Open sourced by Meta back in 2017, Prophet is a procedure for forecasting time series data. Here, we give it two years of monthly returns and use it to forecast returns one month forward. The forecasts are ranked and a portfolio is constructed for the forward month.
![](https://github.com/stockviz/blog/blob/master/momentum/prophet/symRetsAll.vol.png?raw=true)
The results are not as bad as fitting a simple linear model but not that great either.
Code on github.
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