What's New

Add button to show correlation kurtosis (fat tail effect) in logarithm form.

App Description

Stock price / probability risk analyzer optimizer app for the common man. Now with portfolio support, pairwise correlation/regression analysis of daily returns, and portfolio optimization. Computes forward (price,probability) for your share-weighted portfolio.
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!

See Whats New In This version notes (all versions) for many more details.

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 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 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.

iPhone Screenshots

(click to enlarge)

MCarloRisk screenshot 1 MCarloRisk screenshot 2 MCarloRisk screenshot 3 MCarloRisk screenshot 4 MCarloRisk screenshot 5

App Changes

  • July 29, 2015 New version 7.4
  • May 16, 2015 New version 7.3
  • May 08, 2015 New version 7.2
  • April 27, 2015 New version 7.1
  • April 27, 2015 Price decrease: $4.99 -> FREE!
  • March 17, 2015 Price increase: FREE! -> $4.99
  • March 01, 2015 New version 6.0
  • February 12, 2015 New version 5.2
  • February 06, 2015 New version 5.0
  • January 29, 2015 Price decrease: $0.99 -> FREE!
  • January 29, 2015 New version 4.9
  • January 05, 2015 Price increase: FREE! -> $0.99
  • June 24, 2014 New version 4.8
  • June 04, 2014 Price decrease: $0.99 -> FREE!
  • June 01, 2014 Price increase: FREE! -> $0.99
  • April 21, 2014 Price decrease: $0.99 -> FREE!
  • April 18, 2014 Price increase: FREE! -> $0.99
  • October 06, 2013 Price decrease: $0.99 -> FREE!
  • September 16, 2013 Price increase: FREE! -> $0.99
  • July 21, 2013 Price decrease: $0.99 -> FREE!
  • July 19, 2013 Price increase: FREE! -> $0.99
  • June 30, 2013 Price decrease: $0.99 -> FREE!
  • June 24, 2013 Price increase: FREE! -> $0.99
  • May 05, 2013 Price decrease: $0.99 -> FREE!
  • May 04, 2013 Price increase: FREE! -> $0.99
  • April 21, 2013 New version 4.7
  • April 04, 2013 New version 4.5
  • April 04, 2013 Price decrease: $0.99 -> FREE!
  • April 02, 2013 Price decrease: $1.99 -> $0.99
  • March 28, 2013 Price increase: FREE! -> $1.99
  • March 26, 2013 New version 4.3
  • March 21, 2013 Price decrease: $0.99 -> FREE!
  • March 18, 2013 Price increase: FREE! -> $0.99
  • March 14, 2013 New version 4.2
  • March 08, 2013 Price decrease: $0.99 -> FREE!
  • March 06, 2013 New version 4.1
  • February 18, 2013 Price increase: FREE! -> $0.99
  • February 11, 2013 Price decrease: $0.99 -> FREE!
  • January 16, 2013 Price increase: FREE! -> $0.99
  • January 09, 2013 New version 4.0
  • December 21, 2012 New version 3.3
  • December 03, 2012 Price decrease: $2.99 -> FREE!
  • November 19, 2012 Price increase: $1.99 -> $2.99
  • November 07, 2012 Price increase: FREE! -> $1.99
  • November 05, 2012 Price decrease: $1.99 -> FREE!
  • October 15, 2012 Price increase: $0.99 -> $1.99
  • October 08, 2012 Price decrease: $1.99 -> $0.99
  • September 07, 2012 Price increase: $0.99 -> $1.99
  • September 04, 2012 Price decrease: $1.99 -> $0.99
  • July 30, 2012 Price decrease: $19.99 -> $1.99
  • July 19, 2012 Price increase: $1.99 -> $19.99
  • July 16, 2012 Price decrease: $19.99 -> $1.99
  • July 13, 2012 Price increase: $4.99 -> $19.99
  • July 10, 2012 Price decrease: $9.99 -> $4.99
  • July 07, 2012 Price decrease: $19.99 -> $9.99
  • July 05, 2012 Price increase: $9.99 -> $19.99
  • June 30, 2012 Price decrease: $19.99 -> $9.99
  • June 20, 2012 Price increase: $2.99 -> $19.99
  • June 19, 2012 Price increase: $1.99 -> $2.99
  • June 11, 2012 Price increase: $0.99 -> $1.99
  • June 08, 2012 Price decrease: $1.99 -> $0.99
  • June 02, 2012 Price increase: $0.99 -> $1.99
  • May 30, 2012 Price decrease: $1.99 -> $0.99
  • May 11, 2012 Price increase: $0.99 -> $1.99
  • May 10, 2012 Price decrease: $1.99 -> $0.99
  • April 15, 2012 Price increase: $0.99 -> $1.99
  • April 14, 2012 Price decrease: $1.99 -> $0.99
  • March 30, 2012 Price increase: FREE! -> $1.99
  • March 26, 2012 Price decrease: $0.99 -> FREE!
  • March 21, 2012 Price decrease: $1.99 -> $0.99
  • March 17, 2012 Price increase: $0.99 -> $1.99
  • March 16, 2012 Price decrease: $1.99 -> $0.99
  • March 03, 2012 Price increase: $0.99 -> $1.99
  • March 01, 2012 Price decrease: $1.99 -> $0.99
  • February 20, 2012 Price increase: $0.99 -> $1.99
  • February 14, 2012 Price decrease: $1.99 -> $0.99
  • January 31, 2012 Price decrease: $4.99 -> $1.99
  • January 20, 2012 Price decrease: $9.99 -> $4.99
  • January 16, 2012 Price increase: $0.99 -> $9.99
  • January 06, 2012 Price increase: FREE! -> $0.99
  • January 04, 2012 Price decrease: $0.99 -> FREE!
  • December 25, 2011 Price increase: FREE! -> $0.99
  • December 22, 2011 Price decrease: $0.99 -> FREE!
  • December 17, 2011 Price increase: FREE! -> $0.99
  • December 15, 2011 Price decrease: $0.99 -> FREE!
  • November 29, 2011 Price increase: FREE! -> $0.99
  • November 26, 2011 Price decrease: $0.99 -> FREE!
  • November 14, 2011 Price increase: FREE! -> $0.99
  • November 11, 2011 Price decrease: $0.99 -> FREE!
  • November 01, 2011 Price increase: FREE! -> $0.99
  • October 29, 2011 Price decrease: $0.99 -> FREE!
  • October 24, 2011 Price increase: FREE! -> $0.99
  • October 20, 2011 Price decrease: $0.99 -> FREE!
  • October 10, 2011 Price increase: FREE! -> $0.99
  • October 07, 2011 Price decrease: $0.99 -> FREE!
  • September 30, 2011 Price increase: FREE! -> $0.99
  • September 28, 2011 Price decrease: $0.99 -> FREE!
  • September 25, 2011 Price increase: FREE! -> $0.99
  • September 23, 2011 Price decrease: $0.99 -> FREE!
  • September 10, 2011 Price decrease: $0.99 -> FREE!
  • September 01, 2011 Price decrease: $1.99 -> $0.99
  • August 22, 2011 Price decrease: $2.99 -> $1.99
  • August 12, 2011 Price decrease: $3.99 -> $2.99
  • August 01, 2011 Price decrease: $4.99 -> $3.99
  • July 22, 2011 Initial release

Other Apps From differential enterprises