{"id":40890420,"date":"2024-04-08T12:23:09","date_gmt":"2024-04-08T06:53:09","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40890420"},"modified":"2024-04-08T12:23:09","modified_gmt":"2024-04-08T06:53:09","slug":"prophet-for-momentum","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2024\/04\/08\/prophet-for-momentum\/","title":{"rendered":"Prophet for Momentum"},"content":{"rendered":"\n<p>Open sourced by Meta back in 2017, <a href=\"https:\/\/github.com\/facebook\/prophet\">Prophet<\/a> 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.<\/p>\n\n\n\n<figure class=\"wp-block-image size-large\"><img decoding=\"async\" src=\"https:\/\/github.com\/stockviz\/blog\/blob\/master\/momentum\/prophet\/symRetsAll.vol.png?raw=true\" alt=\"\" \/><\/figure>\n\n\n\n<p>The results are not as bad as fitting a <a href=\"https:\/\/stockviz.biz\/index.php\/2024\/03\/25\/linear-model-momentum\/\">simple linear model<\/a> but not that great either.<\/p>\n\n\n\n<p>Code on <a href=\"https:\/\/github.com\/stockviz\/blog\/tree\/master\/momentum\/prophet\">github<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>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. The results are not as bad as fitting &hellip; <\/p>\n","protected":false},"author":2,"featured_media":2091813,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[3491],"class_list":["post-40890420","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-momentum","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890420","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=40890420"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40890420\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2091813"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40890420"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40890420"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40890420"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}