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 info@meyersanalytics.com

applied to algorithmic trading of stocks, futures & forex

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

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Power Walk Forward

Optimizer Walk Forward

Performance Explorer Walk Forward

Metric Explorer Walk Forward

Surface Explorer Key Daily & Intraday

Trading Strategies Robust Velocity Strategy The Acceleration Strategy The Velocity Strategy Next Bar Forecast Strategy Polychrom Mtm Strategy MaxLikelihoodRng Strategy NoiseChanBrkout I&II 2-P NB Forecast Strategy

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

Surface Explorer Key Daily & Intraday

Trading Strategies Robust Velocity Strategy The Acceleration Strategy The Velocity Strategy Next Bar Forecast Strategy Polychrom Mtm Strategy MaxLikelihoodRng Strategy NoiseChanBrkout I&II 2-P NB Forecast Strategy

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 Maximum Likelihood Range System

To try and avoid the false signals generated by a single lookback period we create a range indicator that uses a variable lookback period. To calculate this indicator we find the maximum range over n lookback days of the today's high minus the lowest low in that lookback period of n days. We normalize this n day range by dividing it by the average of each bar's true range for those n days to create a range ratio. In constructing this ratio, we noticed that the longer the lookback period n is, the larger the ratio is on average than a ratio with a shorter lookback period.. The different lookback period ratios can be made approximately equal, on average, by dividing by some function of n. For this new indicator we choose the function of n to be equal to n^{ α } . That is, n to the a power where α is less than 1 and where α is determined later by optimization. We then look for the largest adjusted range ratio in that n lookback period. To do that we calculate each of the adjusted range ratios for 2,3,4 to n lookback bars and choose the largest as our indicator.

**Maximum Likelihood Range System Input Parameters**

**Mark**= Mark=0 means the position is not marked to the market on the last bar. Mark=1 means it is.**slen**= The starting range lookback period.**llen**= The ending range lookback period.**α**= The exponent of the range weighting function**xoh**= The Maximum Likelihood Range buy level.**xol**= The Maximum Likelihood Range sell level.**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 .

My working paper on the **Maximum Likelihood Range System ** can be found on the Papers Page

**Product Description **

The Maximum Likelihood Range 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 Maximum Likelihood Range 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 Maximum Likelihood Range 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 Maximum Likelihood Range 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 Maximum Likelihood Range 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

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Thank you for your Interest....Dennis Meyers

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

Maximum Likelihood Range System |
US Continuous Futures Daily Bars1 contract |
($5188) |
$9719 |
$2906 |
$8156 |
$8875 |

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

Maximum Likelihood Range System |
QQQ 5min Bars, 1000 shrs |
$2680 |
11 |
($910) |