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

6m (24w) ahead

Top Predictive Factors

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

Copart, Inc. (DE) Common Stock

2025-05-17T18:34:05.326957 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

KLA Corporation Common Stock

2025-05-17T18:34:05.346371 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

Micron Technology, Inc. Common Stock

2025-05-17T18:34:05.365689 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

United Parcel Service

2025-05-17T18:34:05.384583 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 all predictions as of .

2025-05-17T18:34:05.631568 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
Goodness of Probabilistic Prediction

For any date, the prediction plotted in graded colored bars are calculated 6m (24w) prior to that date.

2025-05-17T18:34:05.835516 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

On each date of the above sample, we read out the realised probability level then test the hypothesis that they follow the uniform distribution between 0 and 1, when the prediction is generally done well (whitepaper). The user is free to use any significance level e.g. 0.001, 0.01, 0.05 for the test.

Invesco Nasdaq-100 ETF

🔴 p-value: 0.0 < 0.001

2025-05-17T18:34:05.962208 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
2025-05-17T18:34:06.904696 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
Goodness of Probabilistic Prediction

For any date, the prediction plotted in graded colored bars are calculated 6m (24w) prior to that date.

2025-05-17T18:34:07.103647 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

On each date of the above sample, we read out the realised probability level then test the hypothesis that they follow the uniform distribution between 0 and 1, when the prediction is generally done well (whitepaper). The user is free to use any significance level e.g. 0.001, 0.01, 0.05 for the test.

SPDR S&P 500 ETF

🟢 p-value: 0.105 > 0.001

2025-05-17T18:34:07.242645 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
2025-05-17T18:34:08.091433 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
Goodness of Probabilistic Prediction

For any date, the prediction plotted in graded colored bars are calculated 6m (24w) prior to that date.

2025-05-17T18:34:08.317534 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

On each date of the above sample, we read out the realised probability level then test the hypothesis that they follow the uniform distribution between 0 and 1, when the prediction is generally done well (whitepaper). The user is free to use any significance level e.g. 0.001, 0.01, 0.05 for the test.

SPDR Dow Jones Industrial Average ETF

🟢 p-value: 0.005 > 0.001

2025-05-17T18:34:08.455301 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 signal is the net vote (percentage of "up" votes minus percentage of "down" votes). As each signal output over the recent 6m (24w) concerns the next day, the next-day position is the average of the signals calculated over the last 6m (24w).

% Up % Down % Un­de­cided
Invesco Nasdaq-100 ETF 73% 1% 25%
SPDR S&P 500 ETF 69% 0% 31%
SPDR Dow Jones Industrial Average ETF 92% 0% 8%

with respect to the time point respectively,

Time Value
Invesco Nasdaq-100 ETF Fri 2025-05-16 UTC 521.51
SPDR S&P 500 ETF Fri 2025-05-16 UTC 594.2
SPDR Dow Jones Industrial Average ETF Fri 2025-05-16 UTC 426.55

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)
0.85 1.06
Solvency II Value-at-Risk 99.5%
(the lower the better)
32.32 14.26
2025-05-17T18:34:06.446931 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)
0.97 0.96
Solvency II Value-at-Risk 99.5%
(the lower the better)
3.02 10.25
2025-05-17T18:34:07.711974 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)
0.67 0.69
Solvency II Value-at-Risk 99.5%
(the lower the better)
4.22 5.32
2025-05-17T18:34:08.933797 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/