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

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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 System finds the Velocity of N bars using the modern robust regression mathematical techniques called the Repeated Median Slope. If the Repeated Median Velocity(RMV) is greater than the threshold amount vup the system buys. If the Repeated Median Velocity is less than the threshold amount -vdn the system sells. The RMV is made into a super fast DLL. This DLL allows the System & Indicator to update in real time and makes optimization of the RMV strategy quick. A description of this strategy can be found on page Robust Repeated Median Velocity System

Click here for my working papers on the Robust Repeated Median Velocity Strategy

This System takes the Velocity of the N bar Least Squares straight line. If the velocity is greater than the threshold amount vup the system buys. If the velocity is less than the threshold amount -vdn the system sells. A description of this system can be found on page Velocity System

Click here for my working paper on the Velocity Strategy

This System finds the Acceleration of the N bar Least Squares 2^{nd} order polynomial line. A super fast algorithm for the least squares acceleration of the 2nd order polynomial curve is used that avoids floating point overflow and cuts the computation time by 80%. If the acceleration is greater than the threshold amount aup the system buys. If the acceleration is less than the threshold amount -adn the system sells. A description of this strategy can be found on page Acceleration System

Click here for my working paper on the Acceleration Strategy

The P^2 Next Bar Forecast system is a 2nd order polynomial Least Squares System that extrapolates the next bar's value and can react much faster to price changes than the Least Squares t+1 system above. A super fast algorithm for the 2nd order polynomial avoids floating point overflow and cuts the computation time by 80%. A description of this system can be found on page P^2 Next Bar Forecast System

This new system takes unique combinations of many momentum time divisions to create it's buy and sell signals. A description of this system can be found on page PolyChrMtm System

This new range based system uses a variable lookback period based upon a maximum likelihood range to generate it's buy and sell signals and reduce the false signals. A description of this system can be found on page MaxLkHdRge System

All strategies are orientated to trading in all bar ranges from 1 tic, to 1 min bars to daily bars. None of our strategies are "plug and play". By that I mean the strategies can't be used right out of the box. The input parameters in the strategy have to be "discovered" by TradeStation or NeuroShell optimization and comprehensive analysis for the tradeable and the time bars you are interested in. It takes some discriminating *skill* and experience to select the input parameters in the test optimization section that will produce profits in the out of sample future.

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

For **NeuroShell Trader/DayTrader Pro,** the Trading Strategy and Indicators are directly imported into NeuroShell via a special setup exe file and are fully disclosed in the Indicator wizard "MA_KeyTrSys" category and in the Trading Strategy Wizard "MA_KeyTrSys" 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 system results will give parameters for the intraday or daily futures the system was tested on, the user can easily use this system on any tradeable or on any time frame.

The ** 100+ page 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 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 it's exact duplicate in indicator form which is displayable on the price chart so that the user can visually see how the buy and sell signals occur.

For **TradeStation 9.x** and **MultiCharts**, The ** Key Daily & Intraday Trading Systems™ v5t** package consists of a manual with tutorial as described above, Strategy, Indicator ELD or PLA file, and DLL file and is being offered through

For **NeuroShell Trader/DayTrader Pro,** The ** Key Daily & Intraday Trading Systems™ Version 5** 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

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Thank you for your Interest....Dennis Meyers