# RNN 2nd Gen Model CME S&P 500 Index E-Mini Futures

Prediction models:
Subscribe >> Deal exit on
May 1, 2018
Deal entry on
May 1, 2018
6.86%Expected margin
70.00% successful of 10 deals
$ 2671.50 Last close price
at 27-apr-2018

ES1

Model's trade recommendations No return for period yet

-2.04% Annual return

ES1

Model (following trade recommendations)

ES1

Underlying stock

S&P 500

Index
Return for period
3.75%
1.78%
52wk return 0.46%
12.22%
16.82%
52wk Range
2357.50—2874.50
2000.54—2399.63
Sortino ratio -0.67
Sharpe ratio -0.65
Norm. RMSE 7.67%
Downside risk 3.47%
Volatility 0.00%

Deep Learning based analysis and prediction model for CME S&P 500 Index E-Mini Futures (ES1) stock is a 2nd Generation Non-linear Autoregressive (NAR) model based on the LSTM/GRU Recurrent Neural Network architecture.

Model is in the production pipeline since July 20, 2016.

Market data for ES1 model training are being downloaded from the Quandl premium datasets on a daily basis.

Model is being retrained on a regular basis.