What's New

Display 300 of the many monte carlo random walk traces as an overlay on the monte carlo tab's graphs, so the user can get a better idea of how the price probability calculations are done. This display is optional. The 3 plot settings are now Plot, Traces, and Report (e.g.: no plot). Don't allow a plot to be displayed until the monte carlo is regenerated, to avoid showing misleading plots or crashing. Minor color adjustments for visibility when the random walk traces are displayed, and minor visual adjustments to the busy wait spinners.

App Description

Stock risk analyzer app for the common man.

Achieved Top 10 grossing finance app in Finland, Latvia, and New Zealand!

Estimates future price distribution (general "bell curve") using random walk theory.

Uses prior data from the stock in question for volatility estimates.

User can control how far back in time to use data for volatility.

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. The MC is not run automatically after each change, because it can be a bit time consuming if you want the computation done for many days forward.

This app downloads historical data from Yahoo Finance 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 may be performed on Yahoo daily Closing or Adjusted 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 only by adjusting the maximum number of days backwards to sample. One may want to tune the model differently for a different number of days forward estimate.

Version 2.0:

New Stochastic Model Validation 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 estimated probability (risk) levels.

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 in increasing time sequence for all withheld points.

New cursor beam on new plots:

A vertical "Cursor Beam" is provided that you can drag across the new plots in the Monte Carlo tab and the Validate tab to show the plotted values from several curves at once, with the values color-coded to the curves.

Version 3.0:

Show the full price probability plot linked to the days-forward setting of the Monte Carlo graph. This is a slice thru the probability surface generated by the Monte Carlo procedure.

Version 3.2:

Allow an optional display of 300 of the many monte carlo random walk traces as an overlay on the monte carlo tab's graphs. With this, the user can get a better intuitive idea of how the price probability calculations are done.

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.

App Changes

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