The End Point Fast Fourier Transform (EPFFT) Strategy & Indicator for short term & intraday trading v3.0.
This package contains the advanced mathematical technique called the end point fast fourier transform and noise filter. These mathematical techniques are currently used in today's space-age missile and speech recognition applications and are applied here to stock and commodity trading.
As shown in my working papers the regular FFT of a price series is just a sophisticated curve fit giving only the illusion of predictive value of future price behavior. The system presented in this package is an improved version of the EPFFT system presented in the papers. The EPFFT takes the FFT at each bar, filters the noisy price series using a unique noise filter in the frequency domain, and creates a one day ahead projected price value. This process is continued until the last bar of data is reached. The projected one day ahead values that are created at each bar are plotted. The EPFFT system follows the projected one day ahead price curve to generate it's buy and sell signals. The EPFFT is made into a super fast DLL. This DLL allows the System & Indicator to update in real time. The EPFFT DLL produces an adaptive broadband (many frequencies) noise filtered signal. This process gives a more robust noise filtered signal than a single frequency (dominant cycle) procedure. The price series can easily be converted to Log values to model % price increases instead of point price increases.
The EPFFT system is orientated to short term trading in all bar ranges (1 min, 5min, etc., daily) and with any tradeable price series. The system is walk forward tested on 2 years of 1-minute bars on the S&P E-Mini futures contract and on 2 years of 5-minute bars of Crude Light futures. 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 EPFFT manual gives strategy results for trading S&P E-Mini 1-minute bar and Crude Light 5-minute bar futures, the user can easily use the strategy on any tradeable or on any time frame. This system can easily be used on stocks and mutual funds.
The EPFFT strategies are best illustrated in the following working papers that are available on the Working Papers page
. Please note that hypothetical Out-Of-Sample past performance is no guarantee of future results
- The Discrete Fourier Transform Illusion. 11 pages
- Noise & The Discrete Fourier Transform. 4 pages
- Using The End Point Fast Fourier Transform (EPFFT) on SP500 Mar/00 5min Bar Futures. 9 pages
- Applying The EPFFT to JDSU 5min Bars. 8 pages
- Trading the E-Mini 1min Bars Using the EPFFT. 16 pages
- Trading Crude Light 5min Bars Using
The End Point Fast Fourier Transform. June/2010 12 pages
For TradeStation and MultiCharts: All of the EasyLanguageô Strategy(system) and indicator codes files are directly importable into TS and MC and are fully disclosed. The C++ DLL code is not disclosed. There are no locks of any kind on the EasyLanguage source code.
The accompanying manual consists of:
- A short tutorial on the details of performing walk forward optimization with out-of-sample testing.
- How I look for the "best" parameters in an optimization run.
- A complete description of the EPFFT Strategy and Indicator and their input parameters.
- The walk forward optimization method used and a table of the walk forward results for the E-Mini 1-minute and 5min bars listing parameter selection, Profit/loss, Drawdown and Largest Losing Trades.
- The parameter test ranges for each tradeable used.
- How to setup and use the strategy and indicators on TradeStation and Multicharts
- A chart printout of the system and its associated indicator with the latest out-of-sample period system buy and sell signals displayed on the chart.
- Performance Summaries for the total time period and the out-of sample segments.
The EPFFT Strategy includes the following Input Parameters:
- Mark Mark=0 means the position is not marked to the market on the last bar of chart. Mark=1 means it is. Set Mark equal to zero if XTime not equal to zero.
- Threspct: The threshold percent noise filter. We multiply each frequency component in the frequency domain by 1 if itís magnitude is above the threshold percent Threspct otherwise we will multiple the frequency component by zero to eliminate it.
- pntup: The number of points the EPFFT value has to move up from a previous low while short in order to issue a buy signal. 999 deactivates this condition.
- pntdn: The number of points the EPFFT value has to move down from a previous high while long in order to issue a sell signal. 999 deactivates this condition.
- pntjup: The number of points the EPFFT value has to jump up from itís value djp bars ago in order to issue a buy signal. 999 deactivates this condition.
- pntjdn: The number of points the EPFFT value has to jump down from itís value djp bars ago in order to issue a sell signal. 999 deactivates this condition.
- djp: The number of bars for the pntjup and pntjdn parameters.
- LogOfCls: When equal 1 the log of prices are entered into the EPFFT. When equal 0 only prices.
- nsamp: This is the number of prices you want to perform the sliding window EPFFT on. This can be any number between 8 and 4096.
- Xn: For Intraday bars only. This input tells the EPFFT to calculate using nsamp bars spaced Xn bars apart. For instance if you had a one minute bar chart and Xn was equal to 5 then at each one minute bar close the EPFFT would calculate using nsamp bars spaced every fifth bar. The sliding window EPFFT output would be like a 5 minute bar sliding window calculated at each one minute bar close.
- myStartTime For Intraday bars only. This is the time in military time (hhmm) that you wish to start counting XOpn minutes to enter a position. An input value of 0 means ignore this parameter.
- XOpn For Intraday bars only. Enter position after XOpn minutes have passed the time myStartTime. An input value of 0 means ignore this parameter.
- Xtime Used only for Intraday bars. Exit position on the close at Xtime (hhmm military time). 0 = ignore
- XonCls If value is 0 then enter/exit position at market. If 1 then enter/exit position on bar close.
- prc This input can be any function of price such as (h+l)/2, c of data2, (h+l+c)/3 etc.
The input parameter XOpn allows the system to not open any trades until XOpn minutes have past the input myStartTime. This allows the system to avoid open whipsaw trades. The input parameter XTime allows the system to close any open trade before the close. For instance XTime would allow you to close all open trades at 4:05(1605) ET so you would not be caught by the closing rush. 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 End Point Fast Fourier Transform Systemô V3 package consisting of manual, DLL files, Strategy(System) and Indicator ELD files is being offered through Meyers Analytics L.L.C. for $395. Shipping via Email consists of the Manual in Adobe PDF format, /ELD file and DLL files.
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Thank you for your Interest....Dennis Meyers