Momentum is defined as the difference, or percent change, between the current bar and a bar some lookback period in the past.. The major problem with using momentum based indicators is that the optimum lookback period seems to change over time creating losses with the current chosen lookback period. To avoid the errors due to a single lookback period we create an indicator that takes an weighted average of all significant lookback periods for the tradable. We named this indicator polychromatic because poly means many and chromatic means colors. Thus, polychromatic momentum for this indicator translates into the sum of many momentums.

The momentum magnitudes from different lookback periods are not equalized. That is, the momentum from 17 bars ago will have a range of magnitudes that are much greater than the range of momentum magnitudes of the one bar momentum. For Brownian motion random processes the expected distance a particle can move is proportional to the square root of time. Thus to equalize the effect of differences in magnitude so that the longer bar momentum magnitudes don't swamp the magnitudes of the shorter bar momentums in an average , we will weight the momentum values. The weighting function that we chose here is n ^α , where α is a system input variable. This weighting will equalize the various momentum magnitudes

Polychomatic Momentum Input Parameters

• Mark = Mark=0 means the position is not marked to the market on the last bar. Mark=1 means it is.
• ns = The starting bar momentum.
• ne = The last bar momentum.
• α = The exponent of the momentum weighting function.
• bxo = The polychomatic momentum buy level.
• sxo = The polychomatic momentum sell level.
• pup = The point amount the Polychomatic momentum curve has to increase from a prior low of the curve made while in a short position to initiate a buy signal (used for SP daily futures).
• pdn = The point amount the Polychomatic momentum curve has to decrease from a prior high of the curve made while in a long position to initiate a sell signal (used for SP daily futures).
• Prc = The price. It could also be set to (H+L+C)/3 or a function of O, H, L C.
• mtmtype = 0 means momentum=prc-prc[I] 1 means momentum=100*(prc-prc[I])/prc[I].
• XopenBars = Used only for Intraday bars. Don't buy or sell until XopenBars bars have past since the open. 0 = Ignore. Note, this input parameter avoids many opening gap whipsaws.
• Xtime, = 0, Used only for Intraday bars. Exit position before or at the close. if = 1610 then exit at 4:10pm EST. 0 = ignore .

Product Description

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The Polychromatic Momentum 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 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 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.

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 Polychromatic Momentum 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 Polychromatic Momentum 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, (TS8,TS2000i), The Polychromatic Momentum 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 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.

For NeuroShell Trader/DayTrader Pro, The Polychromatic Momentum 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 Meyers Analytics L.L.C. for $395 plus shipping if not by email. Shipping via Email consists of a zip file containing the Manual in Adobe PDF format and the MA-KeyTrSysSetup.exe setup 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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The Polychomatic Momentum System Performance S&P Daily Continuous Futures
Past hypothetical performance is no guarantee of future results

System	Tradable	1998 OOS $ Return	1999 OOS $ Return	2000 OOS $ Return	2001 OOS $ Return	9/20/02 OOS $ Return
Polychromatic Momentum System	S&P Continuous Futures Daily Bars, 1 contract	$16450	$77000	($9775)	$8875	$92125

The Polychomatic Momentum System Performance QQQ 5 min bars
Past performance is no guarantee of future results

System	Tradable	5/6/02 to 5/10/02 Out-Of-Sample $ Return	Number of Trades in Week	$ Drawdown
Polychromatic Momentum System	QQQ 5min Bars, 1000 shrs	$3170	10	($920)