{ "version": "2.0-research", "asOf": "2026-09-13", "title": "Mingyang SOXX Forecast Monitor", "status": "Positive historical result, uncertain edge", "statusDetail": "Lower forecast error; uncertainty still spans no improvement", "specificationHash": "60e38456ada765ec6451f93b68b7fced262496685c6a972372ba3e18da4400b0", "target": "Next3 calendar-month SOXX dividend-adjusted return", "current": { "date": "2026-08-31", "constructedOn": "2026-09-13", "sourceMonth": "2026-06", "referencePrice": 511.04, "horizonEnd": "2026-11-30", "model": "market", "forecast": 8.19581744, "mean": 5.253482, "trainN": 287, "trainLastOrigin": "2026-05-29", "trainLastOutcome": "2026-08-31", "contributions": [ { "id": "momentum12skip1", "value": 106.7695962, "trainingMean": 15.87818626, "trainingSD": 30.74511249, "coefficient": -0.13347958, "standardizedValue": 2.95628809, "returnContribution": -0.19730205 }, { "id": "relative6m", "value": 32.81338498, "trainingMean": 3.49048253, "trainingSD": 14.00347887, "coefficient": 1.38352926, "standardizedValue": 2.0939727, "returnContribution": 1.44853625 }, { "id": "distance10m", "value": 18.5748924, "trainingMean": 5.5084011, "trainingSD": 14.67217557, "coefficient": 0.10404912, "standardizedValue": 0.89056263, "returnContribution": 0.04633113 }, { "id": "volatility63d", "value": 64.53156685, "trainingMean": 29.56500835, "trainingSD": 12.5239654, "coefficient": 1.17821398, "standardizedValue": 2.79197182, "returnContribution": 1.64477011 } ], "calibrationN": 225, "upProbability": 0.78854626, "interval80": [ -7.70287061, 26.45618681 ], "baseProbability": 0.68512111, "volatilityForecast": 64.53156685, "volatilityHorizon": "Next63 trading days; annualized standard deviation, not a loss estimate" }, "selection": { "periodStart": "2013-01-31", "lastOrigin": "2022-07-29", "lastOutcome": "2022-10-31", "n": 39, "winner": "market", "scores": [ { "id": "mean", "n": 39, "mse": 102.1511657, "baselineMSE": 102.1511657, "rmse": 10.10698598, "baselineRMSE": 10.10698598, "mae": 7.55747153, "skillPct": 0.0, "correlation": -0.18314935, "hitRate": 79.48717949, "alwaysPositiveRate": 79.48717949, "averageActual": 5.41106214, "calibration": { "n": 39, "brierScore": 0.18297378, "baselineBrier": 0.18996189, "brierSkillPct": 3.67869013, "intervalCoveragePct": 84.61538462, "nominalCoveragePct": 80 } }, { "id": "market", "n": 39, "mse": 101.52818419, "baselineMSE": 102.1511657, "rmse": 10.0761195, "baselineRMSE": 10.10698598, "mae": 7.64668096, "skillPct": 0.60986236, "correlation": -0.02317325, "hitRate": 79.48717949, "alwaysPositiveRate": 79.48717949, "averageActual": 5.41106214, "calibration": { "n": 39, "brierScore": 0.18654155, "baselineBrier": 0.18996189, "brierSkillPct": 1.80053619, "intervalCoveragePct": 84.61538462, "nominalCoveragePct": 80 } }, { "id": "industry", "n": 39, "mse": 102.91358676, "baselineMSE": 102.1511657, "rmse": 10.1446334, "baselineRMSE": 10.10698598, "mae": 7.65462758, "skillPct": -0.74636551, "correlation": -0.1640703, "hitRate": 79.48717949, "alwaysPositiveRate": 79.48717949, "averageActual": 5.41106214, "calibration": { "n": 39, "brierScore": 0.18490977, "baselineBrier": 0.18996189, "brierSkillPct": 2.65954071, "intervalCoveragePct": 87.17948718, "nominalCoveragePct": 80 } }, { "id": "combined", "n": 39, "mse": 101.83438288, "baselineMSE": 102.1511657, "rmse": 10.09130234, "baselineRMSE": 10.10698598, "mae": 7.66899188, "skillPct": 0.3101118, "correlation": -0.03752582, "hitRate": 79.48717949, "alwaysPositiveRate": 79.48717949, "averageActual": 5.41106214, "calibration": { "n": 39, "brierScore": 0.18658564, "baselineBrier": 0.18996189, "brierSkillPct": 1.77733036, "intervalCoveragePct": 87.17948718, "nominalCoveragePct": 80 } } ], "rule": "Choose lowest disjoint