The End Point Fast Fourier Transform (EPFFT) System & Indicator for short term & intraday trading v2.0. 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 papers (See papers page) in the May/1999 & Jan/2003 issues of Stocks & Commodities and the June/July 2000 issues of Futures 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 tradable price series. The system is walk forward tested on 10 years of daily data on the S&P continuous futures contract and on almost 3 years of 5 minute S&P futures intraday bars. The Input parameters to the system 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 system gives results for the parameters that the S&P500 future was tested on, the user can easily use the system on any tradable or on any time frame. This system can easily be used on stocks, options, and mutual funds.

For TradeStation all of the EasyLanguage™ Strategy(system) and indicator codes files are directly importable into TS7/8 and TradeStation 2000i 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 system and it's input parameters for daily and 5min bars.
• The walk forward optimization method used and a table of the walk forward results for the daily and 5min bars listing parameter selection, Profit/loss, Drawdown and Largest Losing Trades.
• The parameter test ranges for each tradable used.
• For TradeStation:
• How to setup and use the system and indicators on TradeStation
• A Easylanguage code printout.
• 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 it’s 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 it’s 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 it’s 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.
• nX5: For Intraday bars only. This input tells the EPFFT to calculate using nsamp bars spaced nX5 bars apart. For instance if you had a one minute bar chart and nX5 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.
• XOpn For Intraday bars only. Enter position after the open after XOpn price bars have passed. An input value of 0 means ignore this parameter.
• Xtime Used only for Intraday bars. Exit position before or at the close at Xtime (1615). 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 bars have past. 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 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, The End Point Fast Fourier Transform System™ Ver2 package consisting of manual, DLL files, Strategy(System) and Indicator els files is being offered through Meyers Analytics L.L.C. for $395 plus shipping if not by email. Shipping via Email consists of the Manual in Adobe PDF format, ELS/ELD file and DLL file.

How To Order
To order online click Order Online. To order via Fax or mail using a Visa or Master Card please fill out the order form on the Order Form page and Fax it to the telephone number on the order form or mail it to the address on the order form. If you would like to talk to me about the product, please call me at (312) 280-1687 M-F 12pm to 5pm CST. All E-mail queries can be sent to info@meyersanalytics.com.

Thank you for your Interest....Dennis Meyers

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End Point Fast Fourier Transform System
Out-Of-Sample Performance of the E-Mini Dec/02 to the E-Mini Mar/04 Contracts
11/8/02 to 1/16/04 5min Bar data No Trades For the First 30 min and No Trades Carried Overnight

OS Week = Out-Of-Sample Week Ending
$TNP=$ Total Net Profits For Week

Hypothetical Out-Of-Sample past performance is no guarantee of future results

OS Week	OS Week $TNP	OS # Trds	OS Week	OS Week $TNP	OS # Trds	OS Week	OS Week $TNP	OS # Trds	OS Week	OS Week $TNP	OS # Trds
11/08/02	$225	12	11/15/02	$263	10	11/22/02	$125	11	11/29/02	$1,275	5
12/06/02	($1,063)	15	12/13/02	$325	27	12/20/02	$713	8	12/27/02	$438	6
01/03/03	$675	7	01/10/03	$788	8	01/17/03	($650)	12	01/24/03	$1,938	6
01/31/03	$1,475	8	02/07/03	($288)	10	02/14/03	$888	8	02/21/03	$363	6
02/28/03	($1,063)	11	03/07/03	($400)	9	03/14/03	$1,063	10	03/21/03	($725)	12
03/28/03	($425)	8	04/04/03	$788	7	04/11/03	$450	14	04/18/03	$663	6
04/25/03	$675	8	05/02/03	$818	10	05/09/03	($975)	14	05/16/03	$775	7
05/23/03	$1,313	7	05/30/03	$913	7	06/06/03	$88	9	06/13/03	$450	8
06/20/03	$613	8	06/27/03	($375)	8	07/03/03	($263)	8	07/11/03	($413)	7
07/18/03	$1,555	7	07/25/03	($238)	10	08/01/03	$888	7	08/08/03	$300	10
08/15/03	($1,538)	14	08/22/03	$1,175	7	08/29/03	$588	6	09/05/03	$475	9
09/12/03	$600	14	09/19/03	$600	7	09/26/03	$725	6	10/03/03	$100	9
10/10/03	($575)	14	10/17/03	($75)	7	10/24/03	$1,050	6	10/31/03	($850)	9
11/07/03	($300)	14	11/14/03	$113	7	11/21/03	($513)	6	11/28/03	$88	9
12/05/03	($250)	14	12/12/03	($38)	7	12/19/03	$763	6	12/26/03	($313)	9
01/02/04	($463)	14	01/09/04	$400	7	01/16/04	$900	6			9

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End Point Fast Fourier Transform System
S&P500 Continuous Futures Contract Daily Bars Out-Of-Sample Performance
Past hypothetical out-of-sample performance is no guarantee of future results

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 noise filtered projected price. The EPFFT system then follows the projected one day ahead noise filtered EPFFT curve to generate it's buy and sell signals.

Out-Of-Sample Trades For Quarter Ending	Out-Of-Sample $ Net Profit For Quarter 1 Contract Big S&P
3/31/99	($18,575)
6/30/99	$925
9/30/99	($12,475)
12/31/99	$24,175
3/31/00	$3,800
6/30/00	$28,450
9/30/00	$29,200
12/31/00	($14,400)
3/31/01	$9,275
6/30/01	($11,825)
9/30/01	$59,300
12/31/01	$22,000
3/31/02	($100)
6/30/02	$14,725
9/30/02	$24,800
12/31/02	$22,575