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Discrete Variable Prediction
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ARR % Trades
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82
0.055
70
8.77
62
0.048
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6.23
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74
0.038
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Data
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Continuous Variable Prediction
ARR % Trades
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80
-0.133
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54
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9.60
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Feature
30 year Government Bond (GB) return
30 year GB index
Change in the return on GB
Change in the return on GB lagged 1 month
Change in the return on GB lagged 2 month
Change in the return on GB lagged 3 month
Change in the return on GB lagged 4 month
Change in the return on GB lagged 5 month
Change in the return on GB lagged 6 month
U.S. Treasury Bills (TB) return
TB index
Change in the return on TB
Change in the return on TB lagged 1 month
Change in the return on TB lagged 2 month
Change in the return on TB lagged 3 month
Change in the return on TB lagged 4 month
Change in the return on TB lagged 5 month
Change in the return on TB lagged 6 month
Consumer Price Index (CPI)
Increase (percentage) in the CPI
Change in the increase in the CPI
Change in the increase in the CPI lagged 1 month
Change in the increase in the CPI lagged 2 month
Change in the increase in the CPI lagged 3 month
Change in the increase in the CPI lagged 4 month
Change in the increase in the CPI lagged 5 month
Change in the increase in the CPI lagged 6 month
S&P Composite index
S&P Composite index return
.6Ç0
m2
m3
x
x
m4
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
x
Frequency
6
8
4
2
2
11
6
2
5
2
7
0
4
1
2
0
1
1
11
5
2
1
2
8
3
5
1
8
2
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Rank
14
1
17
23
19
5
3
6
9
16
7
25
8
23
22
15
10
13
4
18
29
26
27
11
28
12
21
2
20
Feature
Inter day low for S&P 500 index
Inter day high for S&P 500 index lagged 2 days
S&P index lagged 1 day
S&P index lagged 2 days
Inter day high for S&P 500 index
Inter day high for S&P 500 index lagged 5 days
Inter day low for S&P 500 index lagged 5 days
Inter day high for S&P 500 index lagged 3 days
S&P index
New York Stock Exchange (NYSE) volume lagged 10 days
Inter day low for S&P 500 index lagged 2 days
S&P return lagged 1 day
NYSE volume lagged 9 days
Inter day high for S&P 500 index lagged 1 day
S&P return lagged 6 day
Inter day low for S&P 500 index lagged 1 day
NYSE volume lagged 8 days
Inter day low for S&P 500 index lagged 3 day
Inter day high for S&P 500 index lagged 4 day
NYSE volume lagged 1 day
S&P return lagged 10 day
Inter day low for S&P 500 index lagged 4 days
S&P return lagged 2 day
S&P index lagged 3 days
S&P return lagged 11 day
S&P return lagged 8 day
NYSE volume lagged 2 days
NYSE volume
NYSE volume lagged 6 days
S&P return
Rank
in d1
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
Rank
in d2
10
22
3
4
6
12
16
7
29
14
8
20
30
1
21
5
27
25
13
15
17
2
23
9
18
24
28
26
19
11
d3
x
x
x
x
x
x
x
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Feature
S&P return lagged 14 days
S&P return lagged 5 days
NYSE volume lagged 11 days
S&P return lagged 13 day
U.S. Tresury Bill (TB) index lagged 3 months
NYSE volume lagged 7 days
S&P return lagged 4 days
Consumer Price Index (CPI) lagged 2 months
T.B. index lagged 2 months
CPI index lagged 1 month
S&P return lagged 9 day
CPI index
T.B. index lagged 1 month
S&P return lagged 7 days
NYSE volume lagged 5 days
Change in the increase in the CPI lagged 3 months
T.B. index
CPI index lagged 3 month
S&P return lagged 3 day
S&P return lagged 12 day
NYSE volume lagged 4 days
T.B. return
NYSE volume lagged 3 days
T.B. return lagged 1 month
30 year Government Bond (GB) return lagged 1 month
T.B. return lagged 2 months
30 year GB index lagged 3 months
30 year GB index
30 year GB index lagged 3 months
T.B. return lagged 3 months
Change in the increase in the CPI
Change in the increase in the CPI lagged 1 months
GB return
Change in the increase in the CPI lagged 2 months
GB return lagged 2 months
GB return lagged 3 months
GB return lagged 1 months
Rank
in d1
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
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