validation MSE, including expanding mean; no post-test reselection." }, "evaluation": { "periodStart": "2023-01-31", "lastOrigin": "2026-04-30", "lastOutcome": "2026-07-31", "n": 14, "selected": { "id": "market", "n": 14, "mse": 329.1094234, "baselineMSE": 339.71919811, "rmse": 18.14137325, "baselineRMSE": 18.43147303, "mae": 15.08077083, "skillPct": 3.1231013, "correlation": 0.11491075, "hitRate": 78.57142857, "alwaysPositiveRate": 78.57142857, "averageActual": 11.43496353, "calibration": { "n": 14, "brierScore": 0.17100603, "baselineBrier": 0.18092923, "brierSkillPct": 5.48457225, "intervalCoveragePct": 50.0, "nominalCoveragePct": 80 }, "skillCI95": [ -1.21787158, 8.34500792 ] }, "candidates": [ { "id": "mean", "n": 14, "mse": 339.71919811, "baselineMSE": 339.71919811, "rmse": 18.43147303, "baselineRMSE": 18.43147303, "mae": 15.48419168, "skillPct": 0.0, "correlation": -0.11908368, "hitRate": 78.57142857, "alwaysPositiveRate": 78.57142857, "averageActual": 11.43496353, "calibration": { "n": 14, "brierScore": 0.17508288, "baselineBrier": 0.18092923, "brierSkillPct": 3.23128815, "intervalCoveragePct": 50.0, "nominalCoveragePct": 80 }, "skillCI95": [ 0.0, 0.0 ] }, { "id": "market", "n": 14, "mse": 329.1094234, "baselineMSE": 339.71919811, "rmse": 18.14137325, "baselineRMSE": 18.43147303, "mae": 15.08077083, "skillPct": 3.1231013, "correlation": 0.11491075, "hitRate": 78.57142857, "alwaysPositiveRate": 78.57142857, "averageActual": 11.43496353, "calibration": { "n": 14, "brierScore": 0.17100603, "baselineBrier": 0.18092923, "brierSkillPct": 5.48457225, "intervalCoveragePct": 50.0, "nominalCoveragePct": 80 }, "skillCI95": [ -1.21787158, 8.34500792 ] }, { "id": "industry", "n": 14, "mse": 342.99268485, "baselineMSE": 339.71919811, "rmse": 18.52006169, "baselineRMSE": 18.43147303, "mae": 15.53983029, "skillPct": -0.96358603, "correlation": -0.0899622, "hitRate": 78.57142857, "alwaysPositiveRate": 78.57142857, "averageActual": 11.43496353, "calibration": { "n": 14, "brierScore": 0.17595437, "baselineBrier": 0.18092923, "brierSkillPct": 2.74961618, "intervalCoveragePct": 50.0, "nominalCoveragePct": 80 }, "skillCI95": [ -1.80757488, 0.22904574 ] }, { "id": "combined", "n": 14, "mse": 332.06701368, "baselineMSE": 339.71919811, "rmse": 18.22270599, "baselineRMSE": 18.43147303, "mae": 15.12024118, "skillPct": 2.25250279, "correlation": 0.09011387, "hitRate": 78.57142857, "alwaysPositiveRate": 78.57142857, "averageActual": 11.43496353, "calibration": { "n": 14, "brierScore": 0.17250319, "baselineBrier": 0.18092923, "brierSkillPct": 4.65708692, "intervalCoveragePct": 50.0, "nominalCoveragePct": 80 }, "skillCI95": [ -1.77536976, 7.81491466 ] } ], "industryIncremental": { "n": 14, "mse": 332.06701368, "baselineMSE": 329.1094234, "rmse": 18.22270599, "baselineRMSE": 18.14137325, "mae": 15.12024118, "skillPct": -0.89866472, "correlation": 0.09011387, "hitRate": 78.57142857, "alwaysPositiveRate": 78.57142857, "averageActual": 11.43496353, "calibration": { "n": 14, "brierScore": 0.17250319, "baselineBrier": 0.18092923, "brierSkillPct": 4.65708692, "intervalCoveragePct": 50.0, "nominalCoveragePct": 80 }, "skillCI95": [ -1.69905355, 0.13655029 ] }, "points": [ { "date": "2023-01-31", "endDate": "2023-04-28", "forecast": 4.73789309, "actual": 2.35195616, "baseline": 3.96104285, "upProbability": 0.74456522, "interval80": [ -12.36600302, 21.59882635 ] }, { "date": "2023-04-28", "endDate": "2023-07-31", "forecast": 4.77786193, "actual": 30.06618577, "baseline": 4.06019578, "upProbability": 0.7486631, "interval80": [ -11.91706579, 21.67381722 ] }, { "date": "2023-07-31", "endDate": "2023-10-31", "forecast": 5.13259303, "actual": -17.06117782, "baseline": 4.25515659, "upProbability": 0.75263158, "interval80": [ -11.15336631, 22.09523527 ] }, { "date": "2023-10-31", "endDate": "2024-01-31", "forecast": 3.76145104, "actual": 32.73817731, "baseline": 4.1411321, "upProbability": 0.7253886, "interval80": [ -13.47876787, 20.66901481 ] }, { "date": "2024-01-31", "endDate": "2024-04-30", "forecast": 4.05661341, "actual": 9.65463516, "baseline": 4.30962477, "upProbability": 0.72959184, "interval80": [ -12.77463711, 21.55842748 ] }, { "date": "2024-04-30", "endDate": "2024-07-31", "forecast": 5.11063357, "actual": 10.13545515, "baseline": 4.47061809, "upProbability": 0.75376884, "interval80": [ -11.31164857, 22.86040025 ] }, { "date": "2024-07-31", "endDate": "2024-10-31", "forecast": 4.79732414, "actual": -7.04824976, "baseline": 4.52330353, "upProbability": 0.75742574, "interval80": [ -11.21598962, 22.49312275 ] }, { "date": "2024-10-31", "endDate": "2025-01-31", "forecast": 3.90381233, "actual": 0.09715475, "baseline": 4.41763645, "upProbability": 0.72682927, "interval80": [ -11.93842737, 21.46429147 ] }, { "date": "2025-01-31", "endDate": "2025-04-30", "forecast": 3.64652978, "actual": -15.61286744, "baseline": 4.32009941, "upProbability": 0.71634615, "interval80": [ -12.14358303, 21.03101373 ] }, { "date": "2025-04-30", "endDate": "2025-07-31", "forecast": 4.56920151, "actual": 30.85222916, "baseline": 4.15706541, "upProbability": 0.72511848, "interval80": [ -11.6093645, 21.77769028 ] }, { "date": "2025-07-31", "endDate": "2025-10-31", "forecast": 4.42535148, "actual": 27.98543385, "baseline": 4.31737714, "upProbability": 0.72429907, "interval80": [ -11.48418512, 22.26506492 ] }, { "date": "2025-10-31", "endDate": "2026-01-30", "forecast": 6.14389209, "actual": 13.13078458, "baseline": 4.49362994, "upProbability": 0.74654378, "interval80": [ -9.75479596, 24.21199463 ] }, { "date": "2026-01-30", "endDate": "2026-04-30", "forecast": 6.01212916, "actual": 33.33140611, "baseline": 4.60827784, "upProbability": 0.75, "interval80": [ -9.87571035, 23.97503183 ] }, { "date": "2026-04-30", "endDate": "2026-07-31", "forecast": 6.86608424, "actual": 9.46836651, "baseline": 4.77649191, "upProbability": 0.77578475, "interval80": [ -9.01090671, 25.07445328 ] } ], "interpretation": "This period was already observed in V1 diagnostics. The current experiment locked selection using earlier data, but remains retrospective research, not pristine holdout or prospective performance." }, "volatility": { "title": "Separate volatility forecast", "target": "Next63 trading-day realized annualized volatility", "result": { "n": 14, "mse": 197.09175434, "baselineMSE": 192.00621303, "rmse": 14.03893708, "baselineRMSE": 13.85663065, "mae": 10.08378478, "skillPct": -2.64863372, "correlation": 0.10401041, "skillCI95": [ -275.20839949, 49.47178086 ] }, "points": [ { "date": "2023-01-31", "endDate": "2023-05-02", "forecast": 41.34183958, "actual": 28.53143765, "baseline": 28.53467103 }, { "date": "2023-04-28", "endDate": "2023-07-31", "forecast": 29.18933278, "actual": 30.00790175, "baseline": 28.62451386 }, { "date": "2023-07-31", "endDate": "2023-10-27", "forecast": 30.00790175, "actual": 25.25227008, "baseline": 28.63687081 }, { "date": "2023-10-31", "endDate": "2024-02-01", "forecast": 24.36636447, "actual": 26.25581999, "baseline": 28.60648266 }, { "date": "2024-01-31", "endDate": "2024-05-01", "forecast": 26.27114215, "actual": 31.32520661, "baseline": 28.57585534 }, { "date": "2024-04-30", "endDate": "2024-07-31", "forecast": 30.66317389, "actual": 35.85936095, "baseline": 28.56847608 }, { "date": "2024-07-31", "endDate": "2024-10-29", "forecast": 35.85936095, "actual": 41.89065895, "baseline": 28.61272216 }, { "date": "2024-10-31", "endDate": "2025-02-04", "forecast": 38.9917412, "actual": 31.3171391, "baseline": 