| 開發人員: | differential enterprises (11) | ||
| 價錢: | 免費 | ||
| 排名: | 0 | ||
| 評測: | 0 寫評論 | ||
| 清單: | 0 + 0 | ||
| 點數: | 4 + 5 (4.8) ¡ | ||
| App Store | |||
描述
Unlike other folio optimizers, this code does not assume normality of returns, nor does it require to you enter volatility estimates...these are computed from public historical return data, and you can tell it how far back to look to compute the volatility. Try some optimizations and compare to results from other codes!
Main data feed is the innovative IEX.
Why rely on the tea leaves of chart reading when you can apply real statistics and historical resampled data to your analysis? While charting tools such as Bollinger bands, moving averages, and candlesticks are generated only on historical data, this app takes past data and remixes it via Monte Carlo methods to generate thousands of possible future price walks, then computes the probabilities of those price outcomes. Also works for stock-like ETFs and short ETFs (e.g. SH = short SPY).
Estimates future price distribution using random walk theory, where random samples are chosen from the history of the stock in question.
User can control how far back in time to use historical data to capture only the current "epoch" or to take into account long term historical behavior.
Built-in backtesting, verification, and model tuning tools.
-- Details --
This app models daily stock returns as a stable stochastic process and estimates a future price distribution by Monte Carlo re-sampling from an "empirical distribution" of a user-specified subset of prior (known) daily returns.
Be sure to press the Run Monte button on the Monte Carlo tab after changing settings or downloading a new data set.
This app downloads historical data from IEX as base data to resample. Prices are converted to daily returns [P(t)/P(t-1)] before resampling. The user can choose how far back to resample. By estimating a probability distribution of future prices at the user-specified investment horizon in this manner, we can give risk-of-loss estimates in thumb-rule fashion, to a first approximation.
Reports out estimated price and %loss estimates at the commonly used levels of 1st percentile and 5th percentile (1% and 5% risk). Also reports out median (50th percentile) price estimates at the given number of days forward. Calculations are performed on daily Closing price data. An artificial shock filter is provided, which can be used to reject the resampling of prior returns that are artificially large (due to splits or other artificial re-valuations that do not affect the underlying value of the asset). Theory of operation is described in detail under the Theory tab.
The stochastic model may be tuned or calibrated by adjusting the maximum number of days backwards to sample and/or a back in time linear weighting.
Stochastic Model Validation (backtest) features:
On the Monte Carlo tab, you can withhold any number of recent days from the model and then plot the results of the stochastic risk forecast as lower-bound envelopes at 1% and %5 and all other estimated probability (risk) levels dynamically after the model run is completed.
Validate tab:
This allows you to perform an exhaustive validation on your model by withholding several points, computing the model, comparing the forward prediction of the model versus the actual reserved data, and repeating this over time for all withheld points.
The app provider makes no claims as to the suitability of this app for any purpose whatsoever, and the user should consult an investment advisor before making investment decisions.
螢幕擷取畫面
新功能
- 版本: 20.5
- 發佈日期:
- Allow longer monte carlo runs for more refined models. Tested to 5 million. Limited to 10 million.
價錢
- 今天: 免費
- 最小值: 免費
- 最大值: $4.99
追蹤票價
開發人員
- differential enterprises
- 平台: iOS 應用程式 (6) macOS 應用程式 (3) Windows 應用程式 (2)
- 清單: 5 + 2
- 點數: 63 + 19 ¡
- 排名: 0
- 評測: 0
- 折扣: 0
- 影片: 0
- RSS: 訂閱
點數
-
- 8,125 Pui Hang Choi
- +1
-
- 2,202 Mario Green
- +1
-
- 3,092 바람처어럼
- +1
-
- 6,048 sf
- +1
排名
0 ☹️
清單
0 ☹️
評測
成為第一個評論 🌟
其他資訊
MCarloRisk 縮短網址: 已複製!- 🌟 分享
- App Store
你可能還喜歡
-
- Cash App: Mobile Banking
- iOS 應用程式: 財經 由: Block, Inc.
- 免費
- 清單: 6 + 1 排名: 0 評測: 0
- 點數: 5 + 7,995,528 (4.8) 版本: 5.26 Cash App is the easy way to spend, save, and invest your money.* Pay anyone in cash or bitcoin* instantly and enjoy Cash App's free Lightning Network transfers with compatible wallets. ⥯
-
- Intuit Credit Karma
- iOS 應用程式: 財經 由: Credit Karma, Inc.
