SPDR S&P 500 ETF
6m (24w)
ahead
Predictive Factors
Causally predictive factors for the value of the selected instrument at the time point 6m (24w) away.
Bank of America Corp
Duke Energy
Microchip Technology Incorporated Common Stock
NextEra Energy
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.
SPDR S&P 500 ETF
🟢
p-value: 0.009
> 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 |
SPDR S&P 500 ETF |
84% |
0% |
16% |
with respect to the time point respectively,
|
Time |
Value |
SPDR S&P 500 ETF |
Tue 2025-02-18 UTC |
611.49 |
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) |
1.63
|
1.58
|
Solvency II Value-at-Risk 99.5% (the lower the better) |
-
|
-
|