Daily Return Forecasting on S&P 500 Next Day
0.0026Mean Return (Long)Random Forest
Evaluation results
| Method | Links | |||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Random ForestModel Architecture=RF, Feature Setting=1-Feature2020.04 | 0.0026 | 0.0013 | 0.0039 | 0.0002 | -0.1342 | -0.0051 | 0.0029 | 0.0116 | 0.2814 | 59.479 | 0.0183 | 1.412 | 19.8349 | -0.0432 | -0.0592 | -0.0208 | -0.0345 | 23.155 | 1.5381 | 0.2907 | 0.1869 | 3.2334 | 30.0753 | |
| LSTMModel Architecture=LSTM, Feature Setting=1-Feature2020.04 | 0.0026 | 0.0016 | 0.0041 | 0.0002 | -0.1713 | -0.0052 | 0.0035 | 0.0129 | 0.1988 | 60.598 | 0.0196 | 0.3682 | 10.8793 | -0.0492 | -0.0712 | -0.0234 | -0.0401 | 42.551 | 1.6888 | 0.3114 | 0.212 | 3.2273 | 27.8835 |