Market forecasting

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Premium selection of algorithms

  • Self-optimizing ARIMA expert
  • Finite Impulse Response Neural Network
  • Finite State Markov Automation
  • Stepwise Best Regression
  • Square Root Regression
  • Square Regression
  • Logistic Regression


Self-optimizing ARIMA expert

  • 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

FIR Neural Network

  • Finite-Impulse-Response (FIR)
  • Optimal selection of filter parameters
  • Adaptive neural network training
  • Temporal back-propagation algorithm


Finite State Markov Automation

  • Market data flow exploration
  • Dynamically construct Markov models
  • Building state transition graph
  • Predict future market states


Stepwise Regression Algorithm

  • 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.

History Prophet

  • 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”

Extensible algorithmic API

  • 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

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