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My current neural network maintains a long position going into next week
with a reading of 0.8432 (see http://pweb.netcom.com/~blee3/spindex5.gif).
My more robust "Go Long/Close Short" model (similar but less suspect to
noisy data) is also bullish with a reading of 0.9441 (see
http://pweb.netcom.com/~blee3/spindex4.gif). I currently am up 3% since
January 19, 1999 versus a -1% simple Buy and Hold Strategy of the Index.
Since I am down about 7% for the prior week, I will exit to cash if the
UltraBull fund drops 1 more percent as a stop into the new week. I will
re-enter long or short based on the reading for the coming Friday. In
addition, I just developed another neural net model this afternoon that
exhibits a 70.6% accuracy in forecasting one week ahead the trend of the
S&P 500 Index (up or down). Its accuracy is based on a 143-week
out-of-sample testing period ending last Friday. I broke the model down
into consecutive 10-week periods and analyzed the trending forecast
accuracy for each of the 10-week blocks. The results are as follows: 14%
of the time (2 of 14 weeks) the model forecasted the weekly trend correctly
with an accuracy of 90% (9 of 10 consecutive weeks accurately predicted),
43% of the time (6 of 14 weeks) the model forecasted the weekly trend
correctly with an accuracy of at least 80% (8 or 9 of 10 consecutive weeks
accurately predicted), 57% of the time (8 of 14 weeks) the model forecasted
the weekly trend correctly with an accuracy of at least 70% (7, 8 or 9 of
10 consecutive weeks accurately predicted), 86% of the time (12 of 14
weeks) the model forecasted the weekly trend correctly with an accuracy of
at least 60% (6, 7, 8 or 9 of 10 consecutive weeks accurately predicted),
and finally, 100% of the time (14 of 14 weeks) the model forecasted the
weekly trend correctly with an accuracy of at least 50% (5, 6, 7, 8 or 9 of
10 consecutive weeks accurately predicted). The remaining most recent 3
weeks beginning the new 10-week block was correctly predicted for each of
the 3 weeks (up to and including last Friday's down-trend). The neural
network trending model currently forecasts an up-trend for next Friday's
close as compared to this past Friday's close of 1239.40. - Brian
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