The Lab
Every trading day at 9:25 ET the Lab forecasts where SPY will be at 10:00, noon, 2:00 and the close, then learns from what actually happened. The bar it has to clear is the simplest honest forecast: the latest pre-market price holds.
Skill at the close +1.7% ± 1.1% · promising, not proven
Edge hit rate 63% direction beyond the latest price, 63 leaned days
Range coverage 71% target 68%
Days learned 134 first 15 are warmup and not counted
Call
Wed, Sep 30, 2026 Graded All inputs inClose target $767.91, range $765.09 to $770.74, 85% chance of closing above the prior close ($764.20). Closed at $762.63.
| Checkpoint | P(up) | Target | Range | Actual | In range | vs naive |
|---|---|---|---|---|---|---|
| 10:00 | 94% | $766.38 | $765.40 – $767.36 | $764.56 | No | Beat (0.538 vs 0.726) |
| Noon | 89% | $767.34 | $765.31 – $769.37 | $768.02 | Yes | Beat (0.237 vs 0.277) |
| 2:00 | 86% | $767.55 | $765.00 – $770.10 | $767.28 | Yes | Beat (0.212 vs 0.235) |
| Close | 85% | $767.91 | $765.09 – $770.74 | $762.63 | No | Lost (0.898 vs 0.709) |
pushes downpushes up
- Room to call wall vs put wall
- Gamma above vs below spot
- Long bonds (TLT) yesterday
- Baseline lean
- Net dealer gamma
- Implied vs realized vol
- High yield (HYG) yesterday
- Distance to gamma flip
Track record
-10.0%-5.0%+0.0%+5.0%+10.0%
naive+1.7%
May 22Jul 20Sep 11Nov 4
40%60%80%100%
68% target75%
May 22Jul 20Sep 11Nov 4
- Kalman: everything, slow memory 16%
- Gaps keep going 13%
- Analog days (10 nearest) 11%
- Kalman: price action 10%
- Kalman: options positioning 10%
- Everyone else 40%
0%50%100%
Apr 27Jun 30Sep 2Nov 4
0%50%100%
24
16
16
19
44
0%25%50%75%100%
Leaderboard
Average CRPS at the close in sigma units (lower is better), and each expert's edge over "latest price holds". Weight is how much the ensemble listens to it today.
| Expert | CRPS | vs naive | Weight | Verdict |
|---|---|---|---|---|
| Kalman: everything, slow memory | 0.4693 | +0.0094 ± 0.0099 | 16.5% | ~408 more days to confirm |
| Gaps keep going | 0.4714 | +0.0073 ± 0.0078 | 12.7% | ~433 more days to confirm |
| Kalman: options positioning | 0.4748 | +0.0039 ± 0.0076 | 9.6% | ~1686 more days to confirm |
| Kalman: price action | 0.4763 | +0.0024 ± 0.0096 | 9.6% | ~7708 more days to confirm |
| Analog days (10 nearest) | 0.4770 | +0.0017 ± 0.0078 | 11.2% | ~10103 more days to confirm |
| Latest price holds (random walk) | 0.4787 | — | 7.8% | the benchmark |
| Yesterday's move reverses | 0.4803 | -0.0016 ± 0.0047 | 6.0% | no edge so far |
| Kalman: Jev text reads | 0.4810 | -0.0024 ± 0.0049 | 7.1% | no edge so far |
| Yesterday's direction continues | 0.4839 | -0.0053 ± 0.0048 | 7.2% | no edge so far |
| Dealer hedging drift | 0.4844 | -0.0057 ± 0.0045 | 5.5% | no edge so far |
| Kalman: everything, fast memory | 0.4869 | -0.0082 ± 0.0148 | 4.6% | no edge so far |
| Gaps fade | 0.5028 | -0.0241 ± 0.0085 | 2.2% | no edge so far |
By checkpoint
| Checkpoint | Skill | From range | From edge | Coverage | Edge hit rate |
|---|---|---|---|---|---|
| 10:00 | +9.4% ± 2.2% | +2.1% | +7.2% | 72% | 75% (73) |
| 12:00 | +1.5% ± 1.0% | +0.7% | +0.8% | 69% | 68% (40) |
| 14:00 | +2.4% ± 0.9% | +2.0% | +0.4% | 71% | 54% (35) |
| Close | +1.7% ± 1.1% | +0.7% | +1.0% | 71% | 63% (63) |
How it learns
- Senses. Options positioning from the 9:25 snapshot, yesterday's moves in stocks, bonds, credit, the dollar and VIX, and Jev's reads of the morning headlines and WSB.
- Experts. Simple fixed hypotheses ("gaps fade"), Kalman filters whose weights drift slowly with the market, and an analog expert that asks what happened on the most similar past days.
- Ensemble. Experts earn weight by forecasting better (Hedge), and every expert keeps a small share so one that fell out of favor can come back when the market changes.
- Range. The range widens after a close lands outside it and narrows after one lands inside, so over time about 68% of closes fall inside it.