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Market Measures - August 8, 2025 - Duration Bias in Price Range Forecasts

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Manage episode 499040820 series 68544
Content provided by tastylive. All podcast content including episodes, graphics, and podcast descriptions are uploaded and provided directly by tastylive or their podcast platform partner. If you believe someone is using your copyrighted work without your permission, you can follow the process outlined here https://podcastplayer.com/legal.
Tasty Live's research team examined how well expected price ranges forecast market movements across different time frames. Using 25 years of SPY data, they found that VIX-based estimates accurately capture price movements 83-84% of the time for forecasts between 10-100 days. Accuracy diminishes with longer timeframes, dropping to 67% for 365-day forecasts. Of the instances when prices exceeded the expected annual range, 84% broke to the upside, with prices ending about 6.2% higher than the upper estimate – reflecting the persistent bull market. The findings reinforce why the 45-day trading timeframe is optimal, as forecasts maintain peak accuracy around 83-84% in that range while balancing time decay and predictability.
  continue reading

1726 episodes

Artwork
iconShare
 
Manage episode 499040820 series 68544
Content provided by tastylive. All podcast content including episodes, graphics, and podcast descriptions are uploaded and provided directly by tastylive or their podcast platform partner. If you believe someone is using your copyrighted work without your permission, you can follow the process outlined here https://podcastplayer.com/legal.
Tasty Live's research team examined how well expected price ranges forecast market movements across different time frames. Using 25 years of SPY data, they found that VIX-based estimates accurately capture price movements 83-84% of the time for forecasts between 10-100 days. Accuracy diminishes with longer timeframes, dropping to 67% for 365-day forecasts. Of the instances when prices exceeded the expected annual range, 84% broke to the upside, with prices ending about 6.2% higher than the upper estimate – reflecting the persistent bull market. The findings reinforce why the 45-day trading timeframe is optimal, as forecasts maintain peak accuracy around 83-84% in that range while balancing time decay and predictability.
  continue reading

1726 episodes

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