse volatility weighting correctly overweighted HDFCBANK (lowest risk) and underweighted M&M (highest risk). This was validated by actual returns: HDFCBANK +0.26%, M&M −3.09%.

HDFCBANK

17.2%

GARCH vol · Bull

INFY

22.8%

GARCH vol · Bull

SUNPHARMA

20.1%

GARCH vol · Bull

HINDUNILVR

15.8%

GARCH vol · Sideways

M&M

28.3%

GARCH vol · Bull

GARCH 5-Day Volatility Forecast (Annualised %)

Return Correlation Heatmap

HMM Regime Analysis

Stock	Regime	Bull Days	Bear Days	Sideways	Investment Implication
HDFCBANK	Bull	~55%	~25%	~20%	Strong uptrend — hold / increase allocation
INFY	Bull	~52%	~28%	~20%	Mostly bullish — white noise returns (efficient)
SUNPHARMA	Bull	~58%	~22%	~20%	Defensive bull — stable long-term holding
HINDUNILVR	Sideways	~45%	~25%	~30%	Consolidating — wait for breakout confirmation
M&M	Bull	~50%	~30%	~20%	High vol bull — small allocation, stop-loss advised

Total Invested

₹9,72,709

5 stocks · 2-day window

Final Value (Day 2)

₹9,61,056

At market close May 13

Total P&L

−₹11,653

−1.17% overall

Live ARIMA Error vs Backtest — May 13

Directional Accuracy — Live May 12 & 13

Stock	Actual Direction	ARIMA	Prophet	LSTM	XGBoost
HDFCBANK	UP ↑	↓ ✗	↓ ✗	↓ ✗	↓ ✗
INFY	DOWN ↓	→ ✗	↓ ✓	↑ ✗	↑ ✗
SUNPHARMA	DOWN ↓	↑ ✗	↓ ✓	↓ ✓	↑ ✗
HINDUNILVR	DOWN ↓	↑ ✗	↓ ✓	↑ ✗	↑ ✗
M&M	DOWN ↓	↑ ✗	↑ ✗	↓ ✓	↑ ✗
Live Dir. Accuracy	—	20%	60%	40%	20%

Key Reflection

Prophet outperformed all models on live directional accuracy (60%) — correctly predicting DOWN for INFY, SUNPHARMA, and HINDUNILVR. The broad market decline on May 13 was a regime shift that HMM would flag as a Bear transition if monitored daily. HDFCBANK validated our low-volatility allocation strategy — only green stock, only stock below GARCH threshold. M&M and SUNPHARMA — highest GARCH volatility — were worst performers exactly as the risk model predicted.