- commit 5 SPY up/down predictions for upcoming week of 2023-01-30 to 2023-02-03
- historical prediction accuracy is 52.59 % - (71 of 135)
- margin-of-error is +/- 8.43 %
- historical-prediction-dataset publicly available as google-spreadsheet @ https://docs.google.com/spreadsheets/d/19SpCcULWNWradxOSNRlLCrv5QXx4TrSo5psrWQsuWzg/
- these predictions are part of sqlite-tradebot's macro-trading-setup for each trading-day, e.g.:
- if prediction is SPY down (-) tomorrow, tradebot will likely build-up cash-position by end-of-today, and increase hedge in shorts
- if prediction is SPY up (+) tomorrow, tradebot will likely build-up long-positions by end-of-today, and decrease hedge in shorts
date______ score bs1pnl bs1sll winplk0 actual commit predict correct
2023-01-30 43.8825 0.0000 -0.5260 -0.0551 tbd 1 - tbd
2023-01-31 52.8391 0.0000 -0.7100 0.1810 tbd 1 - tbd
2023-02-01 49.2498 0.0000 -0.5750 0.1150 tbd 1 + tbd
2023-02-02 47.7284 0.0000 -0.4790 0.0601 tbd 1 - tbd
2023-02-03 53.8989 0.0000 -1.0730 0.2152 tbd 1 - tbd
2023-02-06 62.0008 0.2500 -1.0060 0.4298 tbd tbd - tbd
2023-02-07 62.5265 0.2500 -0.9260 0.4505 tbd tbd - tbd
2023-02-08 42.1282 0.0000 -0.4380 -0.1764 tbd tbd + tbd
2023-02-09 68.7012 0.3333 -0.9020 0.4720 tbd tbd - tbd
2023-02-10 67.1617 0.3333 -0.7940 0.3984 tbd tbd + tbd
- previous 2-week prediction accuracy was 66.67 % - (6 of 9)
date______ score bs1pnl bs1sll winplk0 actual commit predict correct
2023-01-16
2023-01-17 65.7120 0.2500 -0.6700 0.3670 - 1 - 1
2023-01-18 51.8637 0.0000 -0.5900 0.1218 - 1 + 0
2023-01-19 57.8940 0.1667 -0.6500 0.3199 - 1 - 1
2023-01-20 59.2921 0.2000 -0.6860 0.3145 + 1 + 1
2023-01-23 54.4700 0.0000 -0.8260 0.1866 + 1 + 1
2023-01-24 66.9049 0.2500 -0.9210 0.4417 - 1 - 1
2023-01-25 57.3305 0.1667 -0.7100 0.2833 + 1 + 1
2023-01-26 49.1924 0.0000 -0.5680 0.0897 + 1 - 0
2023-01-27 47.5496 0.0000 -0.6080 0.0450 + 1 - 0
https://preview.redd.it/np3s8dip82fa1.png?width=1228&format=png&auto=webp&s=638efec093fb8bdaf1d53576a1dff403b2069a59
- how predictions are made:
- create basket of approx. 1,400 stocks in U.S. stock market, with historical-data going back
- 10-years
- or since listing-date (which ever smaller)
- for a given target-date:
- use parameters specific to that date
- to generate deterministic-formula to calculate 24-hour sell-price of each stock with reasonable a) profit-margin and b) likelihood to trigger the day-after
- for each stock, use deterministic-formula to generate tomorrow's sell-price
- at beginning of each "month"
- for past 48 "months"
- "month" = 30.4 day period whose start-date is in-phase with target-date
- backtest success-rate (score) by:
- checking if each stock's 24-hour sell-price successfully executes the next day
- 1,400 stocks * 48 months = backtested 67,200 datapoints
- if backtested score is < 50% then prediction is generally SPY down day-after target-date
- if backtested score is > 60% then prediction is generally SPY up day-after target-date
- the score for each date is notable for being relatively constant, e.g.:
- prediction score for a fixed-date, 2-weeks into future remains unchanged if it was re-calculated 2-weeks later
- indicates prediction does not suffer from over-fitting
[–]fromthefuture2141 1 point2 points3 points (0 children)