- 免費
- 清單: 3 + 1 排名: 0 評測: 0
- 點數: 3 + 7,419,859 (4.8) 版本: 25.47.1 Navigate your unique financial path confidently with help from Credit Karma and make the most of your money. CONNECT YOUR ACCOUNTS FOR FINANCIAL INSIGHTS - Track your monthly spending ... ⥯
-
- Apple Wallet
- iOS 應用程式: 財經 由: Apple
- 免費
- 清單: 2 + 3 排名: 0 評測: 0
- 點數: 5 + 6,558,983 (4.8) 版本: 1.5 The Wallet app lives right on your iPhone. It s where you securely keep your credit and debit cards, eligible driver s license or state ID, transit cards, keys, event tickets, and more ⥯
-
- PayPal - Pay, Send, Save
- iOS 應用程式: 財經 由: PayPal, Inc.
- 免費
- 清單: 11 + 4 排名: 5 (1) 評測: 0
- 點數: 14 + 6,299,907 (4.8) 版本: 8.97.0 PayPal is a smart and secure way to shop in-store and online, earn cash back on brands you love, send money to friends and much more. SAVE OFFERS IN THE APP Get cash back offers from ... ⥯
-
- Discover Mobile
- iOS 應用程式: 財經 由: Discover Financial Services
- 免費
- 清單: 2 + 0 排名: 5 (1) 評測: 0
- 點數: 4 + 4,684,116 (4.9) 版本: 2522.0 You can manage your Discover credit card and bank accounts conveniently and securely from anywhere, using Discover s Mobile App. Check your account balance, view your account info, ... ⥯
-
- GEICO Mobile - Car Insurance
- iOS 應用程式: 財經 由: GEICO
- 免費
- 清單: 0 + 0 排名: 5 (1) 評測: 0
- 點數: 2 + 4,511,697 (4.8) 版本: 5.96.1 Life is full of lane changes. Some expected. Some not as much. No problem, because the GEICO Mobile app is here to lend a hand if you ever need a quote, policy update, tow, or you just ⥯
-
- Amex
- iOS 應用程式: 財經 由: American Express
- 免費
- 清單: 0 + 0 排名: 0 評測: 0
- 點數: 3 + 4,092,554 (4.9) 版本: 7.25.0 The official American Express App for iPhone allows you to access your Account from anywhere. Track spending & rewards, find offers, review your balance, pay your bill and enjoy ... ⥯
-
- Fidelity Investments
- iOS 應用程式: 財經 由: Fidelity Investments
- 免費
- 清單: 0 + 1 排名: 5 (1) 評測: 0
- 點數: 1 + 2,904,632 (4.8) 版本: 4.22 Our award-winning app gives you professional insights & powerful tools to help you make smarter money decisions. Invest in stocks, ETFs & mutual funds using industry-leading research & ⥯
-
- Experian®
- iOS 應用程式: 財經 由: Experian
- 免費
- 清單: 0 + 0 排名: 0 評測: 0
- 點數: 6 + 2,544,868 (4.8) 版本: 4.2.5 Financial Power to All™. Get your Experian credit report and FICO® Score* with a free Experian® membership no credit card needed! Apply with confidence for credit cards labeled No Ding ⥯
-
- Remitly: Send Money & Transfer
- iOS 應用程式: 財經 由: Remitly Inc
- 免費
- 清單: 1 + 1 排名: 0 評測: 0
- 點數: 2 + 2,293,353 (4.9) 版本: 6.54.2 The Remitly app offers financial services that transcend borders, enabling family and friends to send money abroad easily. Choose from convenient delivery with approximately 470,000 ... ⥯
-
- Credit One Bank Mobile
- iOS 應用程式: 財經 由: Credit One Bank, N.A.
- 免費
- 清單: 0 + 0 排名: 0 評測: 0
- 點數: 0 + 2,289,374 (4.8) 版本: 25.11.0 Meet your card s perfect companion! Manage your accounts, activate a new card, view statements, plus so much more. The Security You Expect Sign in quickly and securely with Face ID. ... ⥯
-
- PNC Mobile Banking
- iOS 應用程式: 財經 由: PNC Bank, N.A.
- 免費
- 清單: 0 + 0 排名: 0 評測: 0
- 點數: 1 + 1,827,993 (4.9) 版本: 4.60.1 Check balances & recent transactions See current account activity for your checking, savings, credit card and loan accounts. Protect your accounts Set up Touch ID® or Face ID® to ... ⥯
-
- State Farm®
- iOS 應用程式: 財經 由: State Farm Mutual Automobile Insurance Company
- 免費
- 清單: 1 + 0 排名: 0 評測: 0
- 點數: 1 + 1,211,563 (4.8) 版本: 10.153.0 With the award-winning State Farm app, you can manage your insurance policies and other products, request roadside assistance, file and track claims and much more. Drive Safe & Save® ... ⥯