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.

Bearish Current regime: Global Updated: 2026-03-13 23:09
Forecast horizon
Target month 2026-03-13
Feature month 2026-03-06
Expected return -1.20%
Expected band -3.58% - +1.18%
Probability of gains 7.8%
Directional hit rate 60.0%
2-week drawdown risk 86.5%
Guard trigger 2W DD -1.5% / 50%
Backtest observations 60
MAE 1.60%
RMSE 2.38%

One-week-ahead predicted and realized returns

The blue line is the one-week-ahead return forecast from each week-end information set, the pale blue bars are the realized weekly returns, and the orange line shows the probability of an up week.

Equity curve if the 1W signal were traded

Comparison assumptions: the threshold variant skips weeks when the absolute forecast return is below 1.00%, the probability filter uses 60% / 40% cutoffs, and crash guard flips to short when the probability of a worse-than -1.5% drawdown over the next two weeks reaches 50% or more.

Long + short Go long for the next forecast horizon when the return forecast is positive, and short when it is negative.
Strategy cumulative return -
Vs. buy & hold -
Buy & hold cumulative return -
Sample span -
Strategy annualized return -
Buy & hold annualized -
Strategy max drawdown -
Hit rate -
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.

S&P 500 Index +0.07pt
VIX9D minus VIX3M +0.04pt
US 10Y minus policy rate +0.02pt
S&P 500 6M volatility +0.00pt
S&P 500 12M drawdown +0.00pt

Downside drivers

The indicators that pushed the current return forecast lower.

Philadelphia Fed GDPplus -0.12pt
Federal Funds Rate -0.10pt
US real rate proxy -0.09pt
World WTI Spot Price -0.05pt
SKEW index -0.01pt

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 34 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%.