This Week's S&P500 Historical Vol Prediction

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The $SPXs 5 day Historical Volatility (HV) on Apr 15, 2016 was: 0.097.

The model is predicting that this value will DECREASE by next Friday.

The model has an accuracy of 66.23% and a standard deviation of 11.02%. The model is rebuilt every Sunday evening and the results will be posted Monday mornings.

This prediction and blog post was was created by @RapidMiner and posted with Blot.Im.

The following line chart is autogenerated using D3js and will be augmented over time.

var margin = {top: 20, right: 20, bottom: 30, left: 50},
width = 640 – margin.left – margin.right,
height = 300 – margin.top – margin.bottom;

var formatDate = d3.time.format(“%d-%b-%y”);

var x = d3.time.scale()
.range([0, width]);

var y = d3.scale.linear()
.range([height, 0]);

var xAxis = d3.svg.axis()
.scale(x)
.orient(“bottom”);

var yAxis = d3.svg.axis()
.scale(y)
.orient(“left”);

var line = d3.svg.line()
.x(function(d) { return x(d.Date); })
.y(function(d) { return y(d.HV5); });

var svg = d3.select(“#chart”).append(“svg”)
.attr(“width”, width + margin.left + margin.right)
.attr(“height”, height + margin.top + margin.bottom)
.append(“g”)
.attr(“transform”, “translate(” + margin.left + “,” + margin.top + “)”);

d3.csv(“/public/autocharts/2014-04-15-2016-04-20_data.csv”, type, function(error, data) {
if (error) throw error;

x.domain(d3.extent(data, function(d) { return d.Date; }));
y.domain(d3.extent(data, function(d) { return d.HV5; }));

svg.append(“g”)
.attr(“class”, “x axis”)
.attr(“transform”, “translate(0,” + height + “)”)
.call(xAxis);

svg.append(“g”)
.attr(“class”, “y axis”)
.call(yAxis)
.append(“text”)
.attr(“transform”, “rotate(-90)”)
.attr(“y”, 6)
.attr(“dy”, “.71em”)
.style(“text-anchor”, “end”)
.text(“5 Day HV”);

svg.append(“path”)
.datum(data)
.attr(“class”, “line”)
.attr(“d”, line);
});

function type(d) {
d.Date = formatDate.parse(d.Date);
d.HV5 = +d.HV5;
return d;
}

Source: Blot NMT Feed