Algorithms

buynow1       downloadnow1

Built-in forecasting expert works on unique collection of elaborate predictors, technical indicators, digital filters and statistical tests to achieve top forecasting accuracyand reliability in full automated unattended mode. Not offered in any other product.

Trading strategies

  • Direct Forecast
  • Exact Price Change
  • Exact Forecast Threshold
  • Exact Forecast Change
  • Safe Exit
  • Safe Balance

Forecasting algorithms

  • ARIMA
  • Exponential Fit
  • Finite State Markov Automaton
  • History Prophet
  • Logarithmic Fit
  • Logistic Fit
  • MACD Crossover MA
  • Naive Predictor
  • Square Fit
  • Square Root Fit
  • Stepwise Best Regression MVAR
  • Univariate linear regression

Trading performance criteria

  • Asymmetry
  • Compare to Naive Predictor
  • Correlation Radius
  • Cumulative Gain
  • Excess
  • Fractal Dimension
  • Friedman
  • H parameter
  • Hurst Coefficient
  • K-Sample
  • Kruskal-Wallis
  • Net Profit
  • Normal Absolute Difference
  • Normal Root Mean Square
  • Predicted Change Direction
  • Scale of Sign Change Rate
  • Shannon Probability
  • Typical Run Length

Technical indicators

  • 1 day ROC of 3 Smooth EMA
  • Absolute Price Oscillator
  • Aroon Down
  • Aroon Oscillator
  • Aroon Up
  • Average Price
  • Average True Range
  • Avg Direct Move Idx Rating
  • Avg Directional Move Idx
  • BB Histogram
  • Balance of Power
  • Candle Code
  • Chaikin AD Line
  • Chaikin AD Oscillator
  • Commodity Channel Index
  • Directional Movement Index
  • Double Exponential MA
  • Exponential Moving Average
  • FXS Adaptive Moving Average
  • Hilbert Dominant Cycle Period
  • Hilbert Dominant Cycle Phase
  • Hilbert Phasor Components
  • Hilbert SineWave
  • Hilbert Transform Trendline
  • Hilbert Trend vs Cycle Mode
  • Kaufman Adaptive MA
  • Linear Regr Angle
  • Linear Regr Intercept
  • Linear Regr Slope
  • Linear Regression
  • MACD 12-24
  • MACD Crossover
  • MESA Adaptive Moving Average
  • Median Price
  • MidPoint over period
  • Midpoint Price over period
  • Minus Directional Indicator
  • Minus Directional Movement
  • Momentum
  • Money Flow Index
  • Moving Average
  • Moving Average Ribbon
  • On Balance Volume
  • Parabolic SAR
  • Percentage Price Oscillator
  • Plus Directional Indicator
  • Plus Directional Movement
  • Projection Oscillator
  • Rate of change
  • Rate of change Percentage
  • Rate of change ratio
  • Relative Strength Index
  • Simple Moving Average
  • TEMA Stochastic
  • Time Series Forecast
  • Triangular Moving Average
  • Triple EMA
  • Triple EMA T3
  • Triple Exponential MA
  • True Range
  • Typical Price
  • Weighted Close Price
  • Weighted Moving Average
  • Wilder Relative Strength Ind
  • Williams Percent R

Free open API enables unlimited system extensibility both in data access and additional forecasting technologies which then are native consumed in system kernel expert reasoning. SOAP, DCOM and C++ bindings give easy direct integration with virtually any enterprise infrastructure including Java, NET, Delphi, MS Office, online portals and interactive web services.

Formulas

Below we provide the full table of algorithms available in ForeStock. Algorithms are grouped according to their packages. Packages are separate modules in common algorithmic space and are licensed individually. You can watch names of packages in License Manager. Licensing any package implies all algorithms contained inside it.

Forecasting algorithm Description Type
ARIMA Expert    
ARIMA with expert model fit Seasonal Auto-Regressive Integrated Moving Average forecasting model with automatic expert inference on all model parameters. Predictor
Finite State Markov Automation    
Finite State Markov Automation We dynamically construct Markov models that describe the characteristics of Market data flow. Such models are used to predict future market states. Predictor
Finite Impulse Response NN    
Finite impulse response neural network The finite impulse response neural network is a neural network, where scalar weights are replaced with moving average filters. These filters compute a weighted average of past values presented to the network, as opposed to the feed-forward network, which only computes a weighted “average” of the current value. These networks are trained using a variation on the backpropagation algorithm. Predictor
Advanced Regressions    
Forecast with average value Classical moving average with period 20 Predictor
Linear regression Linear regression liney = at + bcalculated over 20 last points Predictor
Exponential Fit Exponential regression curvey = eat + bcalculated over 20 last points Predictor
Logarithmic Fit Logarithmic regressiony = log(at + b)calculated over 20 last points Predictor
Logistic Fit Logistic regressiony = c / [1 + e-(at + b)]calculated over 20 last points Predictor
Square Fit Parabolic regressiony = (at + b)2calculated over 20 last points Predictor
Square Root Fit Square root regressiony = (at + b)1/2calculated over 20 last points Predictor
History Prophet Emulates “ideal” predictor. Forecast is set to real next observed value, which ensures 100% forecasting accuracy on historical data. It is very useful to calibrate performance of trading strategies in “ideal” conditions. In no case, it should be used as predictor in real trading. Predictor
Naive Predictor Forecast with the previous price. Dummy forecast to evaluate performance of other algorithms. Predictor

 

buynow1       downloadnow1