MarketTrak's Forecast of the SP500


SP500 Forecast Summary

  This Page was Modified on:  Wednesday, 12/04/19 20:02 MST

  Forecasts Based on Data Entered after the Close on:  Monday, 12/02/19

  1-Day Network Model Forecast for Trading on Tuesday:   LONG

  1-Day Network Model ANO Value:  0.1719    [ version 49.0 since 10/10/2019 ]

  Long Position Setpoint:  0.100       Short Position Setpoint:  -0.100

  SP500 Close:  3113.87       SP500 Trailing Stop Setpoint:  2958.18

  5-, 10-, and 15-day network model ANO values and trends:    + 0.74      + 0.79      + 0.45  

  Swing Trade Model Forecasts with Signal Trends:

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


Notices/Comments:

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The 1-day network model moved from a short position today to a long positon for trading tomorrow (Tuesday). Set tight stops. The swing trade models are in cash.

NOTICE:  We are taking a break from doing daily forecast updates. Expect us to be back to our normal routine in early January. Until then, our plan is to update about once a week.




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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
 
 Y-T-D
 165 Days
45 Days
 Buy and hold return
  24.21 percent
  7.53 percent
  5.13 percent
 Forecast model return
  29.16 percent
  11.54 percent
  11.38 percent
 Max model drawdown
  2.98 percent
  2.98 percent
  1.09 percent
 Total stops
 0
 0
 0
 Days long
 166
 115
 33
 Days cash
 61
 45
 8
 Days short
 5
 5
 4
 Trading days
 232
 165
 45


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
    191111    3087.01    0.7994    89.00    11.00     0.00    LONG   
    191112    3091.84    0.5513    77.00    23.00     0.00    LONG   
    191113    3094.04    0.8703    93.00     7.00     0.00    LONG   
    191114    3096.63    0.4051    70.00    30.00     0.00    LONG   
    191115    3120.46    0.1805    59.00    41.00     0.00    LONG   
    191118    3122.03    0.6061    80.00    20.00     0.00    LONG   
    191119    3120.18    0.1577    57.00    43.00     0.00    LONG   
    191120    3108.46    0.3276    66.00    34.00     0.00    LONG   
    191121    3103.54    0.0428    52.00    48.00     0.00    CASH   
    191122    3110.29    0.2779    63.00    37.00     0.00    LONG   
    191125    3133.64    0.6451    82.00    18.00     0.00    LONG   
    191126    3140.52    0.6482    82.00    18.00     0.00    LONG   
    191127    3153.63    0.6325    81.00    19.00     0.00    LONG   
    191129    3140.98   -0.1146    44.00    56.00     0.00    SHORT  
    191202    3113.87    0.1719    58.00    42.00     0.00    LONG   

    where:
    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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