What are the most successful trading algorithms? (S&P/ASX 200 Index Stock Forecast)


Abstract

We evaluate S&P/ASX 200 Index prediction models with Profit and Paired T-Test1,2,3,4 and conclude that the S&P/ASX 200 Index stock is predictable in the short/long term. According to price forecasts for (n+1 year) period: The dominant strategy among neural network is to Buy S&P/ASX 200 Index stock.


Keywords: S&P/ASX 200 Index, S&P/ASX 200 Index, stock forecast, machine learning based prediction, risk rating, buy-sell behaviour, stock analysis, target price analysis, options and futures.

Key Points

  1. Is now good time to invest?
  2. Is Target price a good indicator?
  3. Stock Forecast Based On a Predictive Algorithm

S&P/ASX 200 Index Target Price Prediction Modeling Methodology

We consider S&P/ASX 200 Index Stock Decision Process with Paired T-Test where A is the set of discrete actions of S&P/ASX 200 Index stock holders, F is the set of discrete states, P : S × F × S → R is the transition probability distribution, R : S × F → R is the reaction function, and γ ∈ [0, 1] is a move factor for expectation.1,2,3,4


F(Paired T-Test)5,6,7= p a 1 p a 2 p 1 n p j 1 p j 2 p j n p k 1 p k 2 p k n p n 1 p n 2 p n n X R(Profit) X S(n):→ (n+1 year) i = 1 n a i

n:Time series to forecast

p:Price signals of S&P/ASX 200 Index stock

j:Nash equilibria

k:Dominated move

a:Best response for target price

 

For further technical information as per how our model work we invite you to visit the article below: 

How do AC Investment Research machine learning (predictive) algorithms actually work?

S&P/ASX 200 Index Stock Forecast (Buy or Sell) for (n+1 year)

Sample Set: Neural Network
Stock/Index: S&P/ASX 200 Index S&P/ASX 200 Index
Time series to forecast n: 31 Aug 2022 for (n+1 year)

According to price forecasts for (n+1 year) period: The dominant strategy among neural network is to Buy S&P/ASX 200 Index stock.

X axis: *Likelihood% (The higher the percentage value, the more likely the event will occur.)

Y axis: *Potential Impact% (The higher the percentage value, the more likely the price will deviate.)

Z axis (Yellow to Green): *Technical Analysis%


Conclusions

S&P/ASX 200 Index assigned short-term Ba3 & long-term B2 forecasted stock rating. We evaluate the prediction models Profit with Paired T-Test1,2,3,4 and conclude that the S&P/ASX 200 Index stock is predictable in the short/long term. According to price forecasts for (n+1 year) period: The dominant strategy among neural network is to Buy S&P/ASX 200 Index stock.

Financial State Forecast for S&P/ASX 200 Index Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*Ba3B2
Operational Risk 8690
Market Risk5438
Technical Analysis3838
Fundamental Analysis8842
Risk Unsystematic5765

Prediction Confidence Score

Trust metric by Neural Network: 92 out of 100 with 728 signals.

References

  1. Chow, G. C. (1960), "Tests of equality between sets of coefficients in two linear regressions," Econometrica, 28, 591–605.
  2. Athey S, Imbens GW. 2017a. The econometrics of randomized experiments. In Handbook of Economic Field Experiments, Vol. 1, ed. E Duflo, A Banerjee, pp. 73–140. Amsterdam: Elsevier
  3. Jiang N, Li L. 2016. Doubly robust off-policy value evaluation for reinforcement learning. In Proceedings of the 33rd International Conference on Machine Learning, pp. 652–61. La Jolla, CA: Int. Mach. Learn. Soc.
  4. Athey S. 2019. The impact of machine learning on economics. In The Economics of Artificial Intelligence: An Agenda, ed. AK Agrawal, J Gans, A Goldfarb. Chicago: Univ. Chicago Press. In press
  5. Athey S, Bayati M, Imbens G, Zhaonan Q. 2019. Ensemble methods for causal effects in panel data settings. NBER Work. Pap. 25675
  6. Swaminathan A, Joachims T. 2015. Batch learning from logged bandit feedback through counterfactual risk minimization. J. Mach. Learn. Res. 16:1731–55
  7. Efron B, Hastie T, Johnstone I, Tibshirani R. 2004. Least angle regression. Ann. Stat. 32:407–99
Frequently Asked QuestionsQ: What is the prediction methodology for S&P/ASX 200 Index stock?
A: S&P/ASX 200 Index stock prediction methodology: We evaluate the prediction models Profit and Paired T-Test
Q: Is S&P/ASX 200 Index stock a buy or sell?
A: The dominant strategy among neural network is to Buy S&P/ASX 200 Index Stock.
Q: Is S&P/ASX 200 Index stock a good investment?
A: The consensus rating for S&P/ASX 200 Index is Buy and assigned short-term Ba3 & long-term B2 forecasted stock rating.
Q: What is the consensus rating of S&P/ASX 200 Index stock?
A: The consensus rating for S&P/ASX 200 Index is Buy.
Q: What is the prediction period for S&P/ASX 200 Index stock?
A: The prediction period for S&P/ASX 200 Index is (n+1 year)

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