Meyers

Analytics

Analytics

Advanced Mathematical Trading Strategies & Walk Forward/Out-Of-Sample Analysis

applied to algorithmic trading of stocks, futures & forex

Info: (312) 280-1687 support@meyersanalytics.com

applied to algorithmic trading of stocks, futures & forex

Info: (312) 280-1687 support@meyersanalytics.com

Order Online
Power Walk Forward

Optimizer Walk Forward

Performance Explorer Walk Forward

Metric Explorer Walk Forward

Input Explorer Walk Forward

Surface Explorer Key Daily & Intraday

Trading Strategies Nth Order Fixed Memory

Polynomial Strategy Nth Order Fading Memory

Polynomial Strategy End Point Fast Fourier

Transform Strategy Goertzel DFT

Strategy Five Parameter

Parabolic Strategy Dennis Meyers

Working Papers

Optimizer Walk Forward

Performance Explorer Walk Forward

Metric Explorer Walk Forward

Input Explorer Walk Forward

Surface Explorer Key Daily & Intraday

Trading Strategies Nth Order Fixed Memory

Polynomial Strategy Nth Order Fading Memory

Polynomial Strategy End Point Fast Fourier

Transform Strategy Goertzel DFT

Strategy Five Parameter

Parabolic Strategy Dennis Meyers

Working Papers

The Next Bar Forecast System

The formula for the straight line is:

**a + b*t **

where a is the initial value of the line, b is the slope of the line, and t is the time of the bar.

If you are fitting the straight line to N prices then the "Best Fit" coefficients a and b can be solved for quite easily as shown in my article.

Using the **a, b** coefficients found above we can forecast the next bar's price using the formula:

**P _{f} = a + b*(N+1)**

The next bar's forecast should create a leading indicator.

The Next Bar Forecast System is constructed by calculating **p _{f}** at each bar and plotting it on the price chart. In general what we will be doing is following the plotted curve of

**Next Bar Forecast System Input Parameters**

**N**= The Least Squares lookback period.**pctup**= The percentage amount the curve**p**has to increase from the lowest low of_{f}**p**recorded while short that will issue a buy signal._{f}**pctdn**= The percentage amount the curve**p**has to fall from the highest high of_{f}**p**recorded while long that will issue a sell signal._{f}**XOpn**= Used only for Intraday bars. Prevents buys or sells until XOpn bars have past since the open. 0 = Ignore. Note, this input parameter avoids many opening gap whipsaws.**Xtime**, = Used only for Intraday bars. Exit position before or at the close. If XTime= 1610 then exit at 4:10pm EST. 0 = ignore .

**Product Description **

The Next Bar Forecast system is orientated to short term trading in all bar ranges (1 tic, 1 min, 5min, etc., daily) and with any tradeable price series. This system can also be used on futures, stocks, options, and mutual fund data.

For **TradeStation, Multicharts** all of the EasyLanguage™ strategy and indicator codes are directly importable into your choice of TS9 or MC and are ** fully disclosed.** There are

For **NeuroShell Trader/DayTrader Pro,** the Trading Strategy and Indicators are directly imported into NeuroShell via a special setup exe file and are fully disclosed in the Indicator wizard "MA_KeyTrSys" category and in the Trading Strategy Wizard "MA_KeyTrSys" directory. The C++ DLL code is not disclosed. 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 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.

The ** accompanying page 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 the Next Bar Forecast system, it's derivation and it's input parameters.****The walk forward optimization method used and a table of the walk forward results for the 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 and 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.****Special %Runup-%Drawdown for each trade, trade by trade Summaries.**

In addition The Next Bar Forecast system has its exact duplicate in indicator form which is displayable on the price chart, so that the user can visually see how the buy and sell signals occur.

For **TradeStation, MultiCharts** ** The Next Bar Forecast System™ ** is one of the 9 systems included in the Key Daily &Intraday Trading Systems package. The Key Daily &Intraday Trading Systems package is being offered through

For **NeuroShell Trader/DayTrader Pro,** ** The Next Bar Forecast System™ ** is one of the 9 systems included in the Key Daily &Intraday Trading Systems package.. The Key Daily &Intraday Trading Systems package is being offered through

How To Order

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Thank you for your Interest....Dennis Meyers

System |
Tradable |
1997OOS $Return |
1998 OOS $Return |
1999OOS $Return |
2000 OOS $Return |
2001 OOS $Return |
2002 OOS $Return |
Notes |
---|---|---|---|---|---|---|---|---|

Next Bar Forecast System |
US Continuous Futures Daily Bars1 contract |
$9625 |
$2750 |
$4844 |
$9594 |
$2563 |
$8875 |
The Next Bar Forecast System was presented in the May/2003 issue of Active Trader Magazine and the May/1998 issue of Stock & Commodities Magazine |

System |
Tradable |
11/11/02 to 11/22/02 Out-Of-Sample $ Return |
Number of Trades |
$ Drawdown |
Notes |
---|---|---|---|---|---|

Next Bar Forecast |
QQQ 5min Bars |
$3230 |
24 |
($420) |
The Next Bar Forecast System was presented in the May/2003 issue of Active Trader Magazine |