{{ r.long_run_note }}
| Model | QLIKE | vs naive | Days won | Average forecast | p-value |
|---|---|---|---|---|---|
| {{ row.name }} {{ row.family }}{% if row.best %} ยท best model{% endif %} | {{ row.qlike }} | {{ row.gain.text }} | {{ row.win_rate }} | {{ row.volatility }} | {{ row.p_value }}{% if row.significant %}*{% endif %} |
Each day's forecast of the next {% if r.horizon == 1 %}trading day{% else %}{{ r.horizon }} trading days{% endif %}, against what came, all annualized. {% if r.horizon == 1 %}One day's realized volatility is a single move, so the dots scatter widely; that noise is why the losses are averaged over every day.{% else %}The dots are the volatility that came.{% endif %} The largest moves are cut off at the top so the forecasts stay readable; the table has every day.
Each day adds how much lower the model's QLIKE loss was than naive's. The line rises while the model is winning and falls while it is losing, so a steady climb is a lasting edge and a jump is one stretch.