Invesco Nasdaq-100 ETF SPDR S&P 500 ETF SPDR Dow Jones Industrial Average ETF

6m (24w) ahead

Predictive Factors

Causally predictive factors for the values of the selected instruments at the time point 6m (24w) away.

Duke Energy

2025-02-19T02:00:10.902180 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

SPDR Gold Trust

2025-02-19T02:00:10.921406 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

iShares 7-10 Year Treasury Bond ETF

2025-02-19T02:00:10.940018 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

Bank of America Corp

2025-02-19T02:00:10.962252 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

as of

Our Probabilistic Prediction

We train a group of models, each predicting a set of possible outcomes for the time point 6m (24w) away. Below are them pooled together.

2025-02-19T02:00:12.151238 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
Goodness of Probabilistic Prediction

Test of hypothesis that a sample of the realised probability level is uniformly distributed between 0 and 1 (whitepaper), using significance level 0.001 for the p-value. The user is free to use another significance level e.g. 0.01, 0.05 for the test.

Invesco Nasdaq-100 ETF

🔴 p-value: 0.0 < 0.001

2025-02-19T02:00:12.284812 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
2025-02-19T02:00:13.065785 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
Goodness of Probabilistic Prediction

Test of hypothesis that a sample of the realised probability level is uniformly distributed between 0 and 1 (whitepaper), using significance level 0.001 for the p-value. The user is free to use another significance level e.g. 0.01, 0.05 for the test.

SPDR S&P 500 ETF

🔴 p-value: 0.001 < 0.001

2025-02-19T02:00:13.188770 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
2025-02-19T02:00:15.053968 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
Goodness of Probabilistic Prediction

Test of hypothesis that a sample of the realised probability level is uniformly distributed between 0 and 1 (whitepaper), using significance level 0.001 for the p-value. The user is free to use another significance level e.g. 0.01, 0.05 for the test.

SPDR Dow Jones Industrial Average ETF

🟢 p-value: 0.001 > 0.001

2025-02-19T02:00:15.181853 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

Trades

Next-Day Position

Each model casts a vote "up", "down" or "undecided" on the direction of change from the calculation time to the time point 6m (24w) away. The votes held over the recent 6m (24w) all concern the next day, so the next-day position is the average of the majority votes as calculated over the last 6m (24w).

% Up % Down % Un­de­cided
Invesco Nasdaq-100 ETF 73% 2% 26%
SPDR S&P 500 ETF 84% 0% 16%
SPDR Dow Jones Industrial Average ETF 95% 0% 5%

with respect to the time point respectively,

Time Value
Invesco Nasdaq-100 ETF Tue 2025-02-18 UTC 539.37
SPDR S&P 500 ETF Tue 2025-02-18 UTC 611.49
SPDR Dow Jones Industrial Average ETF Tue 2025-02-18 UTC 445.92

Performance of Past Trades

The Sharpe ratio is calculated on returns measured as the difference between values rather than in percentage, assuming zero trading cost.

Invesco Nasdaq-100 ETF
Active Buy-and-Hold
Sharpe ratio
(the higher the better)
1.58 1.57
Solvency II Value-at-Risk 99.5%
(the lower the better)
- -
2025-02-19T02:00:12.735680 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
SPDR S&P 500 ETF
Active Buy-and-Hold
Sharpe ratio
(the higher the better)
1.63 1.58
Solvency II Value-at-Risk 99.5%
(the lower the better)
- -
2025-02-19T02:00:13.721332 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
SPDR Dow Jones Industrial Average ETF
Active Buy-and-Hold
Sharpe ratio
(the higher the better)
1.19 1.21
Solvency II Value-at-Risk 99.5%
(the lower the better)
- -
2025-02-19T02:00:15.643068 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/