MVAR vs StratChart

Helps you find and test your ideas of what might be "leading indicators" of particular stocks or ETFs. For one day ahead indicators only. Explore "The Machine" of the market, and backtest your ideas forthwith. For these types of simple models, if a backtest achieves 60%+ directional accuracy over a long period, it is considered fairly good. Our backtests have metrics which check how likely it is to achieve the model's level of accuracy by flipping coins for the same number of backtest days. For example, getting 6 out of 10 correct by flipping coins (60%) is much more likely than getting 60 out of 100 (also 60%) correct by flipping coins. You must look at % correct, and also how long you get this level of accuracy. The run length Plots give an idea if the model is getting better or worse over time. We don't even report out model Fit quality to avoid confusion, since Forecast quality is usually worse than Fit quality. Hence: Always backtest to estimate Forecast quality. The 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 Google Finance historical data. Check out our newest features: low-contributor variable weed-out for K-nearest classifier models, to reduce overfitting and possibly improve forecast quality (searching as always for the most parsimonious model, "as simple as possible but no simpler..."), and the use of volatilities as candidate leading indicators. Some use cases: - You want to keep a position open for 1 trading day only. Models built with this app can give an estimate as to whether the stock/ETF will go up or down today. - You want to buy or sell a given stock/ETF for other reasons. Models built with this app can give an estimate whether Today is a good day to buy or sell, or whether you might want to wait until a later day to make a trade. Some thoughts on backtesting, to assist with judgement calls: http://www.quantstart.com/articles/Successful-Backtesting-of-Algorithmic-Trading-Strategies-Part-I 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 6 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 500 trading 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. Detailed log file of calculations. Calculations done on a server for battery conservation. Ability to Stop long calculations on the server. Download the assembled regression tables with dates aligned in CSV format for further study. Send downloaded tables to other apps on your device or via email.

StratChart shows how the world's major stock indices, currencies and commodities have behaved in the past, so you can see where today's market stands against decades of history. Market Catalog Stock indices: United States, Canada, Germany, France, United Kingdom, Australia, Japan, Shanghai, Hong Kong, Taiwan and India, plus the volatility index of U.S. stocks. Currencies: USD/JPY, EUR/USD and GBP/USD. Commodities: gold, silver, copper, crude oil, natural gas and platinum. Analysis Catalog - Yearly: every year's path on one chart, with this year's latest close highlighted - The four-year U.S. presidential cycle, and the 100 days before and after U.S. presidential and midterm elections - Similar price moves: the past periods whose year moved most like the last year, and the month that followed - Similar economic conditions: the past periods whose price moves and U.S. economic indicators you choose were most like today - Rate of change by day of the week, by date and by month: violin plots that combine the years you choose - Consecutive up/down days, peaks and troughs, and the first vs. second half of the year - Around U.S. CPI releases (with the expected and actual figures), jobs reports and FOMC decisions, and around U.S. recessions - With economic indicators: the market and a U.S. economic indicator you choose, on one chart Explore Pick an analysis and see every market side by side as cards. Swipe to switch analyses, and tap a card to open its chart. Compare Put markets and 37 U.S. economic indicators (interest rates, inflation, jobs and the economy, money supply, and government finances) on one chart with two axes, with U.S. recessions shaded. Notifications Get notified when the markets you choose set a record (an all-time high, a year-to-date high or low, or the best or worst year-to-date performance in 20+ years), reach a turning point (a milestone, the 200-day moving average, a correction, a bear market or a bull market), make a big one-day move, or rise or fall 5 or more days in a row. Open a notification to see what happened and jump to the related chart. About a week before the end of a month, you can also find out if the next month has tended to rise or fall. Easy to Explore Pinch to zoom like a photo, drag or flick to scroll, drag along an axis to zoom just that axis, long-press to read values, and double-tap to reset. Short tutorials show the basics, and you can replay them from Settings. Each chart has an explanation behind the "i" button. The app is also available in Japanese. Growing Analysis Catalog When we add new analyses or features, we will let you know on the News page in the app. Membership All users can access all analysis items. Free members receive the analyses, economic data and notifications with a one-week delay, while subscription members get the latest analyses and same-day notifications. Note StratChart is designed for educational purposes. The information does not predict or guarantee future prices. Please do not make investment decisions based on the information provided by the app.