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

Previously we presented a trading system, called "The Next Bar Forecast System". That system fit a straight line, through "N" past prices, and then used the straight line coefficients to forecast the next price.. The Next Bar Forecast curve was constructed by calculating the forecasted next price (P_{f}) at each bar and plotting it under the price chart. In general what the system did was to follow the plotted curve of P_{f} . When the curve increased by a percentage amount pctup from the previous prior low of the curve the system goes long. When the curve fell by the percentage amount pctdn from the previous prior high of the curve the system went short.

The problem with the least squares straight line P_{f} curve is that many times it doesn't turn fast enough to follow fast moving price changes. Here we will use a use a 2nd order polynomial, to fit N past prices and generate a curve based on the next bar forecast of the 2nd order polynomial. The resultant curve, because it is a higher polynomial order will change direction faster than the straight line curve when the price series changes direction. The mathematics for finding the least squares 2nd order polynomial coefficients is the same, though more complicated, as finding the coefficients of a straight line fit.

The equation for the parabolic line is P2_{est}(t)= b0 + b1*t + b2*t^{2}. Where P2_{est}(t) is the price estimate of the least squares fit at time t .

The forecast of the next bar's close, P2_{f} ,using the least squares fit parameters b0, b1 and b2 calculated above is given by the equation: P2_{f} = b0 + b1*(N+1) + b2*(N+1)^{2} .

The least squares 2nd order polynomial forecast curve is constructed by calculating P2_{f} at each bar using the previous N bars of prices and plotting it under the price chart. **A super fast algorithm for computing the least squares coefficients at each price bar is used that cuts the computation time by 80% and avoids floating point overflow.** In general what we will be doing is following the plotted curve of P2_{f} . When the curve increases by a percentage amount *pctup* from the previous prior low of the curve we will go long. When the curve falls by the percentage amount *pctdn* from the previous prior high of the curve we will go short.

**Nt2**= The number of prices in the lookback period to calculate the P2_{f}.**pctup**= The percent amount the curve has to increase from a previous prior low of the curve to issue a buy signal.**pctdn**= The percent amount the curve has to decrease from a previous prior high of the curve to issue a sell signal.**XOpn**= Used only for Intraday bars. Prevents buys or sells until XOpn bars have past since the open. 0 = Ignore. Note, this input parameter avoids many opening gap whipsaws.**Xtime**, = Used only for Intraday bars. Exit position before or at the close. If XTime= 1610 then exit at 4:10pm EST. 0 = ignore

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 strategy and indicator 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 ** accompanying 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 the 2-P Next Bar Forecast system, it's derivation and it's input parameters.****The walk forward optimization method used and a table of the walk forward results for the system.****The input parameter test ranges****A chart printout with the Strategy and 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 The 2-P Next Bar Forecast system has its 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, MultiCharts** ** The 2-P Next Bar Forecast System** is one of the 9 systems included in the Key Daily &Intraday Trading Systems package. The Key Daily &Intraday Trading Systems package is being offered through

For **NeuroShell Trader/DayTrader Pro,** ** The 2-P Next Bar Forecast System** is one of the 6 systems included in the Key Daily &Intraday Trading Systems package.. The Key Daily &Intraday Trading Systems package is being offered through

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Thank you for your Interest....Dennis Meyers