Portfolio
6m
ahead
Predictive Factors
The engine identifies what we call the causally predictive factors: a small set of assets judged to be the most important driving forces behind your selected item's forecast.
SPDR EURO STOXX 50 ETF
iShares China Large-Cap ETF
SPDR S&P Dividend ETF
SPDR Gold Trust
GameStop Corp
as of
Our Probabilistic Prediction
Based on the predictive features above, we run many models repeatedly, each predicting a set of possible outcomes for the date in 6m and aggregate them.
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: 0.001
< 0.001
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: 0.046
> 0.001
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: 0.029
> 0.001
Each model casts a single vote on the likely direction of change. If one actually makes trades, a trade will be opened every day with the size in number of shares/lots proportional to the majority vote and kept open for 6m. The currently open trades result in the position for the next end-of-day time point (when the market is open),
|
% Up |
% Down |
% Undecided |
| Invesco Nasdaq-100 ETF |
51% |
2% |
47% |
| SPDR S&P 500 ETF |
88% |
0% |
12% |
| SPDR Dow Jones Industrial Average ETF |
98% |
1% |
1% |
with respect to the following time points,
|
Time |
Value |
| Invesco Nasdaq-100 ETF |
Tue 2024-09-10 UTC |
458.66 |
| SPDR S&P 500 ETF |
Tue 2024-09-10 UTC |
548.79 |
| SPDR Dow Jones Industrial Average ETF |
Tue 2024-09-10 UTC |
408.26 |
Performance of Past Trades
The overall profit and loss of the trades opened in the above manner, in contrast to the buy-and-hold strategy of one constant share, would have been as plotted below. 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) |
1.43
|
1.4
|
Solvency II Value-at-Risk 99.5%
(the lower the better) |
-
|
-
|
SPDR S&P 500 ETF
|
Active |
Buy-and-Hold |
Sharpe ratio
(the higher the better) |
1.49
|
1.44
|
Solvency II Value-at-Risk 99.5%
(the lower the better) |
-
|
-
|
SPDR Dow Jones Industrial Average ETF
|
Active |
Buy-and-Hold |
Sharpe ratio
(the higher the better) |
1.01
|
1.05
|
Solvency II Value-at-Risk 99.5%
(the lower the better) |
-
|
-
|