Library "MarkovChains"
Markov Chains library by @metacamaleo. Created in 09/08/2024.
This library provides tools to calculate and visualize Markov Chain-based transition matrices and probabilities. This library supports two primary algorithms: a rolling window Markov Chain and a conditional Markov Chain (which operates based on specified conditions). The...
Introduction
A Markov chain is a mathematical model that describes a system evolving over time among a finite number of states. This model is based on the assumption that the future state of the system depends only on the current state and not on previous states, the so-called Markov property. In the context of financial markets, Markov chains can be used to...
Overview
The Markov Chain Trend Indicator utilizes the principles of Markov Chain processes to analyze stock price movements and predict future trends. By calculating the probabilities of transitioning between different market states (Uptrend, Downtrend, and Sideways), this indicator provides traders with valuable insights into market dynamics.
Key Features
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Library "MarkovChain"
Generic Markov Chain type functions.
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A Markov chain or Markov process is a stochastic model describing a sequence of possible events in which the
probability of each event depends only on the state attained in the previous event.
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reference:
Understanding Markov Chains, Examples and Applications. Second Edition. Book by Nicolas...
Library "FunctionProbabilityViterbi"
The Viterbi Algorithm calculates the most likely sequence of hidden states *(called Viterbi path)*
that results in a sequence of observed events.
viterbi(observations, transitions, emissions, initial_distribution)
Calculate most probable path in a Markov model.
Parameters:
observations (int ) : array ....
Library "FunctionBaumWelch"
Baum-Welch Algorithm, also known as Forward-Backward Algorithm, uses the well known EM algorithm
to find the maximum likelihood estimate of the parameters of a hidden Markov model given a set of observed
feature vectors.
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### Function List:
> `forward (array pi, matrix a, matrix b, array obs)`
> `forward (array pi, matrix a,...
Library "FunctionSMCMC"
Methods to implement Markov Chain Monte Carlo Simulation (MCMC)
markov_chain(weights, actions, target_path, position, last_value) a basic implementation of the markov chain algorithm
Parameters:
weights : float array, weights of the Markov Chain.
actions : float array, actions of the Markov Chain.
target_path : float...
![BTCUSDT: [ALGOA+] Markov Chains Library by @metacamaleo](https://s3.tradingview.com/t/TDD70PUu_mid.png "[ALGOA+] Markov Chains Library by @metacamaleo")
![BTCUSD: [SGM Markov Chain]](https://s3.tradingview.com/w/W6mASoj8_mid.png "[SGM Markov Chain]")
