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Working Papers

 Dennis Meyers Working Paper Publications

These publications are copyrighted. All rights are reserved. No reproduction, printed, electronic or otherwise is allowed except for the single use by the person who downloads these publications. Under no circumstances may these publications be posted on a web site without the written permission of Dennis Meyers.

Disclaimers. The strategies, methods and indicators presented here are given for educational purposes only and should not be construed as investment advice. Be aware that the profitable performance presented here is based upon hypothetical trading with the benefit of hindsight and can in no way be assumed nor can it be claimed,that the strategy and methods presented here will be profitable in actual trading or that they will not result in losses. Use of the strategies presented in these working papers for trading or investments of any kind is done solely at the user's risk.

CFTC RULE 4.41 HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.

Recent Working Papers

  1. Trading QQQ ETF 5min Bars Using the nth Order Fixed Memory Polynomial Velocity Algorithm Walk Forward in-sample 10 Trading weekdays / out-of-sample 1 Trading weekday 1/3/2023 to 10/25/2024 using The Walk Forward Input Explorer    November/2024, 22 pages
  2. Using The Repeated Median Velocity Strategy to Trade Crude Light CL 5min Bars III 3/14/2014 to 8/9/2024    August, 2024, 28 pages
  3. Trading QQQ ETF 5min Bars Using the nth Order Fixed Memory Polynomial Velocity Algorithm Walk Forward in-sample 10 Trading weekdays and out-of-sample 1 Trading weekday 1/4/2022 to 10/27/2023 using The Walk Forward Input Explorer    November/2023, 22 pages
  4. Trading QQQ ETF 5min Bars Using the nth Order Fixed Memory Polynomial Velocity Algorithm Walk Forward in-sample 10 Trading weekdays and out-of-sample 1 Trading weekday 1/3/2022 to 8/4/2023 using The Walk Forward Metric Explorer    August/2023, 22 pages
  5. Trading QQQ ETF 5min Bars Using the nth Order Fixed Memory Polynomial Velocity Algorithm Walk Forward in-sample 20 Trading weekdays and 1 trading day out-of-sample 02/01/2022 to 08/04/2023    August/2023, 22 pages
  6. Trading IWM ETF 5min bars Using the nth Order Fixed Memory Polynomial Velocity Strategy with Walk-Forward 20 trading days in-sample and 1 trading day out-of-sample 01/02/2022 to 06/30/2023    July/2023, 22 pages
  7. Using The Repeated Median Velocity Strategy to Trade Crude Light CL 5min Bars II 1/2/2013 to 5/26/2023    June/2023, 28 pages
  8. Trading DIA ETF 5min bars Using the Repeated Median Velocity Strategy with Walk-Forward 20 trading days in-sample and 1 trading day out-of-sample 12/9/2019 to 7/9/2021     July/2021, 22 pages
  9. Trading DIA ETF 5min bars Using the nth Order Fixed Memory Polynomial Acceleration Strategy with Walk-Forward 20 trading days in-sample and 1 trading day out-of-sample 12/9/2019 to 7/9/2021    July/2021, 21 pages
  10. Trading DIA ETF 5min bars Using the nth Order Fixed Memory Polynomial Velocity Strategy with Walk-Forward 20 trading days in-sample and 1 trading day out-of-sample 12/9/2019 to 7/9/2021    July/2021, 21 pages
