Event-Driven Financial Forecasting on S&P500 latest (test)
3.38MSEGS-Fuse
Evaluation results
| Method | Links | ||||
|---|---|---|---|---|---|
| GS-FuseBackbone=LLaMA + MOMENT, Horizon=L=352026.05 | 3.38 | 11.44 | 53.16 | 1.92 | |
| GS-FuseBackbone=LLaMA + MOMENT, Horizon=L=702026.05 | 3.98 | 12.48 | 53.84 | 1.25 | |
| GS-FuseBackbone=LLaMA + MOMENT, Horizon=L=1402026.05 | 6.6 | 15.67 | 56.03 | 0.79 | |
| TESTHorizon=L=1402026.05 | 9.93 | 22.32 | 45.57 | -0.47 | |
| KronosHorizon=L=352026.05 | 10.17 | 24.08 | 49.55 | 0.12 | |
| TESTHorizon=L=702026.05 | 10.69 | 24.71 | 50.49 | 1.36 | |
| TESTHorizon=L=352026.05 | 13.65 | 17.01 | 46.3 | -0.61 | |
| KronosHorizon=L=702026.05 | 15.8 | 36.88 | 48.43 | -0.07 | |
| ChronosHorizon=L=352026.05 | 21.19 | 30.43 | 53.7 | 0.34 | |
| MomentHorizon=L=352026.05 | 22.19 | 30.86 | 49.98 | 0 | |
| TimeCMAHorizon=L=352026.05 | 32.43 | 39.6 | 49.47 | 0.16 | |
| TimesFMHorizon=L=352026.05 | 34.4 | 33.05 | 50.57 | 1.16 | |
| ChronosHorizon=L=702026.05 | 42.75 | 44.39 | 53.59 | 1 | |
| MomentHorizon=L=702026.05 | 43.86 | 45.23 | 49.72 | 0.02 | |
| TimesFMHorizon=L=702026.05 | 47.92 | 48.3 | 51.72 | 1.24 | |
| FEDformerHorizon=L=352026.05 | 52.82 | 53.01 | 54.29 | 0.81 | |
| ARIMAHorizon=L=352026.05 | 52.95 | 52.98 | 52.58 | 0.61 | |
| iTransformerHorizon=L=352026.05 | 52.98 | 53.12 | 49 | -0.56 | |
| AutoformerHorizon=L=352026.05 | 55.95 | 55.18 | 50.86 | 1.08 | |
| ARIMAHorizon=L=702026.05 | 62.35 | 57.65 | -0.36 | 1.26 | |
| iTransformerHorizon=L=702026.05 | 63.53 | 58.17 | 51.43 | -0.15 | |
| GPT4MTSHorizon=L=352026.05 | 64.41 | 60.31 | 46.5 | -1.42 | |
| TimeCMAHorizon=L=702026.05 | 65.14 | 58.74 | 48.52 | -0.06 | |
| FEDformerHorizon=L=702026.05 | 65.4 | 60.17 | 53.46 | 0.68 | |
| GPT4MTSHorizon=L=702026.05 | 72.16 | 59.09 | 51.14 | 0.69 | |
| AutoformerHorizon=L=702026.05 | 73.57 | 63.4 | 50.43 | 1.13 | |
| ChronosHorizon=L=1402026.05 | 77.74 | 62.22 | 53.91 | 0.46 | |
| DlinearHorizon=L=352026.05 | 81.36 | 68.78 | 45.27 | -1.18 | |
| MomentHorizon=L=1402026.05 | 85.06 | 64.77 | 52.37 | 0.44 | |
| KronosHorizon=L=1402026.05 | 85.39 | 90.82 | 51.69 | 0.26 | |
| GPT4MTSHorizon=L=1402026.05 | 87.86 | 72.62 | 51.23 | 0.08 | |
| TimesFMHorizon=L=1402026.05 | 95.16 | 69.45 | 53.08 | 0.75 | |
| DlinearHorizon=L=702026.05 | 100.29 | 77.45 | 54.01 | 1.13 | |
| ARIMAHorizon=L=1402026.05 | 101.25 | 60.12 | 50.36 | -0.19 | |
| iTransformerHorizon=L=1402026.05 | 103.3 | 73.82 | 49.64 | -0.06 | |
| AutoformerHorizon=L=1402026.05 | 115.67 | 78.18 | 51.94 | 0.14 | |
| FEDformerHorizon=L=1402026.05 | 115.96 | 78.48 | 49.16 | 0.42 | |
| TimeCMAHorizon=L=1402026.05 | 130.52 | 84.43 | 48.76 | 0 | |
| DlinearHorizon=L=1402026.05 | 223.97 | 118.85 | 44.48 | -0.51 |