Daily Return Forecasting on S&P 500 IntraDay benchmark leaderboard · SOTA2 Research

Daily Return Forecasting on S&P 500 IntraDay

0.0033Mean Return (Long)LSTM

Evaluation Results

Method	Links
LSTM2020.04		0.0033	0.0031	0.0064	0.0002	-0.1464	-0.0017	0.0056	0.0143	0.141	69.663	0.0157	0.156	9.7199	-0.0352	-0.0519	-0.0157	-0.0284	22.345	0.0385	0.0025	0.0017	6.3425	62.7403
Random Forest2020.04		0.0027	0.0027	0.0054	0.0002	-0.1046	-0.0028	0.0046	0.0131	0.1415	65.857	0.016	0.289	8.3263	-0.0364	-0.0528	-0.017	-0.0297	19.779	0.0275	0.0025	0.0017	5.203	49.6764
Random Forest2020.04		0.001	0.0019	0.0029	0.0002	-0.1487	-0.005	0.0022	0.0104	0.1606	58.937	0.0168	0.1205	11.7758	-0.0448	-0.066	-0.0197	-0.0357	43.885	0.01	0.0027	0.0019	2.5919	21.2964
LSTM2020.04		0.0009	0.0018	0.0027	0.0002	-0.1565	-0.0054	0.0024	0.0109	0.139	58.405	0.0171	-0.1828	10.1893	-0.0461	-0.0678	-0.0214	-0.0377	35.645	0.0091	0.0027	0.0019	2.3956	19.0217
SP500 Index2020.04		0.0003	0	0.0003	0.0001	-0.0903	-0.0044	0.0006	0.0056	0.1158	53.681	0.0113	-0.1007	11.9396	-0.0313	-0.0451	-0.0177	-0.027	56.775	0.0007	0.0018	0.0013	0.2487	1.7723