Kalman Filter Software For Your PC
The Kalman filter's predictive power has been used in the
Apollo program, Space Shuttle and cruise missiles to name a few. At Haiku
Laboratories we use that same technology to predict the value of a stock
from its historical prices. The chart below shows an example of the
filter's predictions for one year of

AXL opening prices ending
09/25/09. The prices are shown as an orange line and the Kalman predictions
as green dots. Using the investment strategy described in Predicting Market Data With A Kalman Filter on the
AXL data yields the Fortune chart below. It shows a 2.5-fold increase on
investment over the year. (See more examples)

The Kalman
filter is available as an Excel Add-In.
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