Meyers

Analytics

Analytics

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

applied to algorithmic trading of stocks, futures & forex

Info: (305) 549-5843 support@meyersanalytics.com

applied to algorithmic trading of stocks, futures & forex

Info: (305) 549-5843 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

The formula for the straight line is:

**a + b*t **

where **a** is the initial value of the line, **b** is the slope of the line, and **t** is the time of the bar. The slope **b** is also called the velocity. Velocity is defined as the change of position per unit time. Using the Best Fit Line formula above velocity would be:

** Velocity = [a+b*(t+1)] - [a+b*t] = b **

The velocity of the least squares straight line is used to create a system. The least squares velocity has the advantage that it is a natural random price noise inhibitor. We can create a system such that unless the velocity is greater than some threshold we will not buy or sell. A large percentage of price noise generates a lot of back and forth movements of small magnitudes. With a lot of systems this back and forth movement creates many false buy and sell signals. However using the least squares velocity we can filter many of the small price noise movements by requiring that the velocity be greater than some threshold before we act.

**The Least Squares Velocity System Input Parameters**

**Len**= The Least Squares lookback period.**vup**= The velocity has to be greater than vup to generate a buy signal.**vdn**= The velocity has to be less than -vdn to generate 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 .

My working paper on the **The n ^{th} Order Polynomial Velocity System on E-Mini 1min Bars ** can be found on the papers Page

**Product Description **

The Least Squares Velocity system is orientated to short term trading in all bar ranges (1 tic, 1 min, 5min, etc., daily) and with any tradeable price series. This system can also be used on futures, stocks, options, and mutual fund data.

For **TradeStation, Multicharts** all of the EasyLanguageâ„¢ 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 Least Squares Velocity 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 Least Squares Velocity 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 Least Squares Velocity 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 Least Squares Velocity 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