Financial Time Series Forecasting on SP500 benchmark leaderboard · SOTA2 Research

Financial Time Series Forecasting on SP500

1.913Annualized Return (AR)TIPS (Distilled Student)

Evaluation Results

Method
TIPS (Distilled Student)2026.03	1.913	1.506	2.965
TIPS (Distilled Student)2026.03	1.913	1.506	2.965
Bias Teacher Ensemble2026.03	1.511	1.665	2.791
Bias Teacher Ensemble2026.03	1.511	1.665	2.791
Mamba2026.03	1.412	1.834	3.861
Mamba2026.03	1.412	1.834	3.861
Ensemble (Classical Architecture)2026.03	1.295	1.692	3.193
Ensemble2026.03	1.295	1.692	3.193
Transformer2026.03	1.254	1.297	1.881
Transformer2026.03	1.254	1.297	1.881
GRU2026.03	1.026	1.717	2.954
GRU2026.03	1.026	1.717	2.954
LSTM2026.03	0.969	1.728	2.612
LSTM2026.03	0.969	1.728	2.612
RankLSTM2026.03	0.753	1.414	2.138
TCN2026.03	0.727	1.482	2.6
TCN2026.03	0.727	1.482	2.6
MASTER2026.03	0.66	1.281	1.882
Ensemble (Financial Time Series Specialist)2026.03	0.529	1.316	1.816
DLinear2026.03	0.378	0.914	1.168
iTransformer2026.03	0.297	0.811	0.967
StockMixer2026.03	0.272	0.843	0.832
Ensemble (Generic Time Series SOTA)2026.03	0.27	0.938	0.954
AutoFormer2026.03	0.258	0.873	0.871
PatchTST2026.03	0.248	0.936	0.796
TimeMixer2026.03	0.203	0.795	0.732