Executive Summary
The purpose of this report is to present the results of live forecast performance evaluation for I Know First AI Algorithm, specifically for Singaporean stock market. The following results were observed when signal and predictability filters were applied in order to pick the best performing stocks out of the most predictable ones. The period under evaluation is from January 3
rd,2018 to September 30
th, 2018. The corresponding returns distribution of stock filters (stocks subsets) for both Singaporean stock market universe and the main findings are below:
Singaporean Stock Market Universe Highlights:
- Signal indicator filter applied to Top 30 most predictable stocks provides the highest return of 4.66% for Top 5 stocks on 3-months’ investment horizon
- There is a clear increasing trend for returns improvement with the time horizon increase – the delta in returns from 1 month to 3 months is more than 350% for Top 5 stocks
- Top 5 stocks significantly out-perform the benchmark by over 210%
The above results were obtained based on forecasts’ evaluation over the specific time period using consecutive filtering approach – by predictability, then by signal, to give general overview of the forecasting capabilities of the algorithm for specific stock universe.
