# Daily Return Forecasting on S&P 500 Next Day

Source: [Daily Return Forecasting on S&P 500 Next Day](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day>)

Collection index: [llms.txt](<https://www.sota2.com/research/llms.txt>)

Data updated: 2026-02-26T05:52:20.135Z

Evaluation of models predicting the next day's return direction and magnitude for the S&P 500 index, utilizing specialized financial performance metrics such as Sharpe Ratio, Value at Risk (VaR), and Conditional Value at Risk (CVaR).

A research result applies to its stated dataset, split, metric and evaluation configuration. Compare like-for-like settings, preserve the metric's unit and direction, and distinguish paper-reported results from independent reproduction. The best result recorded here is not a claim of exhaustive, current global coverage.

| Scope | Recorded value |
| --- | --- |
| Task | Daily Return Forecasting |
| Dataset (including any stated split) | S&P 500 Next Day |
| Metric | Mean Return (Long) |
| Unit | SCALAR |
| Direction | Higher is better |
| Results loaded | 2 of 2 |
| Coverage | All results currently returned for this benchmark |

Evaluation settings may differ between results. The original papers and recorded configurations are needed to establish comparability. A shared metric name alone does not establish an identical protocol.

## Metrics

- [Mean Return (Long)](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Mean%20Return%20(Long)>): Higher is better; unit: SCALAR.

- [Mean Return (Short)](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Mean%20Return%20(Short)>): Higher is better; unit: SCALAR.

- [Mean Return (Overall)](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Mean%20Return%20(Overall)>): Higher is better; unit: SCALAR.

- [Standard Error](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Standard%20Error>): Lower is better; unit: SCALAR.

- [Minimum Return](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Minimum%20Return>): Lower is better; unit: SCALAR.

- [Return Q1 (25th Percentile)](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Return%20Q1%20(25th%20Percentile)>): Lower is better; unit: SCALAR.

- [Median Return](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Median%20Return>): Higher is better; unit: SCALAR.

- [Return Q3 (75th Percentile)](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Return%20Q3%20(75th%20Percentile)>): Higher is better; unit: SCALAR.

- [Maximum Return](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Maximum%20Return>): Higher is better; unit: SCALAR.

- [Win Rate (\>0 Return)](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Win%20Rate%20(%3E0%20Return)>): Higher is better; unit: PERCENT.

- [Std Dev (Return Volatility)](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Std%20Dev%20(Return%20Volatility)>): Lower is better; unit: SCALAR.

- [Skewness](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Skewness>): Higher is better; unit: SCALAR.

- [Kurtosis](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Kurtosis>): Lower is better; unit: SCALAR.

- [VaR (1%)](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=VaR%20(1%25)>): Higher is better; unit: SCALAR.

- [CVaR (1%)](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=CVaR%20(1%25)>): Higher is better; unit: SCALAR.

- [VaR (5%)](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=VaR%20(5%25)>): Higher is better; unit: SCALAR.

- [CVaR (5%)](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=CVaR%20(5%25)>): Higher is better; unit: SCALAR.

- [Max Drawdown](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Max%20Drawdown>): Lower is better; unit: PERCENT.

- [Avg Return (Annualized)](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Avg%20Return%20(Annualized)>): Higher is better; unit: PERCENT.

- [Std Dev (Annualized)](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Std%20Dev%20(Annualized)>): Lower is better; unit: PERCENT.

- [Downside Deviation (Annualized)](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Downside%20Deviation%20(Annualized)>): Lower is better; unit: PERCENT.

- [Sharpe Ratio](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Sharpe%20Ratio>): Higher is better; unit: SCALAR.

- [Sortino Ratio](<https://www.sota2.com/research/sota/daily-return-forecasting-on-s-and-p-500-next-day.md?metric=Sortino%20Ratio>): Higher is better; unit: SCALAR.

## Recorded results

| Method | Mean Return (Long) | Result date | Report paper |
| --- | --- | --- | --- |
| Random Forest | 0.00259 | Not recorded | 68fa6a471e209131cea27445 |
| LSTM | 0.00257 | Not recorded | 68fa6a471e209131cea27445 |

### Random Forest

Mean Return (Long): 0.00259. Result ID: 698e27cfffc3901de09b3c7a.

[Reporting paper](<https://www.sota2.com/research/paper/68fa6a471e209131cea27445.md>)

[Method origin paper](<https://www.sota2.com/research/paper/68fa6a471e209131cea27445.md>)

[Implementation](<https://github.com/pushpendughosh/Stock-market-forecasting>)

Recorded evaluation configuration: {"Model Architecture":"RF","Feature Setting":"1-Feature"}. This record does not assert independent reproduction.

### LSTM

Mean Return (Long): 0.00257. Result ID: 698e27cfffc3901de09b3c79.

[Reporting paper](<https://www.sota2.com/research/paper/68fa6a471e209131cea27445.md>)

[Method origin paper](<https://www.sota2.com/research/paper/68fa6a471e209131cea27445.md>)

[Implementation](<https://github.com/pushpendughosh/Stock-market-forecasting>)

Recorded evaluation configuration: {"Model Architecture":"LSTM","Feature Setting":"1-Feature"}. This record does not assert independent reproduction.

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