The nth Order Adaptive Polynomial Next Bar's Forecast Price, Velocity & Acceleration Systems v3.
This package contains the advanced mathematical technique and noise filter called the nth
Order Fixed Memory Polynomial that calculates the next bar's forecast price, velocity and acceleration. This advanced mathematical technique is currently used in today's space-age missile and satellites applications and is applied here to stock and futures trading.
The nth Order Fixed Memory Adaptive Polynomial System.
Using fast advanced mathematical rocket science algorithms that use discrete orthogonal polynomials, the price series is modeled using an nth order polynomial of the form:
price(t) = a0+a1*t+a2*t2+a3*t3+a4*t4+...+an*tn
Where all the an
coefficients are recalculated with each new price bar.
These fast and efficient algorithms use discrete orthogonal polynomials which avoid ill-conditioned matrix inversion and floating point overflow errors associated with the slow matrix inversion algorithms currently used by many to calculate the polynomial coefficients. The polynomial coefficients are computed 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
- Walk Forward Analysis Using The Acceleration System on E-Mini 1min Bars 27 pages
- The British Pound Cubed - Daily Bars. 31 pages
- IBM Cubed - Daily Bars. 22 pages
- 4th Order Polynomial System on SP500 5min Bar Futures. 11 pages
- Trading The Least Squares Curve On IBM 5min Bars. 10 pages
- The Polynomial Velocity System Applied To E-Mini 1min Bars Sep/2005 12 pages,
- The Polynomial Velocity System Applied To Japanese Yen FX 1min Bars Dec/2005 12 pages
- The nth Order Adaptive Polynomial Acceleration System Applied To Japanese Yen 1min Bars June/2006 11 pages
- Out Of Sample Analysis Applied To The nth Order Adaptive Polynomial Velocity Strategy and Eurodollor Futures April/2008 16 pages
Although a 2nd
order polynomial were used in these papers, any polynomial order up to the 6th
polynomial power can be implemented with this system. In the papers above, the Nth Order Fixed Memory Polynomial system was applied to daily bars of the British Pound future, daily bars of IBM, 5min intraday bars of IBM, 5min intraday bars of the S&P500 futures and 1min bars of the E-Mini. While the some of the working papers used matrix inversion techniques to compute the polynomial coefficients, this software uses fast and efficient orthogonal polynomials to compute the next bar's forecasted price, velocity and acceleration.
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 and MultiCharts all of the EasyLanguage™ strategy and indicator codes are directly importable into your choice of TS or MC 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_FixmXVAn" category and in the Trading Strategy Wizard "MA_FixmXVAn" 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
- 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 and MultiCharts The nth Order Fixed Memory Adaptive Polynomial System v2 package consists of a manual with tutorial as described above, Strategies, and Indicators in an ELD file, and a 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, ELD file and DLL file.. The nth Order Adaptive Polynomial System v2 DLL file has a "Key Licence" that only allows it to be installed on three computers.
For NeuroShell Trader/DayTrader Pro, The nth Order Fixed Memory Adaptive Polynomial System v2 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 nth Order Adaptive Polynomial System v2 DLL file has a "Key Licence" that only allows it to be installed on three computers.
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Thank you for your Interest....Dennis Meyers