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
KLA Corporation Common Stock
Micron Technology, Inc. Common Stock
United Parcel Service
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 .
Goodness of Probabilistic Prediction
For any date, the prediction plotted in graded colored bars are calculated 6m (24w) prior to that date.
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: 0.088
> 0.001
Goodness of Probabilistic Prediction
For any date, the prediction plotted in graded colored bars are calculated 6m (24w) prior to that date.
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: 0.005
> 0.001
Goodness of Probabilistic Prediction
For any date, the prediction plotted in graded colored bars are calculated 6m (24w) prior to that date.
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: 0.0
< 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 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
|
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
|
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
|