28.79751166 }, { "date": "2025-01-31", "endDate": "2025-05-02", "forecast": 32.79479815, "actual": 58.50486405, "baseline": 28.81753202 }, { "date": "2025-04-30", "endDate": "2025-07-31", "forecast": 58.20941675, "actual": 26.47081185, "baseline": 28.89216567 }, { "date": "2025-07-31", "endDate": "2025-10-29", "forecast": 26.47081185, "actual": 28.31544308, "baseline": 29.20031959 }, { "date": "2025-10-31", "endDate": "2026-02-03", "forecast": 28.30131288, "actual": 34.32660716, "baseline": 29.14001809 }, { "date": "2026-01-30", "endDate": "2026-05-01", "forecast": 34.02214089, "actual": 39.52878955, "baseline": 29.1844448 }, { "date": "2026-04-30", "endDate": "2026-07-31", "forecast": 40.60020766, "actual": 66.71773986, "baseline": 29.24863002 } ], "interpretation": "Volatility is the size of fluctuations, not their direction. A better risk forecast does not establish an ability to predict positive stock returns." }, "features": [ { "id": "momentum12skip1", "group": "Market pricing", "definition": "100*(SOXX P[t-1]/P[t-12]-1); 11 monthly return intervals" }, { "id": "relative6m", "group": "Market pricing", "definition": "SOXX trailing6m percent return minus SPY trailing6m percent return" }, { "id": "distance10m", "group": "Market pricing", "definition": "100*(P[t]/mean(P[t-9:t])-1)" }, { "id": "volatility63d", "group": "Market pricing", "definition": "Sample standard deviation of the latest63 daily log returns, ddof1, times sqrt252 times100" }, { "id": "ordersGrowthAcceleration3m", "group": "Industry change", "definition": "Orders YoY percentage growth minus its value3 source months earlier" }, { "id": "outputGrowthAcceleration3m", "group": "Industry change", "definition": "Output YoY percentage growth minus its value3 source months earlier" }, { "id": "financialStress", "group": "Industry change", "definition": "Monthly mean STLFSI4" }, { "id": "stressChange3m", "group": "Industry change", "definition": "Monthly stress minus value3 source months earlier" } ], "limits": [ "Economic inputs use revised series and a fixed60-day lag, not historical release vintages. STLFSI4 itself was reconstructed under an updated methodology.", "SOXX has changed benchmark methodology during this ETF history; results describe the fund, not a fixed semiconductor constituent basket.", "Adjusted market prices reflect current vendor revisions; all results use matched dates. No trading execution, taxes or transaction costs are modeled.", "Only a small fixed candidate set was tried. The evaluation period was already visible in prior research. A future live record is required before strong reliability claims.", "No point-in-time earnings revisions or valuation histories were available. They were excluded instead of backfilled.", "The latest completed-month forecast is reconstructed on September13 from August31 information; it was not issued on August31.", "Probability and range are empirical research estimates. Calibration is measured separately; an80% band can miss large outcomes." ], "previousVersionComparison": { "n": 14, "v1MSE": 368.76439399, "v2MSE": 329.1094234, "v1RMSE": 19.20323915, "v2RMSE": 18.14137325, "improvementPct": 10.75347057, "points": [ { "date": "2023-01-31", "endDate": "2023-04-28", "actual": 2.35195616, "v1": 0.728916, "v2": 4.73789309 }, { "date": "2023-04-28", "endDate": "2023-07-31", "actual": 30.06618577, "v1": 5.063868, "v2": 4.77786193 }, { "date": "2023-07-31", "endDate": "2023-10-31", "actual": -17.06117782, "v1": 3.896766, "v2": 5.13259303 }, { "date": "2023-10-31", "endDate": "2024-01-31", "actual": 32.73817731, "v1": 4.396952, "v2": 3.76145104 }, { "date": "2024-01-31", "endDate": "2024-04-30", "actual": 9.65463516, "v1": 1.062374, "v2": 4.05661341 }, { "date": "2024-04-30", "endDate": "2024-07-31", "actual": 10.13545515, "v1": 0.895645, "v2": 5.11063357 }, { "date": "2024-07-31", "endDate": "2024-10-31", "actual": -7.04824976, "v1": -3.272578, "v2": 4.79732414 }, { "date": "2024-10-31", "endDate": "2025-01-31", "actual": 0.09715475, "v1": -0.938373, "v2": 3.90381233 }, { "date": "2025-01-31", "endDate": "2025-04-30", "actual": -15.61286744, "v1": 1.896018, "v2": 3.64652978 }, { "date": "2025-04-30", "endDate": "2025-07-31", "actual": 30.85222916, "v1": -1.772017, "v2": 4.56920151 }, { "date": "2025-07-31", "endDate": "2025-10-31", "actual": 27.98543385, "v1": 0.728916, "v2": 4.42535148 }, { "date": "2025-10-31", "endDate": "2026-01-30", "actual": 13.13078458, "v1": 1.896018, "v2": 6.14389209 }, { "date": "2026-01-30", "endDate": "2026-04-30", "actual": 33.33140611, "v1": 4.230223, "v2": 6.01212916 }, { "date": "2026-04-30", "endDate": "2026-07-31", "actual": 9.46836651, "v1": 3.896766, "v2": 6.86608424 } ], "note": "Same forecast-origin months and realized returns. V2 changes both training history and predictors; this is a descriptive update comparison, not evidence that industry indicators caused the improvement." }, "sources": [ { "title": "Financial Modeling Prep · SOXX and SPY dividend-adjusted daily prices", "url": "https://site.financialmodelingprep.com/developer/docs/stable", "endpoint": "historical-price-eod-dividend-adjusted", "range": "2001-01-01–2026-09-11", "retrieved": "2026-09-13", "basis": "adjClose; monthly closes, derived features and realized volatility retained; no raw daily feed redistributed" }, { "title": "U.S. Census · computers and electronic product new orders", "url": "https://fred.stlouisfed.org/series/A34SNO", "range": "1995-01–2026-09", "revision": "Latest retrieved revisions" }, { "title": "Federal Reserve · semiconductor and electronic component output", "url": "https://fred.stlouisfed.org/series/IPG3344S", "revision": "Latest retrieved revisions" }, { "title": "St. Louis Fed · Financial Stress Index", "url": "https://fred.stlouisfed.org/series/STLFSI4", "revision": "STLFSI4 is a revised methodology, not a historically frozen real-time series" }, { "title": "iShares SOXX fund definition and benchmark history", "url": "https://www.ishares.com/us/products/239705/ishares-phlx-semiconductor-etf" }, { "title": "Campbell & Thompson: forecast restrictions and historical-mean benchmark", "url": "https://www.nber.org/papers/w11468" }, { "title": "Goyal & Welch: out-of-sample equity premium prediction", "url": "https://www.nber.org/papers/w10483" } ], "prospective": { "startDate": "2026-09-13", "completedForecasts": 0, "policy": "Archive future observed inputs and forecasts before outcomes. Keep the frozen candidate/penalty and record any subsequent version change." }, "history": [ { "month": "2007-09", "date": "2007-09-28", "sourceMonth": "2007-06", "macroEligibleAfter": "2007-08-29", "soxxAdjustedClose": 18.45, "actual": -11.81571816, "endDate": "2007-12-31", "models": { "mean": { "forecast": 3.88713684, "mean": 3.88713684, "trainN": 60, "trainLastOrigin": "2007-06-29", "trainLastOutcome": "2007-09-28", "calibrationN": 0, "upProbability": null, "interval80": null, "baseProbability": 0.61290323 }, "market": { "forecast": 3.8875165, "mean": 3.88713684, "trainN": 60, "trainLastOrigin": "2007-06-29", "trainLastOutcome": "2007-09-28", "calibrationN": 0, "upProbability": null, "interval80": null, "baseProbability": 0.61290323 }, "industry": { "forecast": 3.31634041, "mean": 3.88713684, "trainN": 60, "trainLastOrigin": "2007-06-29", "trainLastOutcome": "2007-09-28", "calibrationN": 0, "upProbability": null, "interval80": null, "baseProbability": 0.61290323 }, "combined": { 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