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

Performance 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

Performance 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

The Parabolic stop and reversal (SAR) indicator was introduced by J. Welles Wilder in New Concepts in Technical Trading Systems. The SAR is a trend following type indicator which is always long or short the market. The SAR can be applied to any time horizon bar chart such as, monthly, weekly, daily, intra-day, tick, and even point and figure.

The basic premise of the Parabolic SAR is to create a trailing stop that is at first far enough away from the initial buy so that retracements in the early stages of the trend do not stop you out of your position. As the trend matures the trailing stop moves closer and closer at an accelerating rate to recent local lows of the current price, until the stop is penetrated by adverse price movement and a sell signal is given (opposite logic applies for sell signal)

.The shape, slope and speed of the SAR is controlled by three parameters, the starting (start) Acceleration Factor (AF), the increment (inc) that the AF can change when a new price high or low is made, and the maximum (max) AF. Because of the way the SAR is calculated, the shape of the SAR curve resembles a parabola, hence it's name.

Most software packages only allow one to vary the AF increment and the AF maximum, fixing the starting AF at 0.02. This restriction hampers the trend following abilities of the Parabolic. Many times as the SAR hugs the price curve, it is penetrated by a price bar by a small amount, causing the SAR to generate an opposite signal. The price then immediately turns around and resumes going in the direction it was going before this penetration occurred causing a costly whipsaw loss. Many of the whipsaws losses are caused by noise or randomness in the price series. Thus if the SAR is to represent the trend of a real price series it must have the capability to ignore penetrations of noise level amounts. To this end, I have modified the Parabolic SAR formula to include a variable that allows the SAR not to reverse unless penetrated by a defined amount. I define this new parameter as xo, for noise crossover increment.

The initial stop loss for the SAR after a buy signal is set at the lowest low encountered while in the previous sell signal or after a sell signal at the highest high encountered while in the previous buy signal. Many times this initial stop loss is not far away enough from the signal to prevent a whipsaw. To solve this problem I've added a fifth parameter called xprc, for "extra price" that is subtracted from the previous lowest low when a buy signal occurs so that the initial stop price is the lowest low minus xprc. On the other side, when a sell signal occurs the xprc is added to the previous highest high so that the initial stop price is the highest high plus xprc. Making the initial stop further away also makes the SAR curve take longer to catch up with the price curve further minimizing whipsaws in an initial stages of the signal.

I call this new five parameter Parabolic, parabxot.

**Parabxot Input Parameters**

**Mark**= Mark=0 means the position is not marked to the market on the last bar. Mark=1 means it is.**start**= The starting acceleration factor (AF) determines how fast parabxotDll catches up with price curve.**inc**= The increment the acceleration factor can increase by when a new high or low price is made.**max**= The acceleration factor is incremented from start to max and no higher.**xo**= The point amount that the price has to cross above or below the parabolic curve before an opposite signal is given.**xprc**= The point amount that is added to the initial stop price for sells or subtracted from the initial Stop price for buys. This allows for wider stop losses at the beginning of a move.**Xtime**, = 0, Used only for Intraday bars. Exit position before or at the close. if =1610 exit at 1610. 0 = ignore .**ClsOnly**= False. If ClsOnly equal true, the parabxot uses only close prices to calculate the parabxot.**TrdLong**=True. If TrdLong is False then only Short positions will be taken by the system .**TrdShort**= True. If TrdShort is False then only Long positions will be taken in the system .

The parabxot system is orientated to trading in all bar ranges (1 tic, 1 min, 5min, etc., daily) and with any tradable price series. This system can also be used on stock, options, and mutual fund data.

All of the EasyLanguage system and indicator codes are directly importable into TradeStation or MultiCharts and are ** fully disclosed.** There are

The ** accompanying manual** consists of:

**A short tutorial on the details of performing walk forward optimization with out-of-sample testing using TradeStation .****How I look for the "best" parameters in an optimization run.****A complete description of the parabxot system and it's input parameters.****The walk forward optimization method used and a table of the walk forward results for the system.****The parameter test ranges .****A TradeStation chart printout of the system and its associated indicator with the out-of-sample period system buy & sell signals displayed on the chart.****Performance Summaries for the total time period and the out-of sample segments.**

The 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 and MultiCharts** ** The Five Parameter Parabolic Noise Filter System** package consists of a manual, Strategy & Indicator eld files, and DLL file and is being offered through

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Thank you for your Interest....Dennis Meyers