Usage

Enter apple or AAPL to search

Use ; to split multiple search items

Leave blank and press "Run" to go Home

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

2024-07-20T19:01:42.777965 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

SPDR S&P Dividend ETF

2024-07-20T19:01:42.797445 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

iShares China Large-Cap ETF

2024-07-20T19:01:42.816656 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

Salesforce

2024-07-20T19:01:42.836038 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

iShares 7-10 Year Treasury Bond ETF

2024-07-20T19:01:42.859476 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

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.

2024-07-20T19:01:43.599576 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

2024-07-20T19:01:43.738782 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
2024-07-20T19:01:44.918932 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

2024-07-20T19:01:45.096974 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/
2024-07-20T19:01:46.623068 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: 0.0 < 0.001

2024-07-20T19:01:46.867470 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/

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 58% 4% 38%
SPDR S&P 500 ETF 95% 1% 5%
SPDR Dow Jones Industrial Average ETF 99% 1% 0%

with respect to the following time points,

Time Value
Invesco Nasdaq-100 ETF Fri 2024-07-19 UTC 475.24
SPDR S&P 500 ETF Fri 2024-07-19 UTC 548.99
SPDR Dow Jones Industrial Average ETF Fri 2024-07-19 UTC 402.95

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)
1.92 1.89
Solvency II Value-at-Risk 99.5%
(the lower the better)
- -
2024-07-20T19:01:44.279876 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)
1.89 1.74
Solvency II Value-at-Risk 99.5%
(the lower the better)
- -
2024-07-20T19:01:45.724350 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)
1.08 1.12
Solvency II Value-at-Risk 99.5%
(the lower the better)
- -
2024-07-20T19:01:47.402997 image/svg+xml Matplotlib v3.7.3, https://matplotlib.org/