Stock Forecast Algorithm: Updated algorithm Performance (February 24 2013 )
Updated algorithm performance: These are the current top 20 best predictable equities by 14 days predictability.
This performance is based on the last 120 days predictions,
There is daily parameter that indicating the forecast performance: the predictability.
The "strength" of the prediction is the Predictability P, which ranges theoretically between minus 1 to plus 1.
This metric is an adaptation of the Pearson correlation coefficient. Negative P means the actual market move was the opposite of prediction. Zero P means no correlation between the prediction and the actual market move. P=1 means perfect correlation between actual market movement and its predicted change. Any value of P above zero means positive predictability, the higher the better. Zero P means no correlation between the prediction and actual market movement. Negative P means the actual market movement was against prediction. For stocks we monitor and predict the Predictability P ranges generally between P=0.2 and P=0.7.
The most predictable markets today:
- AGU
- EUR/JPY
- KOREA KOSPI Composite Index (^KS11)
- USD/INR
- CORN
- Indonesia Composite Index (^JKSE)
- GS
- MERVAL BUENOS AIRES (^MERV)
- RHT
- MORGAN STANLEY HEALTHCARE PRODU (^RXP)
- USD/ILS
- PC
- Dow Jones index
- ADM
- EXPE
- Treasury Yield 5 Years (^FVX)
- CHEMICALS INDEX Chicago Options: (^CEX)
- FORTY
- FTSE index
- LEUMI