Market Vector Auto Regression app for iPhone and iPad

This app models the (close-open) price direction (that is, todays 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.

Stay tuned for the upcoming High CPU edition of this app which will allow up to 500 trading days of back tests (about 2 full years), and useful new features.

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.

No forecast is 100% accurate. Estimated accuracy of forecasts is computed by backtesting. Whether you should rely on long backtest probabilities or short backtest probabilities is a judgement call on your part.

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 models 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).

Hint: Adding more predictor stocks may not yield a better model. Try adding one at a time and see if backtest results get better or not.

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 "todays" 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 syncd.

Common operation among devices if devices are syncd.