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
SPDR Gold Trust
iShares 7-10 Year Treasury Bond ETF
Bank of America Corp
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.
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
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
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
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) |
-
|
-
|
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) |
-
|
-
|
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) |
-
|
-
|