Solution - Simple Forecasting Market#
# Output from previous execution
| SPY | |
|---|---|
| date | |
| 2025-08-31 | 0.0205 |
| 2025-09-30 | 0.0356 |
| 2025-10-31 | 0.0238 |
| DP | EP | CAPE | BP | T10YR | CREDIT | VIX | |
|---|---|---|---|---|---|---|---|
| date | |||||||
| 2025-08-31 | 1.20 | 3.73 | 36.21 | 18.90 | 4.23 | 174.16 | 15.36 |
| 2025-09-30 | 1.17 | 3.60 | 37.38 | 18.30 | 4.15 | 164.17 | 16.28 |
| 2025-10-31 | 1.14 | 3.52 | 38.15 | 17.89 | 4.08 | 167.25 | 17.44 |
# Output from previous execution
# Output from previous execution
| Mean | Vol | Sharpe | Min | Max | |
|---|---|---|---|---|---|
| passive | 0.1132 | 0.1477 | 0.7665 | -0.1652 | 0.1270 |
| tilt | 0.1284 | 0.1668 | 0.7698 | -0.2480 | 0.1904 |
# Output from previous execution
| passive | tilt | |
|---|---|---|
| passive | 1.0000 | 0.8940 |
| tilt | 0.8940 | 1.0000 |
# Output from previous execution
# Output from previous execution
# Output from previous execution
# Output from previous execution
| Mean | Vol | Sharpe | Min | Max | |
|---|---|---|---|---|---|
| passive | 0.1128 | 0.1478 | 0.7629 | -0.1652 | 0.1270 |
| tilt | 0.1283 | 0.1670 | 0.7685 | -0.2480 | 0.1904 |
| continuous | 0.1299 | 0.1803 | 0.7207 | -0.2612 | 0.2068 |
# Output from previous execution
| passive | tilt | continuous | |
|---|---|---|---|
| passive | 1.0000 | 0.8941 | 0.9088 |
| tilt | 0.8941 | 1.0000 | 0.9530 |
| continuous | 0.9088 | 0.9530 | 1.0000 |
# Output from previous execution
# Output from previous execution
# Output from previous execution
| EP | |
|---|---|
| alpha | -0.0049 |
| beta | 0.0027 |
| r-squared | 0.0065 |
# Output from previous execution
| Mean | Vol | Sharpe | Min | Max | |
|---|---|---|---|---|---|
| passive | 0.1128 | 0.1478 | 0.7629 | -0.1652 | 0.1270 |
| tilt | 0.1283 | 0.1670 | 0.7685 | -0.2480 | 0.1904 |
| continuous | 0.1299 | 0.1803 | 0.7207 | -0.2612 | 0.2068 |
| regression | 0.0986 | 0.1207 | 0.8169 | -0.1645 | 0.1340 |
# Output from previous execution
| passive | tilt | continuous | regression | |
|---|---|---|---|---|
| passive | 1.0000 | 0.8941 | 0.9088 | 0.9332 |
| tilt | 0.8941 | 1.0000 | 0.9530 | 0.9523 |
| continuous | 0.9088 | 0.9530 | 1.0000 | 0.9917 |
| regression | 0.9332 | 0.9523 | 0.9917 | 1.0000 |
# Output from previous execution
# Output from previous execution
# Output from previous execution
| DP | |
|---|---|
| alpha | -0.0049 |
| beta | 0.0076 |
| r-squared | 0.0068 |
# Output from previous execution
| Mean | Vol | Sharpe | Min | Max | |
|---|---|---|---|---|---|
| passive | 0.1128 | 0.1478 | 0.7629 | -0.1652 | 0.1270 |
| tilt | 0.1201 | 0.1585 | 0.7576 | -0.2480 | 0.1904 |
| continuous | 0.1007 | 0.1575 | 0.6391 | -0.2656 | 0.2503 |
| regression | 0.0993 | 0.1166 | 0.8515 | -0.1706 | 0.1670 |
# Output from previous execution
| passive | tilt | continuous | regression | |
|---|---|---|---|---|
| passive | 1.0000 | 0.8827 | 0.8265 | 0.9152 |
| tilt | 0.8827 | 1.0000 | 0.9284 | 0.9272 |
| continuous | 0.8265 | 0.9284 | 1.0000 | 0.9474 |
| regression | 0.9152 | 0.9272 | 0.9474 | 1.0000 |
# Output from previous execution
