majixai

S&P 500 Closing Price Projection Engine

A comprehensive S&P 500 closing price projection system that runs every minute via GitHub Actions to provide real-time probability-based market projections.

Features

• Every-Minute Execution: Runs via GitHub Actions cron schedule every minute
• Next Close Calculation: Automatically determines the next available S&P 500 close time
• Probability Analysis: Provides likelihood percentages for various closing price ranges
• Hourly Projections: Generates hour-by-hour projections from now until market close
• Minute-by-Minute Snapshots: Per-minute projection with immediate next-minute probability
• Multi-Source Data Integration: Uses all available finance directory data in the repository
• Live Data Fetching: Fetches real-time data from Yahoo Finance and Google Finance
• Monte Carlo Simulation: GBM-based stochastic modeling with 5,000+ paths
• Technical Indicators: RSI, MACD, Bollinger Bands analysis
• Black-Scholes Greeks: ATM option pricing and sensitivity analysis

Output Files

File	Description
latest_projection.json	Full projection data with probabilities and hourly projections
sp_closing_projection_output.png	3-panel visualization dashboard

Data Sources

The engine integrates data from multiple sources:

1. Yahoo Finance API - Live S&P 500 (SPY) prices and intraday data
2. Google Finance - Fallback price data
3. yfinance_data/ - Historical compressed data files
4. market_prediction/ - Latest prediction results
5. dji_1pm_close/ - DJI prediction correlations
6. dji_monte_carlo/ - Monte Carlo simulation history

Quantitative Methods

• Geometric Brownian Motion (GBM): dS = μS dt + σS dW
• EWMA Volatility: Exponentially weighted moving average with λ=0.94
• Black-Scholes-Merton: Options pricing and implied volatility
• Monte Carlo Simulation: 5,000 paths with confidence intervals
• Technical Analysis: RSI(14), MACD(12,26,9), Bollinger Bands(20,2)

Environment Variables

Variable	Default	Description
SIMULATIONS	5000	Number of Monte Carlo simulation paths
WEBHOOK_URL	(none)	Optional webhook URL for notifications
DATA_DIR	..	Path to repository root for loading historical data

Manual Trigger

The workflow can be triggered manually from the Actions tab with a configurable number of simulations.

JSON Output Structure

{
  "ticker": "SPY (S&P 500 Proxy)",
  "timestamp": "2026-02-22T12:30:00+00:00",
  "current_price": 595.25,
  "market_state": {
    "is_open": true,
    "minutes_to_close": 210,
    "next_close_time": "2026-02-22 16:00:00 ET"
  },
  "closing_projection": {
    "projected_close": 595.50,
    "probability_above_current": 52.3,
    "probability_below_current": 47.7,
    "confidence_intervals": {
      "50%": [594.10, 596.85],
      "80%": [593.20, 597.75],
      "90%": [592.50, 598.40]
    }
  },
  "minute_projection": {
    "projected_next_minute": 595.26,
    "prob_up_next_minute": 50.8
  },
  "hourly_projections": [
    {
      "hour_label": "+1h",
      "projected_price": 595.35,
      "probability_up": 51.2,
      "probability_down": 48.8
    }
  ],
  "signal": "NEUTRAL",
  "confidence": 25.0
}