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Stock Fusion Algorithms

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Stock Fusion Algorithms

  1. 1. Market Forecasting Algorithms StockFusion Studio www.stockfusion.net
  2. 2. Premium selection of algorithms StockFusion Studio - Intelligent Trading Expert Adviser 2 • Self-optimizing ARIMA expert • Finite Impulse Response Neural Network • Finite State Markov Automation • Stepwise Best Regression • Square Root Regression • Square Regression • Logistic Regression
  3. 3. ARIMA for time series forecasting StockFusion Studio - Intelligent Trading Expert Adviser 3 ARIMA models are, in theory, the most general class of models for forecasting a time series which can be made to be “stationary” by differencing. An ARIMA model can be viewed as a “filter” that tries to separate the signal from the noise, and the signal is then extrapolated into the future to obtain forecasts.
  4. 4. Example of ARIMA forecast StockFusion Studio - Intelligent Trading Expert Adviser 4
  5. 5. Self-optimizing ARIMA expert StockFusion Studio - Intelligent Trading Expert Adviser 5 • Full ARIMA(p,d,q) implementation • Unlimited order of mixed modeling • Conditional error estimates • Chi-square statistics on residuals • Expert inference for optimal parameters • Automatic trend adjustments • Prediction on multiple future horizons
  6. 6. FIR Neural Network StockFusion Studio - Intelligent Trading Expert Adviser 6 • Finite-Impulse-Response (FIR) • Optimal selection of filter parameters • Adaptive neural network training • Temporal back-propagation algorithm
  7. 7. Finite State Markov Automation StockFusion Studio - Intelligent Trading Expert Adviser 7 • Market data flow exploration • Dynamically construct Markov models • Building state transition graph • Predict future market states
  8. 8. Stepwise Best Regression StockFusion Studio - Intelligent Trading Expert Adviser 8
  9. 9. Stepwise Regression Algorithm StockFusion Studio - Intelligent Trading Expert Adviser 9 • Enter and remove predictors, in a stepwise manner, until there is no justifiable reason to enter or remove more. • At each step, enter or remove a predictor based on partial F-tests. • Stop when no more predictors can be justifiably entered or removed from the stepwise model.
  10. 10. Linear Regression StockFusion Studio - Intelligent Trading Expert Adviser 10
  11. 11. Linear Regression Model StockFusion Studio - Intelligent Trading Expert Adviser 11 • Simple linear regression • Least squares estimator • Single explanatory variable iii εβXαY  • Classics of technical analysis • Useful as a reference for comparison with nonlinear estimates
  12. 12. Linear versus Nonlinear Fit StockFusion Studio - Intelligent Trading Expert Adviser 12 Linear fit does not give random residuals Nonlinear fit gives random residuals  X residuals X Y X residuals Y X
  13. 13. Square Root Regression StockFusion Studio - Intelligent Trading Expert Adviser 13 • The square-root transformation iii εXββY  110 • Used to • overcome violations of the homoscedasticity assumption • fit a non-linear relationship
  14. 14. Square Root Transformation StockFusion Studio - Intelligent Trading Expert Adviser 14  Shape of original relationship X b1 > 0 b1 < 0 X Y Y Y Y  Relationship when transformed i1i10i εXββY i1i10i εXββY 
  15. 15. Quadratic Regression Model StockFusion Studio - Intelligent Trading Expert Adviser 15  where: β0 = Y intercept β1 = regression coefficient for linear effect of X on Y β2 = regression coefficient for quadratic effect on Y εi = random error in Y for observation i Model form: iiii εXβXββY  2 12110
  16. 16. Logistic Regression StockFusion Studio - Intelligent Trading Expert Adviser 16
  17. 17. Log Transformation StockFusion Studio - Intelligent Trading Expert Adviser 17  Original multiplicative model  Transformed multiplicative model The Multiplicative Model:  Original multiplicative model  Transformed exponential model The Exponential Model:
  18. 18. Forecast with average value StockFusion Studio - Intelligent Trading Expert Adviser 18 • Simple moving average predictor • Predicted value equal to moving average over previous values • Useful as a reference for comparison with more complex algorithms n ppp SMA nMMM )1(1    
  19. 19. History Prophet StockFusion Studio - Intelligent Trading Expert Adviser 19 • Dummy predictor for strategy testing • Predicts every point with its future value • Imitates a “prophet” knowing the future • Delivers 100% of profitable trades • Explicitly uses forward info • Not suitable for practical trading • Analog of “Maximum Profit System”
  20. 20. Maximum Profit Simulation StockFusion Studio - Intelligent Trading Expert Adviser 20
  21. 21. Extensible algorithmic API StockFusion Studio - Intelligent Trading Expert Adviser 21 • Modular algorithmic server • Extendable calculation engine • Real-time C++ core framework • Open standard development API • Universal DLL interface • Compatibility with development tools • Multiple sample models
  22. 22. About StockFusion StockFusion Studio - Intelligent Trading Expert Adviser 22 Copyright © 2014 StockFusion Technologies. All rights reserved. No part of the materials including graphics or logos, available in this Web site may be copied, reproduced, translated or reduced to any electronic medium or machine-readable form, in whole or in part without written permission. The product names used in this document are for identification purposes only. All trademarks and registered trademarks are the property of their respective owners. Trading futures and options involves the risk of loss. You should consider carefully whether futures or options are appropriate to your financial situation. You must review the customer account agreement and risk disclosure prior to establishing an account. Only risk capital should be used when trading futures or options. Investors could lose more than their initial investment. Past results are not necessarily indicative of futures results. The risk of loss in trading futures or options can be substantial, carefully consider the inherent risks of such an investment in light of your financial condition. Information contained, viewed, sent or attached is considered a solicitation for business.

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