S&P 500 Outlook
This page aligns US growth, rates, labour, sentiment, and commodity data and shows both one-week-ahead and one-month-ahead outlooks. Return magnitude comes from a regression ensemble, while direction comes from direct classification.
Equity curve if the 1W signal were traded
Long + short
Go long for the next forecast horizon when the return forecast is positive, and short when it is negative.
The top panel shows cumulative equity curves for each strategy; the lower panel shows weekly returns for the selected strategy against buy & hold. Both curves start at 100.
Performance by strategy
| Strategy | Cumulative return | Annualized | Max drawdown | Hit rate | Active entries | Trades |
|---|
Upside drivers
The indicators that pushed the current return forecast higher.
Downside drivers
The indicators that pushed the current return forecast lower.
Model setup
This is a statistical read on macro and market conditions, not a direct trading signal.
- The target is the next one-week S&P 500 return.
- The weekly view is aligned to Friday closes and the monthly view to month-end closes. Monthly and quarterly indicators are lagged to reflect release timing before they enter the feature set.
- Each run retrains the regression ensemble for return size and the direct classifiers for direction using 36 engineered features built from 16 input series.
- The one-week and one-month models use different training windows and feature mixes. The one-month model also layers KMeans-based regime experts on top of the global model. Return magnitude blends tree 70%, linear 20%, and sign-conditioned return 10%; up-probability blends the tree classifier 60% and linear classifier 40%.