My Projects

Price Probability Plot

This project aims to create a statistical model that allows to visually estimate a potential level of magnitutde and a direction of the price movement for a given security over a specified interval of time based on the historical data.

Below is the resulting plot for the following inputs:

ticker="XBI"
start_date="2010-01-01"
end_date=date.today()
time_interval="1wk"
rounding_base=1

Horizontal axis marks every dollar price-point “XBI” index has touched since 2010. Price resolution can be modifed by adjusting the rounding_base variable. Vertical axis represents the percent of time within the specified period that the index price has spent at each price point (rounded) based on the historical data. Normal Distribution is overlayed with red-dotted lines, where mu is last available price and sigma is standard deviation calcualted of log return on weekly basis.

Interpreation:

Since 2010 the price of XBI has touched $20 price mark nearly 7-times more than $17 price mark.

As of 07-28-2022 XBI price is at $83.40. By 08-04-2022 (1 week time frame), there is approximately a 68% chance for the price to stay between $79.76 and $87.04.