  11. Trading DIA ETF 5min bars Using the Goertzel Cycle v2 Strategy with Walk-Forward 20 trading days in-sample and 1 trading day out-of-sample 12/9/2019 to 7/9/2021    July/2021, 21 pages
  12. Trading DIA ETF 5min bars Using the End Point Fast Fourier Transform Strategy with Walk-Forward 20 trading days in-sample and 1 trading day out-of-sample 12/9/2019 to 7/9/2021    July/2021, 19 pages
  13. Trading 1Min Bar Euro Futures Using The Fading Memory Polynomial Velocity Strategy 1/3/2008 to 6/28/2019    July/2019, 31 pages
  14. Trading Crude Light CL 5min Bars With The Repeated Median Velocity Strategy 1/2/2008 to 6/7/2019    June/2019, 28 pages
  15. Trading the Euro EC 5min Bars With The Repeated Median Velocity Strategy 1/2/2008 to 4/26/2019    April/2019, 30 pages
  16. Trading the S&P500 SPY 5min Bars With The Robust Regression Velocity Strategy 1/1/2008 to 12/07/2018    December/2018, 41 pages
  17. Trading SPY 30min Bars with the 5 parameter Parabolic Strategy 6/1/2008 -6/29/2018    July/2018, 24 pages
  18. Trading the S&P E-Mini 1 min bar Futures With The Least Squares Velocity Strategy 9/1/2010 -5/25/2018    June/2018, 34 pages
  19. Trading the 24hr Euro 1 min bar Futures With The Least Squares Velocity Strategy Part 3 4/1/2010-4/27/2018    May/2018, 19 pages
  20. Trading 1Min Bar Crude Light Futures Using The Fading Memory Polynomial Velocity Strategy Part 2 from 1/5/2012-1/26/2018    January/2018, 26 pages
  21. Trading 1Min Bar Euro Futures Using The Nth order Fixed Memory Polynomial Velocity Strategy Part 2 8/1/2011-9/29/2017    October/2017, 23 pages
  22. The Nth Order Fading Memory Polynomial Velocity Strategy Applied To Crude Light Futures 1min Bars from 1/5/2012-8/11/2017    August/2017, 23 pages
  23. Trading 1Min Bar Euro Futures With The Nth order Fixed Memory Polynomial Velocity Strategy 8/1/2011-5/26/2017    May/2017, 22 pages
  24. Trading the 24hr Euro 1 min bar Futures With The Least Squares Velocity Strategy 4/1/2010 -4/28/2017    May/2017, 19 pages
  25. Using The Goertzel Cycle Algorithm To Trade TF Mini 5min Bars With Walk Forward 5 days in-sample and 1 day out-of-sample - 4/1/15-4/7/17    April/2017, 19 pages
  26. The Nth Order Fixed Memory Polynomial Velocity Strategy Applied To Trading NASDAQ(NQ) Futures 1min Bars from 1/3/2014-1/6/2017    January/2017, 18 pages
  27. The Nth Order Fading Memory Polynomial Velocity Strategy Applied To Trading Russell Futures 1min Bars from 8/12/2011-8/12/2016    August/2016, 23 pages
  28. The Nth Order Fixed Memory Polynomial Velocity Strategy Applied To Trading Euro Futures 1min Bars from 8/1/2011-7/29/2016    August/2016, 23 pages
  29. The Fading Memory Polynomial Velocity Strategy Applied To Trading Euro Futures 1min Bars from 1/4/2008-5/27/2016    June/2016, 27 pages
  30. Trading Crude Light 5min Bars Using The End Point Fast Fourier Transform With Walk Forward 5 days in-sample and 1 day out-of-sample (8/11/14-2/12/16)    February/2016, 20 pages
  31. Trading The Russell 2000 5min Bars Using The Adaptive Goertzel DFT System With Walk Forward 5 days in-sample and 1 day out-of-sample    January/2016, 18 pages
  32. Trading the Russell 5 min Bars using the End Point Fast Fourier Transform Strategy With Walk Forward 5 days in-sample and 1 day out-of-sample (8/6/14-12/18/15)    January/2016, 16 pages

