Nth Order Fading Memory Polynomial System v3

The n^th Order Fading Memory Adaptive Polynomial
Price, Velocity & Acceleration Systems v3
For Stock, Futures & FX Trading

The n^th Order Fading Memory Adaptive Polynomial Next Bar's Forecast Price, Velocity & Acceleration Systems v3. This package contains the advanced mathematical technique and noise filter called the N^th Order Fading Memory Polynomial (FADM). It is called fading memory because all of the a_n coefficients of the polynomial are updated recursively at each bar. Updated recursively means that the coefficients are a function of the coefficients of the previous bar and the squared error between the current bar and the projected polynomial. Thus the coefficients change more smoothly with each new bar than the fixed memory polynomial. This advanced mathematical technique is currently used in today's space-age missile and satellites applications and is applied here to stock and commodity trading.

The N^th Order Fading Memory Polynomial System v3

With this mathematical technique the price series is modeled using an nth order polynomial of the form:
price(t) = a₀(t)+a₁(t)*t+a₂(t)*t²+a₃(t)*t³+a₄(t)*t⁴+...+a_n(t)*tⁿ
Where all the a_n(t) coefficients are updated recursively with each new price bar. Very fast efficient algorithms compute the polynomial coefficients at each new price bar and give the polynomial's 1 bar ahead prediction for the price, velocity and acceleration. The Next Bar's Forecast price system follows the 1 bar ahead generated curve and issues buy and sell signals based upon the curve turning up or down by a fixed percentage from a curve bottom or top. The Next Bar's forecast Velocity and Acceleration Systems follows the 1 bar ahead generated velocity and acceleration curves and issue buy and sell signals when the next bar's forecast velocity and acceleration cross some noise threshold.

These type of polynomial systems 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

Using The Fading Memory Polynomial on Daily Japanese Futures. 32 pages, 283kb
The Fading Memory 4^th Order Polynomial on S&P 5 min Bar Futures 10 pages, 70kb
Trading IBM Intraday Using The Fading Memory Polynomial 11 pages, 160kb
The n^th Order Fading Memory Adaptive Polynomial Velocity Strategy Applied To 1Min Bar E-Mini Futures 7/2007 - 11/2008 December/2008 17 pages, 384kb

Although a 2^nd, 3^rd and 4^th order polynomials were used in these papers, any polynomial order up to the 6^th polynomial power can be implemented with this system. In the papers above, the Nth Order Fading Memory Polynomial System is applied to daily bars of the Japanese Yen futures, 1 min bars of IBM, 5 min and 1 min bars of the S&P500 E-mini futures.

Product Description

All systems are orientated to short term trading in all bar ranges from 1 tic, to 1 min bars to daily bars. These systems can even be used on P&F charts. All of the systems have been walk forward tested either on daily data or intraday data.

For TradeStation all of the EasyLanguage™ strategy and indicator codes are directly importable into your choice of TS2000i, TS8 and are fully disclosed. There are no locks of any kind on the EasyLanguage source code. The C++ DLL code is not disclosed. The Input parameters to the strategies and indicators 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.

For NeuroShell Trader/DayTrader Pro, the Trading Strategies and Indicators are directly imported into NeuroShell via a special setup exe file and are fully disclosed in the Manual, Indicator wizard "MA_FadmXVAn" category and in the Trading Strategy Wizard "MA_FadmXVAn" directory. The C++ DLL code is not disclosed. The Input parameters to the strategies and indicators 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 strategy results will give parameters for the intraday or daily futures the strategy was tested on, the user can easily use this system on any tradeable or on any time frame.

The accompanying 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 each system, it's derivation and it's input parameters.
The walk forward optimization method used and a table of the walk forward results for each system.
The input parameter test ranges
How to setup a chart using the Strategies and Indicators in TradeStation or NeuroShell.
An EasyLanguage Strategy and Indicator code printout (TradeStation only)
A chart printout with the Strategy & 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 each 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 (TS2000i. TS8), The n^th Order Fading Memory Adaptive Polynomial System package consists of a manual with tutorial as described above, Strategies, and Indicators ELS v3 or ELD file, and DLL file. This product is being offered through Meyers Analytics L.L.C. for $395. Shipping is via Email and consists of the Manual in Adobe PDF format, ELS/ELD file and DLL file. The n^th Order Fading Memory Adaptive Polynomial System v3 DLL file has a "Key Licence" that only allows it to be installed on two computers.

For NeuroShell Trader/DayTrader Pro, The n^th Order Fading Memory Adaptive Polynomial System v3 package consists of a manual as described above and a special setup exe file that installs all the Trading Strategies, Indicators, and DLL into NeuroShell. This product is being offered through Meyers Analytics L.L.C. for $395. Shipping is via Email and consists of a zip file containing the Manual in Adobe PDF format and the MA-FixmXVAnSetup.exe setup file. The n^th Order Fading Memory Adaptive Polynomial System v3 DLL file has a "Key Licence" that only allows it to be installed on two computers.

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