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 +1.3% ± 1.1% · promising, not proven
Edge hit rate 62% direction beyond the latest price, 58 leaned days
Range coverage 70% target 68%
Days learned 124 first 15 are warmup and not counted

Call

Fri, Oct 16, 2026 Graded All inputs in

Close target $773.39, range $770.33 to $776.47, 67% chance of closing above the prior close ($771.79). Closed at $763.25.

CheckpointP(up)TargetRangeActualIn rangevs naive
10:00 74% $772.95 $771.76 – $774.15 $771.96 Yes Beat (0.265 vs 0.395)
Noon 73% $773.48 $771.28 – $775.68 $769.31 No Lost (0.875 vs 0.849)
2:00 72% $773.54 $771.10 – $776.00 $766.12 No Lost (1.514 vs 1.413)
Close 67% $773.39 $770.33 – $776.47 $763.25 No Lost (1.889 vs 1.830)
What moved this callWeight times today's reading, for the lead Kalman expert, in sigmas.
pushes downpushes up
  • Long bonds (TLT) yesterday
  • IWM minus QQQ yesterday
  • High yield (HYG) yesterday
  • Put skew
  • Baseline lean
  • Room to call wall vs put wall
  • Net dealer gamma
  • Distance to gamma flip

Track record

Is it learning? Skill vs "latest price holds"Cumulative CRPS skill at the close, with a 2-standard-error band. Above zero means better than naive.
-10.0%-5.0%+0.0%+5.0%+10.0%
naive+1.3%
May 22Jul 15Sep 1Oct 21
Is the range honest?Share of the last 20 closes inside the displayed range. The Lab steers this toward 68%.
40%60%80%100%
68% target70%
May 22Jul 15Sep 1Oct 21
Who the Lab trustsEnsemble weight per expert at the close. Experts earn weight by forecasting better than the rest.
  • Kalman: options positioning 15%
  • Kalman: everything, slow memory 14%
  • Analog days (10 nearest) 10%
  • Gaps keep going 10%
  • Yesterday's move reverses 9%
  • Everyone else 42%
0%50%100%
Apr 27Jun 25Aug 24Oct 21
CalibrationWhen the Lab said X% chance of an up close, how often it was
0%50%100%
20
16
15
19
39
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.

ExpertCRPSvs naiveWeightVerdict
Kalman: everything, slow memory 0.4789 +0.0071 ± 0.0100 13.9% ~765 more days to confirm
Kalman: options positioning 0.4792 +0.0069 ± 0.0078 15.0% ~460 more days to confirm
Gaps keep going 0.4822 +0.0038 ± 0.0078 9.6% ~1726 more days to confirm
Yesterday's move reverses 0.4848 +0.0012 ± 0.0045 9.4% ~5929 more days to confirm
Latest price holds (random walk) 0.4860 — 9.0% the benchmark
Analog days (10 nearest) 0.4870 -0.0009 ± 0.0083 9.6% no edge so far
Kalman: price action 0.4877 -0.0017 ± 0.0097 6.9% no edge so far
Kalman: Jev text reads 0.4911 -0.0050 ± 0.0035 6.1% no edge so far
Dealer hedging drift 0.4918 -0.0058 ± 0.0048 6.4% no edge so far
Yesterday's direction continues 0.4941 -0.0081 ± 0.0047 6.2% no edge so far
Kalman: everything, fast memory 0.4986 -0.0126 ± 0.0153 3.1% no edge so far
Gaps fade 0.5051 -0.0190 ± 0.0081 4.7% no edge so far

By checkpoint

CheckpointSkillFrom rangeFrom edgeCoverageEdge hit rate
10:00 +8.9% ± 1.7% +2.4% +6.6% 74% 76% (66)
12:00 +1.6% ± 1.0% +0.7% +0.9% 70% 67% (36)
14:00 +1.9% ± 0.9% +1.6% +0.3% 71% 53% (30)
Close +1.3% ± 1.1% +0.6% +0.7% 70% 62% (58)

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.