ARIMA vs Prophet: KOSPI 30-Day Forecast Test Results

#arima #prophet #kospi #timeseriesforecastin

Prophet Beat ARIMA on MAE — Then Lost Money

Prophet's mean absolute error was 1.2% lower than ARIMA's on my KOSPI test set. I still wouldn't use it for trading signals.

That's the short version. The long version involves 30 days of daily predictions on Korea's main stock index, two dozen parameter combinations, and a frustrating realization about what "better" actually means in time series forecasting. The model that looks better on paper can absolutely destroy your returns if it's wrong at the wrong times.

I ran this test because I kept seeing blog posts claiming Prophet is the "modern" choice for financial forecasting. Facebook (Meta) built it for forecasting things like daily active users and ad revenue — patterns with strong seasonality and growth trends. Stocks... don't really work that way. But I wanted actual numbers, not vibes.