Meyers

Analytics

Analytics

Advanced Mathematical Trading Strategies & Walk Forward Out-Of-Sample Analysis

applied to algorithmic trading of stocks, futures & forex

Info: (312) 280-1687 support@meyersanalytics.com

applied to algorithmic trading of stocks, futures & forex

Info: (312) 280-1687 support@meyersanalytics.com

Order Online
Power Walk Forward

Optimizer Walk Forward

Metric Explorer Walk Forward

Input Explorer Walk Forward

Surface Explorer Key Daily & Intraday

Trading Strategies Nth Order Fixed Memory

Polynomial Strategy Nth Order Fading Memory

Polynomial Strategy End Point Fast Fourier

Transform Strategy Goertzel DFT

Strategy Five Parameter

Parabolic Strategy Dennis Meyers

Working Papers

Optimizer Walk Forward

Metric Explorer Walk Forward

Input Explorer Walk Forward

Surface Explorer Key Daily & Intraday

Trading Strategies Nth Order Fixed Memory

Polynomial Strategy Nth Order Fading Memory

Polynomial Strategy End Point Fast Fourier

Transform Strategy Goertzel DFT

Strategy Five Parameter

Parabolic Strategy Dennis Meyers

Working Papers

This package contains the advanced mathematical technique and noise filter called the N^{th} Order Fading Memory Polynomial *(FadmXVAn)*. It is called fading memory because all of the a_{n} coefficients of the polynomial are updated recursively at each bar. Updated recursively means that the coefficients are a function of the coefficients of the previous bar and the squared error between the current bar and the projected polynomial. Thus the coefficients change more smoothly with each new bar than the fixed memory polynomial. This advanced mathematical technique is currently used in today's space-age missile and satellites applications and is applied here to stock and commodity trading.

## The N^{th} Order Fading Memory Polynomial System v3t

With this mathematical technique the price series is modeled using an nth order polynomial of the form:

**price(t) = a**_{0}(t)+a_{1}(t)*t+a_{2}(t)*t^{2}+a_{3}(t)*t^{3}+a_{4}(t)*t^{4}+...+a_{n}(t)*t^{n}

Where all the a_{n}(t) coefficients are updated recursively with each new price bar. Very fast efficient algorithms compute the polynomial coefficients at each new price bar and give the polynomial's **1 bar ahead** prediction for the **price, velocity and acceleration**. The Next Bar's Forecast price system follows the 1 bar ahead generated curve and issues buy and sell signals based upon the curve turning up or down by a fixed percentage from a curve bottom or top. The Next Bar's forecast Velocity and Acceleration Systems follows the 1 bar ahead generated velocity and acceleration curves and issue buy and sell signals when the next bar's forecast velocity and acceleration cross some noise threshold.

## Product Description

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**Order Online**. If you would like to talk to me about the product, please call me at **(312) 280-1687 **M-F 12pm to 5pm CST. All E-mail queries can be sent to **support@meyersanalytics.com.**

Thank you for your Interest....Dennis Meyers

With this mathematical technique the price series is modeled using an nth order polynomial of the form:

Where all the a

These type of polynomial systems are best illustrated in the following working papers that are available on the * Working Papers page*.

**The Fading Memory Polynomial Velocity Strategy Applied To Trading Euro Futures 1min Bars from Jan/2008-Dec/2013**December/2013, 27 pages**The Fading Memory Polynomial Forecast Price Strategy Applied To 1Min bar e-Mini Futures from June/2012-May/2015**May/2015, 22 pages

All systems are orientated to short term trading in all bar ranges from 1 tic, to 1 min bars to daily bars. All of the systems have been walk forward tested either on daily data or intraday data.

For **TradeStation** all of the EasyLanguage strategy and indicator codes are directly importable into your choice of TS9.x or MultiCharts and are ** fully disclosed.** There are

For **NeuroShell Trader/DayTrader Pro,** the Trading Strategies and Indicators are directly imported into NeuroShell via a special setup exe file and are fully disclosed in the Manual, Indicator wizard "MA_FadmXVAn" category and in the Trading Strategy Wizard "MA_FadmXVAn" directory. The C++ DLL code is not disclosed. The Input parameters to the strategies and indicators are changeable and optimizable so that the user can develop his own parameter set on his price series and time frame of interest. Although the strategy results will give parameters for the intraday or daily futures the strategy was tested on, the user can easily use this system on any tradeable or on any time frame.

The ** accompanying manual** consists of:

**A short tutorial on the details of performing walk forward optimization with out-of-sample testing using TradeStation and how I look for the "best" parameters in a TS combinatorial optimization run (available in the TS Manual only).****A complete description of each system, it's derivation and it's input parameters.****The walk forward optimization method used and a table of the walk forward results for each system.****The input parameter test ranges****How to setup a chart using the Strategies and Indicators in TradeStation or NeuroShell**.**A chart printout with the Strategy & it's associated Indicator with all the system buy and sell signals displayed on the chart.****Performance Summaries for the test period and the out-of sample period segments.**

In addition each system has its exact duplicate in indicator form which is displayable on the price chart and in the charts printout, so that the user can visually see how the buy and sell signals occur.

For **TradeStation, MultiCharts** The ** n^{th} Order Fading Memory Adaptive Polynomial System v3t ** package consists of a manual with tutorial as described above, Strategies, and Indicators in ELD or PLA file, and a DLL . This product is being offered through

For **NeuroShell Trader/DayTrader Pro,** The ** n^{th} Order Fading Memory Adaptive Polynomial System v3t** package consists of a manual as described above and a special setup exe file that installs all the Trading Strategies, Indicators, and DLL into NeuroShell. This product is being offered through

To order online

Thank you for your Interest....Dennis Meyers