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S&P 500 Futures Forecast Performance vs S&P 500 Index – November 2019

Highlights:

  • 87% hit ratio for 1-year forecasting horizon when predicting CME_SP1 futures contract using Regular model
  • 74% hit ratio for 4-days forecasting time frame with CME_SP1 predictions using Short-term model
  • 92% hit ratio for 1-year forecasting periods for SPY ETF using Regular model

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Arbitrage Trading: How Hedge Funds Should Use AI Based Algorithms For Arbitrage Trading

The article was written by David Shabotinsky, a Financial Analyst at I Know First, and enrolled at an undergraduate Finance program at the Interdisciplinary Center, Herzliya.

Arbitrage Trading

All things excellent are as difficult as they are rare.”-Benjamin Graham, The Intelligent Investor

Free lunch, or riskless profit. The idea seems theoretically impossible, as any intro economics course will explain that free lunch is impossible. This article will come to explain; why seemingly riskless strategies should incorporate AI based algorithms.

Summary:

  • Arbitrage opportunities are hard to locate but knowing which types exist can help investors watch for them
  • Hedge Funds today too many errors for the high costs that accompany them
  • I Know First Algorithm’s competitive advantages and usage in the market can subsitute/assist hedge funds
  • Barrier of entry for algorithmic trading firms

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Performance Report of I Know First’s AI-Predictive System for ETF Universe – Beating SPY

Early upon the launch of I Know First’s forecasting algorithm, we implemented our AI-based ranking and forecasting model for a selection of 100 ETFs in the U.S. market. Since then, I Know First began to issue ETF forecasts for our global subscribed investors.

According to our forecast evaluation results, the predictions generated returns greatly surpassing that of the benchmark we have utilized, namely, the SPDR S&P 500 Trust ETF (NYSE: SPY) which tracks the S&P 500 stock market index.

For each covered ETF, the forecasts are generated daily for 5 main time horizons, expressed in calendar days or months: 3 days, 7 days, 14 days, 1 month and 3 months.

The daily updated forecast consists of two numbers: the signal which indicates the predicted direction and strength of the ETF’s movement in the respective time frame, and the predictability which indicates how predictable the algorithm considers the ETF’s movements to be.

Currently, I Know First’s AI-based forecasting system covers 100 ETFs in total in the U.S. market, which are shown in the table below by their tickers.

Table 1: I Know First’s ETF Coverage

 

AI Added Value to the Investors

The predictive AI system can be used by investors/traders to make smarter investment decisions by:

Identifying promising opportunities in the U.S

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Machine Learning Trading: AI-based Systematic Trading Strategies – Suitable for Mutual Funds and Other Investment Vehicles (S&P 500 stocks universe)

We present recent developments on the utilization of I Know First’s AI-based forecasting signals for less frequent systematic trading

These are highly performing and scalable strategies, average holding period of 4.5 to 30 days, that are suitable for mutual fund products and other investment vehicles

Market Data: Price Increase on Market Data Fuels Backlash

BlairThe article was written by Blair Goldenberg, a Financial Analyst at I Know First, and enrolled in a Masters of Finance at Colorado State University.

Market Data

Price Increase on Market Data Fuels Backlash

Summary

  • Market Data
  • Changes on Wall Street
  • Competition on Market Data
  • Effects of the Price Increase

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