Market Vector Auto Regression Finance App Review (iOS, $99.99)

 

Languages: English

Seller: differential enterprises

FinancePaidIOS

Description

This app models the (close-open) price direction (that is, today's price travel) of a given target stock as a function of prior days opening and closing prices of related stocks. Also works for ETFs if they are available in Yahoo Finance historical data.

From Wikipedia:

"The only prior knowledge required is a list of variables which can be hypothesized to affect each other intertemporally."

http://en.wikipedia.org/wiki/Vector_autoregression

For example, one might think that the price change of General Motors today (GM) might depend on the recent prices of oil (USO is an oil ETF). This can be modeled using a tool such as this.

Note that there may not be a predictive relationship for your chosen symbols. In this case, a model's backtest will be poor (low % correct) and the model is not useful for forecasting.

In the case where a backtest yields reasonable results, the model may have some predictive
power for 1 day ahead forecasts.

Only price travel Direction is attempted to be modeled, not the actual price change in dollars.

Quickstart:

1. enter symbol to forecast and candidate predictor symbols.

2. select Backtest or Forecast.

3. Press Run. Calculation results will appear in green window.

Further details at http://diffent.com/MktVecAR.pdf

Features:

Up to 4 candidate predictor stocks/ETFs (including target).

3 model types generated for every forecast for comparison purposes:

annealing classifier (slow or fast)
linear least squares
k-nearest classifier

1 and 2 day data lags automatically generated [AR(2) type models]

Up to 20 days of backtests.

1 day forward forecast.

Model can be built/forecasted before market opens since "today's" open prices are not included in the model.

Public data feed ; no feed fees.

Detailed log file of calculations for auditing.
Calculations done on a server for battery conservation.
Ability to Stop long calculations on the server.

Downloadable assembled regression tables with dates aligned in CSV format for further study:

1. raw prices table
2. daily deltas table
3. daily deltas with future "known" X vector computed for you

Ability to send downloaded tables to other apps on your device or via email.

No user email or account setup required.

Simultanenous runs on multiple iOS devices are allowed if devices are not sync'd.

Common operation among devices if devices are sync'd.

Screenshots

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