TSSTOCKWAGER(1) TSSTOCKWAGER(1) NAME tsstockwager - simulate the portfolio gains time series of a stock SYNOPSIS tsstockwager [-c] [-d] [-f f] [-i i] [-p] [-s] [-t] [-u] [-w w] [-v] [filename] DESCRIPTION Tsstockwager is for stock capital investment simulation. The idea is to simulate an optimal wagering strategy, dynamically determining the Shannon probability by counting the up movements in a stock's value in a window from the stock's value time series, and using this to compute the fraction of the total capital to be invested in the stock for the next iteration of the time series, which is 2 * P - 1, where P is the Shannon probability. See, "Fractals, Chaos, Power Laws," Manfred Schroeder, W. H. Freeman and Company, New York, New York, 1991, ISBN 0-7167-2136-8, pp 128, 151. The assumption is that a stock's price time series could be modeled as a fixed increment fractal. OPTIONS -c Sample's value will be included in the output time series. -d Capital gains will be included in the output time series. -f f Fraction of capital invested will be included in the output time series. -i i Initial value of capital. -p Current value of stock will be included in the output time series. -s Sample's Shannon probability will be included in the output time series. -t Sample's time will be included in the output time series. -u Count sequential elements from the time series with equal magni- tude as an up movement in stock price. (The program normally counts two sequential elements from the time series with equal magnitude as a down movement in the stock's price. The -u switch will have them counted as an up movement.) -w w Window sample size for Shannon probability computation. (The number of sequential elements from the time series that will be included in the calculation of Shannon probability will be this number plus 1. For example, -w 3 will count 3 market movements, from 4 sequential elements from the time series.) -v Print the version and copyright banner of the program. filename Input filename. WARNINGS There is little or no provision for handling numerical exceptions. SEE ALSO tsderivative(1), tshcalc(1), tshurst(1), tsintegrate(1), tslogre- turns(1), tslsq(1), tsnormal(1), tsshannon(1), tsblack(1), tsbrown- ian(1), tsdlogistic(1), tsfBm(1), tsfractional(1), tsgaussian(1), tsin- tegers(1), tslogistic(1), tspink(1), tsunfairfractional(1), tswhite(1), tscoin(1), tsunfairbrownian(1), tsfraction(1), tsshannonmax(1), tschangewager(1), tssample(1), tsrms(1), tscoins(1), tsavg(1), tsXsquared(1), tsstockwager(1), tsshannonwindow(1), tsmath(1), tsavg- window(1), tspole(1), tsdft(1), tsbinomial(1), tsdeterministic(1), tsnumber(1), tsrmswindow(1), tsshannonstock(1), tsmarket(1), tsstock(1), tsstatest(1), tsunfraction(1), tsshannonaggregate(1), tsin- stant(1), tsshannonvolume(1), tsstocks(1), tsshannonfundamental(1), tstrade(1), tstradesim(1), tsrunlength(1), tsunshannon(1), tsroot- mean(1), tsrunmagnitude(1), tskurtosis(1), tskurtosiswindow(1), tsroot- meanscale(1), tsscalederivative(1), tsgain(1), tsgainwindow(1) tscauchy(1), tslognormal(1), tskalman(1), tsroot(1), tslaplacian(1) DIAGNOSTICS Error messages for incompatible arguments, failure to allocate memory, inaccessible files, and opening and closing files. AUTHORS ---------------------------------------------------------------------- A license is hereby granted to reproduce this software source code and to create executable versions from this source code for personal, non-commercial use. The copyright notice included with the software must be maintained in all copies produced. THIS PROGRAM IS PROVIDED "AS IS". THE AUTHOR PROVIDES NO WARRANTIES WHATSOEVER, EXPRESSED OR IMPLIED, INCLUDING WARRANTIES OF MERCHANTABILITY, TITLE, OR FITNESS FOR ANY PARTICULAR PURPOSE. THE AUTHOR DOES NOT WARRANT THAT USE OF THIS PROGRAM DOES NOT INFRINGE THE INTELLECTUAL PROPERTY RIGHTS OF ANY THIRD PARTY IN ANY COUNTRY. Copyright (c) 1994-2006, John Conover, All Rights Reserved. Comments and/or bug reports should be addressed to: john@email.johncon.com (John Conover) ---------------------------------------------------------------------- January 10, 2006 TSSTOCKWAGER(1)