MarketTrak's Forecast of the SP500

SP500 Forecast Summary

  Last Forecast Page Update:  Thursday, 10/17/19 20:02 MDT

  Stock Market Closing Data Entered for Date:  Thursday, 10/17/19

  1-Day Network Model Trading Position for Friday LONG

  Network Model ANO Value:  0.7014    [ version 49.0 since 10/10/2019 ]

  Long Position Setpoint:  0.100       Short Position Setpoint:  -0.100

  SP500 Close:  2997.95       SP500 Trailing Stop Setpoint:  2848.05

  5-, 10-, and 15-day network model ANO values and trends:    + 0.30      + 0.41      + 0.32  

  Swing Trade Model Forecasts with Signal Trends:

      DJIA [DIA]:  LONG   ,     SP500 [SPY]:  LONG   ,     NASDAQ 100 [QQQ]:  LONG  


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The 1-day neural network model remains long for trading on Friday. Keep tight stops. All three swing trade models remain long.

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There are three long-term SP500 network forecast models in addition to the 1-day model. Their ANO values and ANO trend arrows are shown above. Because the forecast is a prediction of the forward slope, we should see a delay in the expected change in index prices. The delay is about one-half of the forecast horizon days away. This means that if the 10-day model goes negative today, we would expect the market to turn down in about 5 days. The long term models are experimental and are presented here for information purposes only. Their accuracy, which varies considerably over time, is usually greater than 60 percent based on a 90 day average. Click here for more information on how the long-term forecasts are defined.

There are three swing trade models. One for the SP500, one for the DJIA, and another for the NASDAQ 100. The results of the forecast analysis of these three are shown above. Currently, these models will only be either long or in cash. This will change in the future. The swing trade model is quite different from the neural network model used to make the four SP500 network forecasts. The swing trade model is based on a decision table paradigm whereas the network model is based on a neural network architecture. A genetic programming algorithm is used to create a neural network. An evolutionary programming algorithm is used to create a decision table. The network model is a numerical calculation while the decision table is more logical than numerical. The swing trade model trades less frequently than a network model and its signal may lag the market by a day or two. The network model will anticipate a change in market direction. The network model will do better in a volatile market while the swing trade model will do better in a trending market.

This forecast is updated each day before 3:00 PM MT leaving at least three hours for after-hours trading.

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About the Forecast:    We use an advanced neural network forecast model and an evolutionary training algorithm to forecast the direction of the SP500 over the next trading day. The output of the forecast model (ANO) is a numerical value that ranges from minus one (-1.0) to plus one (+1.0), with -1.0 being a very strong indication that the market will close DOWN the next trading day and +1.0 being a very strong indication that the market will close UP the next trading day. A value near zero would indicate a neutral or flat market. We translate this output into a long, short, or cash trading position for the SP500 Spiders (symbol SPY) or the Dow Diamonds (symbol DIA). The position is determined from the current ANO value and setpoints which are shown in the Summary above. When the ANO rises above the long setpoint, a long position is given. When the ANO falls below the short setpoint, a short position is given. A cash position is indicated when the ANO lies between these two points. A five percent trailing stop is specified to reduce risk when either a long or short position is indicated. The forecast is updated after the session close and is usually posted here before 3:00 PM MT. Because of the timing of the update, trades may be made in the extended sessions or at open of the next trading day. Results for the last 165 trading days are shown in the two charts below. The vertical grid lines in these charts are 10 trading days apart. This forecast when properly combined with other technical and fundamental indicators may help you in your investment decisions. Please read our disclaimer below.

Model Results:   The results of our model calculations for the last 165 trading days are shown in the two charts below:

The different color regions in the first chart correspond to the three possible trading positions. The second chart shows the trading positions as determined by the forecast model.

Performance Data:  Performance of the forecast model is shown in the table below. The results are edited for three time periods. The first column of data shows results since the beginning of this year (Y-T-D). The second column of data shows results for the last 165 trading days, and the third column shows results for the last 45 trading days or about the last two months. The drawdown is the maximum drop in any position's value during the total days shown. The table below and the charts above include results of previous model versions. Most of these results are blind predictions. Results after the install of the current version (49.0) are totally blind. Page Top

Forecast Model Performance
 165 Days
45 Days
 Buy and hold return
  19.59 percent
  7.35 percent
  5.54 percent
 Forecast model return
  21.83 percent
  7.66 percent
  12.35 percent
 Max model drawdown
  2.98 percent
  2.98 percent
  2.43 percent
 Total stops
 Days long
 Days cash
 Days short
 Trading days

Model Output Data:  The table below shows the results of calculations using our neural network forecast model. The data in the table were computed by averaging the results of more than 200 networks trained on 7800 days of stock market data.

Forecast Model Output (Last 15 trading days)

     Date      SP500      ANO      LONG     SHORT     CASH    POS
    190927    2961.79    0.7469    87.00    13.00     0.00    LONG   
    190930    2976.74   -0.1044    44.00    56.00     0.00    SHORT  
    191001    2940.25   -0.1372    43.00    57.00     0.00    SHORT  
    191002    2887.61    0.4573    72.00    28.00     0.00    LONG   
    191003    2910.63    0.8875    94.00     6.00     0.00    LONG   
    191004    2952.01   -0.0874    45.00    55.00     0.00    CASH   
    191007    2938.79   -0.0464    47.00    53.00     0.00    CASH   
    191008    2893.06   -0.0775    46.00    54.00     0.00    CASH   
    191009    2919.40    0.6032    80.00    20.00     0.00    LONG   
    191010    2938.13   -0.1243    43.00    57.00     0.00    SHORT  
    191011    2970.27    0.7121    85.00    15.00     0.00    LONG   
    191014    2966.15   -0.0902    45.00    55.00     0.00    CASH   
    191015    2995.68    0.3671    68.00    32.00     0.00    LONG   
    191016    2989.69    0.2987    64.00    36.00     0.00    LONG   
    191017    2997.95    0.7014    85.00    15.00     0.00    LONG   

    DATE is the date of the data entry,
    SP500 is the closing SP500 value for the date shown,
    ANO is the Average Network Output (see our model details),
    LONG is the percent of networks indicating a long position,
    SHORT is the percent of networks indicating a short position,
    CASH is the percent of networks indicating a cash position,
    POS is the trading position at the close.

Disclaimer:  Our models are experimental and can change at any time. You may use our forecast as long as you totally agree with the following terms and conditions: Our mission is to make our forecast the best available, but we do not guarantee its accuracy or profitability. We provide the forecast on an “as is” and “as available” basis without any warrantee of any kind. Specifically, MarketTrak disclaims any and all warranties, expressed or implied, including without limitation warranties of merchantability, profitability, and fitness for a particular purpose. In no event shall you hold MarketTrak liable for any direct, indirect, incidental, punitive, or consequential damages of any kind whatsoever. You bear full responsibility for your own investment research and investment decisions. Nothing in our forecasts should be interpreted as a recommendation or solicitation to buy or sell any security, or to take any specific action. The opinions or comments expressed may change without notice. You determine if and how the forecast is used in your investments. You recognize that past performance does not indicate future results. Click here for a complete disclosure of our disclaimer. Page Top

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