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16 days ago
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Backtest the live price forecast against the real price
The forecast issued live -- centre at the current price, range from the previous week's hourly volatility -- reissued at every hour from 2023 to September 2026 and scored against the price that followed: 32,700 forecasts per horizon, none of which sees its own future. The 80% range holds: 86.5% at 1h, 84.6% at 6h, 81.9% at 24h, 80.2% at 72h, and every year from 2023 to 2026 lands within two points of its average. Two systematic errors, both fixable: The ranges are the wrong shape. 50% ranges hold 56-66% of the time and 95% ranges only 92-94%: too wide in the middle, too narrow in the tails. That is a normal distribution fitted to a fat-tailed market, and a Student-t fixes it. Weekends are mis-sized. At 1h the 80% range holds 94.2% on weekends against 83.4% on weekdays, because one week of volatility mixes busy weekdays into quiet Saturdays. The centre misses by 0.20% at 1h and 2.18% at 72h (median), and the price rose 50.7-52.9% of the time: direction is still the coin flip it was…56705a2