Compare Stock Prices Using DTW

Use WarpingCorrespondence to compare the first quarter of 2016 of the HPQ stock prices with historical data from 2010 to 2015.

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recent = FinancialData["HPQ", {{2016, 1, 1}, {2016, 3, 31}}, "Value"]; {histDates, hist} = Transpose[ FinancialData["HPQ", {{2010, 1, 1}, {2015, 1, 31}}, "DateValue"]];

Find the best matching subsequence of historical data.

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{corrHist, corrRecent} = WarpingCorrespondence[hist, recent, Method -> {"MatchingInterval" -> "Flexible"}];

Detect the historical interval most similar to quarter one of 2016.

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{m, n} = corrHist[[{1, -1}]]; histDates[[{m, n}]]

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Visually compare recent data and the best historical match.

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DateListPlot[{AssociationThread[ Take[histDates[[m ;; n]], Length[recent]], recent], AssociationThread[histDates[[m ;; n]], hist[[m ;; n]]]}, PlotTheme -> "Business", PlotLegends -> {"2016 data", "Best historical match"}, DateTicksFormat -> {"MonthNameShort", " ", "YearShort"}, ImageSize -> Medium]

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Predict the stock prices for the next 30 days based on historical data.

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l = Length[recent]; colDat = ColorData["Atoms"]; offset = Last[recent] - hist[[n]]; hist30d = hist[[n ;; n + 30]]; ListLinePlot[{recent, {l + Range[31], hist30d + offset}\[Transpose], hist[[m ;; n]], {n - m + Range[31], hist30d}\[Transpose]}, PlotStyle -> {colDat["Rh"], {colDat["Mo"], Dotted}, colDat["Yb"], {colDat["Tb"], Dotted}}, PlotLegends -> Placed[{"2016 data", "30 days prediction", "Best historical match", "Next 30 days of historical data"}, Below], ImageSize -> Medium, Axes -> {False, True}, Epilog -> {Dashed, {Arrow[{{n - m, hist[[n]]}, {l + 1, Last[recent]}}], Arrow[{{n - m + 30, hist[[n + 30]]}, {l + 31, hist[[n + 30]] + offset}}]}}]

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