Hidden Markov Model Calculator

Use previous-day returns to bucket market states, build a smoothed transition matrix, and estimate the next-day move.


Paste chronological closing prices, one per line or comma separated. The tool converts them into previous-day close-to-close returns, buckets those returns into 6 sigma states, and estimates the next day using the latest state and a smoothed transition matrix. A small smoothing factor is applied internally so zero-count transitions do not break the model.

Results

Symbol
Expected Next Move
Expected Next Close
Next State
Next State Probability
Current State
Positive Probability
Negative Probability
Edge
Std Dev Return
Closing Price with Next-Day Projection
Blue line shows historical closes. Green segment and dot project the expected next closing price from the current state.
Bucket B1 B2 B3 B4 B5 B6
Bucket midpoints will appear here.
From B1 B2 B3 B4 B5 B6
Transition matrix will appear here.