Market prediction based on macroeconomic indicators - page 57
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To Peter: I am not predicting the S&P500 directly. The purpose of this paper is to predict recessions in order to get out of the market before they occur and improve the profitability of the buy&hold strategy. Although the S&P500 contains stocks of 500 companies, it is driven by institutional investors who buy and sell the index itself (or its options), not its components. 13% a year doesn't seem like much, but enough for big money where turnover is important. Bernie Madoff attracted his clients by promising them a modest 10% a year, which he failed to achieve.
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So, what is the forecast for the S&P500 ?
Specific. Nearest movements and levels.
I'm sorry, but all this for 5-13% a year??? It's not worth it.)
That depends on how you look at it.
Thank you, the position is clear.
I do not understand the question. It is like a philosophicalquestion: what was created first, the universe or the laws of physics by which it evolves? If you believe that we live in a simulation, then mathematics and the laws of physics werecreated before the universe. In any case, mathematics allows us to describe what is going on around us. About the mathematical approach: the approach is correct if it works. If my approach stops predicting recessions, I will change it. By the way, I don't use neural networks. You don't need them if you only have 3 indicators. Everything is quite prosaic: if one indicator moves in one direction, and another indicator moves in another, and the third in the third, then the recession signal is output. Of course you can do it by eye or intuitively, but it is easier on the computer.
Econophysics says otherwise).
Higher mathematics is of course very fascinating, according to your forecast S&P500 from 2019 there is no sell and buy signal, but if you look at the chart you will notice that the price went up by exactly the NOT forecasted 13% per year, and if you consider the high volatility of this year associated with covids you could earn by buying and selling and buying again up to 50% per year.
What is wrong with the forecast?
I don't understand the question. Sort of a philosophicalquestion: which was created first, the universe or the laws of physics by which it evolves? If you believe that we live in a simulation, then mathematics and the laws of physics werecreated before the universe. In any case, mathematics allows us to describe what is going on around us. About the mathematical approach: the approach is correct if it works. If my approach stops predicting recessions, I will change it. By the way, I don't use neural networks. You don't need them if you only have 3 indicators. Everything is quite prosaic: if one indicator moves in one direction and another indicator moves in the other, and the third in the third, then the recession signal is output. You can of course use your eye and intuitively, but it is easier on the computer.
Higher mathematics is of course very fascinating, according to your forecast S&P500 from 2019 there is no sell and buy signal, but if you look at the chart you will notice that the price went up by exactly the NOT forecasted 13% per year, and if you consider the high volatility of this year associated with covids you could earn by buying and selling and buying again up to 50% per year.
What is wrong with the forecast?
Again, my method does not predict the S&P500. It predicts recessions. The 2020 recession is not over yet. There is no problem with the forecast.
50% a year steady is utopia. It may succeed in one year with a small investment, but then it is just as quickly drained.
1. predictors are chosen based on their ability to predict recessions. The selection is made automatically, without my influence or opinion.
2. the scale of evaluation is how much more profitable the proposed buy&sell strategy is than buy&hold
3. the historical plots are limited to the depth of history of individual economic performance
The only possible criticism is that the historical results do not guarantee the accuracy of predicting recessions in the future. All the results of the chart shown have been fitted to history except for the last recession signal in December 2019.
For a constructive dialogue I suggest comparing the accuracy of my system/model with other fundamental or thechnical recession prediction systems. You could also compare the yield + drawdown of my system to other systems trading the S&P500.