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Posts Tagged ‘forecast’

SPX Model Monthly Predictions Improving

December 6, 2014 Leave a comment

Improving the fit since last update:

lm_model_monthly120514

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Day Trading Model Draft

October 30, 2014 Leave a comment

Teasers…

The SPX model accuracy (since 2010 test set) for correctly predicting positive/negative days:

es_model110514

actual_pred_LR_model103014

corrplot_daily_LR_model103014

SPX negative in January after a big 2013. What can we expect from February?

February 1, 2014 Leave a comment

It’s 50/50 we’re going to be negative or positive in February from historical data.

Although given we had a double digit returns year the previous year. It bodes well equities will stage a comeback in February.

In fact I dug even deeper and it is very likely (greater than 60%) we’re going to retest SPX January lows in December.

feb2014_ret

SPX Model Projections for December and End of Year

November 30, 2013 Leave a comment

*model still in alpha test stage

The SPX model performed perfectly in forecasting a positive November and target.

My SPX model predictions:

– November close: STRONG probability of positive month.

– SPX close above 1800 for December (chart below).

– End of 2013: STRONG probability of close above 1800 possibly above 1850.

– 2 likely scenarios: 1. Close over 1800 or 2. Close over 1850

Known Risks to the model projections:

– Taper/Interest Rates (Fed really is the only risk)

– Dissapointing Holiday Retail

spx113013

 

SPX Model Projections for November and End of Year

November 1, 2013 Leave a comment

*model still in alpha test stage

The SPX model for October performed poorly in forecasting a very strong October. The model actually predicted a negative October and was about 100 pts off. Oops.

My SPX model predictions:

– November close: STRONG probability of positive month.

– SPX close above 1800 for November (chart below).

– End of 2013: STRONG probability of close above 1800 possibly above 1850.

Known Risks to the model projections:

– Taper/Interest Rates

– Fed Chairman speculation/announcement

– US Earnings

– Weak Holiday Retail

spx103113