Forecasting the direction of the daily changes of stock indices is an important yet difficult task for market participants. Advances on data mining and machine learning make it possible to develop more accurate predictions to assist investment decision making. This paper attempts to develop a learning architecture LR2GBDT for forecasting and trading stock indices, mainly by cascading the logistic regression (LR) model onto the gradient boosted decision trees (GBDT) model. Without any assumption on the underlying data generating process, raw price data and twelve technical indicators are employed for extracting the information contained in the stock indices. The proposed architecture is evaluated by comparing the experimental results with the LR, GBDT, SVM (support vector machine), NN (neural network) and TPOT (tree-based pipeline optimization tool) models on three stock indices data of two different stock markets, which are an emerging market (Shanghai Stock Exchange Composite Index) and a mature stock market (Nasdaq Composite Index and S&P 500 Composite Stock Price Index). Given the same test conditions, the cascaded model not only outperforms the other models, but also shows statistically and economically significant improvements for exploiting simple trading strategies, even when transaction cost is taken into account. •A cascaded learning architecture LR2GBDT is proposed to predict the direction of the daily changes of stock indices.•Logistic regression and gradient boosted decision trees are combined in our approach.•Technical indicators and the output derived from LR are fed as input features.•The prediction accuracy and trading performance are improved by LR2GBDT.•The profitability with a simple long–short trading strategy in a daily investment horizon is also discussed.