SPDR S&P 500 ETF
6m (24w)
ahead
Top Predictive Factors
Causally predictive factors for the value of the selected instrument at the time point 6m (24w) away.
Micron Technology, Inc. Common Stock
Utilities Sector SPDR ETF
Nvidia Corporation
The Bank of New York Mellon
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.
SPDR S&P 500 ETF
🟢
p-value: 0.007
> 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 |
| SPDR S&P 500 ETF |
75% |
0% |
25% |
with respect to the time point respectively,
|
Time |
Value |
| SPDR S&P 500 ETF |
Fri 2025-04-25 UTC |
550.64 |
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.
SPDR S&P 500 ETF
|
Active |
Buy-and-Hold |
Sharpe ratio
(the higher the better) |
0.79
|
0.76
|
Solvency II Value-at-Risk 99.5%
(the lower the better) |
3.44
|
10.74
|