Key Daily & Intraday Trading Systems

  1. Trading the ES 5 min Bars With Least Squares Velocity Strategy With Walk Forward 4 days in-sample and 1 day out-of-sample (8/1/14-10/30/15)    November/2015, 18 pages
  2. Trading the 24hr Euro Fx Future With The Least Squares Velocity Strategy    Nov/2014, 19 pages
  3. Trading the ES 1min Bars With The Least Squares Acceleration Strategy    Nov/2014, 19 pages
  4. Trading the ES 1min Bars With The Least Squares Velocity Strategy    Oct/2014, 18 pages
  5. Trading the S&P500 E-Mini With The Robust Regression Velocity Strategy    Oct/2014, 18 pages
  6. Curve Fitting, Data Mining & Walk Forward Analysis Using The Acceleration System on E-Mini 1min Bars    May/2005, 27 pages
  7. The Robust Repeated Median Velocity System    Dec/2004, 10 pages
  8. The 2nd Order Polynomial Next Bar Forecast System on E-Mini 1min Bars    Aug/2004, 9 pages
  9. Applying The Noise Channel System to IBM 5min Bars    2001, 10 pages
  10. The Noise Channel2 Breakout System Applied To IBM 5min Bars    2001, 11 pages

Goertzel Discrete Fourier Transform System

  1. Trading The Russell 2000 5min Bars 8/1/2010 to 7/31/2015 Using The Adaptive Goertzel DFT System and Walk Forward, Out-Of-Sample Analysis  August/2015 17 pages
  2. Trading Crude Light 5min Bars Using The Adaptive Goertzel DFT System and Walk Forward Out-Of-Sample Analysis     Jan/2014 16 pages
  3. The Adaptive 10 Cycle Goertzel DFT System.     July/2003 14 pages
  4. Mesa Vs Goertzel DFT.   May/2003, 8 pages>

nth Order Fixed Memory Adaptive Polynomials

  1. The nth Order Polynomial Strategy Applied to British Pound Daily Future Prices Using Walk Forward, Out-Of-Sample Analysis    August/2012 17 pages
  2. The nth Order Polynomial Acceleration Strategy Applied to Euro Future 1min bars Using Walk Forward, Out-of-Sample Analysis     July/2012 13 pages
  3. The nth Order Adaptive Polynomial Velocity Strategy Applied To Euro Futures, Using Walk Forward, Out-Of_Sample Analysis   April/2008 16 pages
  4. The nth Order Adaptive Polynomial Acceleration System Applied To Japanese Yen 1min Bars Using Walk Forward, Out-Of-Sample Analysis  June/2006 11 pages
  5. The nth Order Polynomial Velocity System Applied To Japanese Yen 1min Bars Using Walk Forward, Out-Of-Sample Analysis   Dec/2005 12 pages
  6. The nth Order Polynomial Velocity System Applied To E-Mini 1min Bars Using Walk Forward, Out-Of-Sample Analysis   Sep/2005 12 pages
  7. Trading The 4th Order Least Squares Curve On IBM 5min Bars.    2001, 10 pages
  8. IBM Cubed - Daily Bars.    2000, 22 pages
  9. The British Pound Cubed - Daily Bars.    1999, 31 pages

Nth Order Fading Memory Polynomials

  1. The Fading Memory Polynomial Velocity Strategy Applied To Trading Euro Futures 1min Bars from Jan/2008-Dec/2013    December/2013, 27 pages
  2. The nth Order Fading Memory Adaptive Polynomial Velocity Strategy Applied To 1Min Bar British Pound Futures 1/2008-12/2009 Using Walk Forward, Out-Of-Sample Analysis   Feb/2010 19 pages
  3. The nth Order Fading Memory Adaptive Polynomial Velocity Strategy Applied To 1Min Bar E-Mini Futures 7/2007 - 11/2008 Using Walk Forward, Out-Of-Sample Analysis   Dec/2008 17 pages
  4. Trading IBM Intraday Using The Fading Memory Polynomial    2002, 11 pages
  5. The Fading Memory 4th Order Polynomial on S&P 5 min Bar Futures    2000, 10 pages
  6. Using The Fading Memory Polynomial on Daily Japanese Futures.    1998, 32 pages

End Point Fast Fourier Transform

  1. Trading Crude Light 5min Bars Using The End Point Fast Fourier Transform and Walk Forward, Out-Of-Sample Analysis.    June/2010 12 pages
  2. The Discrete Fourier Transform Illusion..    11 pages
  3. Noise & The Discrete Fourier Transform.    4 pages
  4. Using The End Point Fast Fourier Transform (EPFFT) on SP500 Mar/00 5min Bar Futures.     9 pages
  5. Applying The EPFFT to JDSU 5min Bars.     8 pages
  6. Trading the E-Mini 1min Bars Using the EPFFT.     16 pages

The Dangers of Optimization

  1. The Siren Call Of Optimized Systems    2000, 7 pages
  2. Tricked By Optimization    1998, 7 pages



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