Neural Net Forecast Update

It is midday on Friday and I’m somewhat anxious to check the forecasts form tradetrek.com. The original predictions can be seen here.

  • GOOG 410/425/450         419
  • IBM 105/108/110+         105
  • YHOO 15/16/17                15.64
  • QCOM 43/45/50+            45.87

So not too bad, unfortunately the sample size is way too small to make any final conclusions but it warrants another look. Additionally a sample forecast in a volatile market environment would give me much greater confidence. Forecasting a stock will be at the same price 5 days from now is probably in itself a good probability bet.

Readers may ask “what can I do with this information”. It is important to remember that forecasting price is notoriously difficult however forecasting volatility is a much better bet and if this can be done at better then random odds, one can search the marketplace for options trading at attractive volatility (cheap vol / expensive vol compared to future forecast). FYI, the long vol is a tougher bet then short vol.

I stumbled across another NN predictor with a pretty sharp proprietor. GlobeStreetJournal.com offers strict directional forecasts (BUY/SELL) on a large universe of indices & FX. The cool thing is it actually keeps track of the accuracy over a variable look back period.

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~ by largecaptrader on June 26, 2009.

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