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Probability platform


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Probability platform

  #1 (permalink)
 Loop 
Sydney
 
Experience: Intermediate
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Hello Traders

does any one know a platform or excel add in that can calculate things like below and with a distribution of results:

1. If XX goes up 5% in 2 days what is the outcome for day by day for next 10 days. And then show the result as a distribution. As example, for the last 100 times this happened stock went up more than 1% day 1 after in 65 of the outcomes

2. If stock hits new ATH then what happens next day, next 10 days, next 100 days. And then again with clear check, in the last 20 cases 15 went up and 5 down etc

Is there any good platform or software to do this sort of analysis?

Kind regards

Loop

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  #3 (permalink)
 
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 SMCJB 
Houston TX
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That would be very easy to do in Morningstar's Commodity Excel Addin ( Link) or Commodity Query ( Link) but unfortunately it's not cheap software.

Query would look something like

SHOW
0: Close of SYMBOL
1: Close of SYMBOL 1 value later
2: Close of SYMBOL 2 value later
3: Close of SYMBOL 3 value later
4: Close of SYMBOL 4 value later
When
(Close of SYMBOL / Close of SYMBOL 2 values ago) > 1.05

You'd have to set up your own histogram in Excel though.

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  #4 (permalink)
 
SMCJB's Avatar
 SMCJB 
Houston TX
Legendary Market Wizard
 
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,049 since Dec 2013
Thanks Given: 4,388
Thanks Received: 10,207

Thinking about it, it wouldn't be that difficult to do in easy language (and assume other backtesting software) but would involve a little more work.
 
Code
Initialize a Counter with Value 11

For each Bar
- Increase Counter by 1
- Calculate if Close/Close[2]>1.05 & if so set counter to 0
- If Counter is < 11 then print to file a) Date b) Counter value c) Close d) Close/Close[2] etc

Then analyze in Excel.

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  #5 (permalink)
Rory
 
Posts: 2,743 since May 2014
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I'm not an expert but I know my developer uses Mathematica from Wolfram Research a lot. Possibly just as he owns it.

The online Alpha system does neat stuff

Wolfram|[AUTOLINK]Alpha[/AUTOLINK] Examples: Money & Finance

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  #6 (permalink)
 multiArmedBandit 
Batavia NY
 
Posts: 5 since Sep 2016

It would be quite easy to do this with Python and Pandas.
Just google Anaconda python.

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Last Updated on September 25, 2016


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