Algorithmic Trading Strategies, Walk Forward Optimization & Out-Of-Sample Testing For TradeStation, MultiCharts & NeuroShell

Six Trading Strategies In One Package: Click On Strategy For Detail.
The Robust Velocity Strategy  The Velocity Strategy
The Acceleration Strategy  The P^2 Next Bar Forecast Strategy
The Polychromatic Mtm Strategy  The Maximum Likelihood Range
The KeyTrSys v5t is thread safe and can run on multi-core, multi-thread platforms
Available for TradeStation, MultiCharts and NeuroShell Pro
Click here for working papers on the Key Daily & Intraday Trading Strategies

The Power Walk-Forward Optimizer (PWFO)

is a cutting-edge automatic walk forward/out-of-sample analysis program that eliminates the ad hoc curve fitted performance and data mining results produced by combinatorial and genetic(grail) optimization of strategy input values on spurious price movements(noise). Included in the in-sample section output for each set of input parameters are 30 new robust and superior performance metrics. The in-sample and out-of-sample periods are user selectable. The PWFO can generate up to 500 different in-sample and out-of-sample date files in one TS run. Statistically speaking, walk forward out-of-sample (oos) analysis must be performed over many(>30) in-sample/oos sections to be statistically valid.
The Power Walk Forward Optimizer v6t is thread safe and can run on multi-core, multi-thread platforms
Available for TradeStation and MultiCharts 64bit
Click here to for a User's Comparison Between the TS Walk Forward Optimizer and the PWFO
Video How to setup and run the PWFO v5
Video The PWFO v5 output files

The Walk Forward Metric Explorer (WFME) reads all files generated by the PWFO and searches each PWFO file for performance Metrics that generate statistically best average out-of-sample performance. The Top N Metric filter chooses the PWFO file rows that contain then Top N (N=10 or 50 or etc) values of a PWFO Performance Metric. From the N rows chosen, the WFME chooses the maximum of another PWFO performance metric. This allows two performance metrics in the in-sample section to be used to find the strategy inputs that give the best out-of-sample returns. The Top N criteria ranges are user selectable generating many filter searches in one run. The WFME is a stand alone 64bit exe program that is super fast and automatically displays it's extensive total out-of-sample net profits plus performance results, equity plots and strategy inputs from each filter in Excel. In addition, using modern "Bootstrap" techniques, the WFME calculates the probability of whether or not each filter's out-of-sample results were due to chance.
Video How to Use The Walk Forward Metric Explorer
Video How To Find a Good Metric Filter In The WFME Ave File Output
Video How To Find Strategy Inputs to Use For Trading In The Future

The Walk Forward Strategy Inputs with Metric Filtering (WFINP64) reads all files generated by the PWFO and searches each PWFO file for the best combination of Strategy Inputs and performance metrics Filters that generate the statistically best average out-of-sample performance. A Strategy Input/filter summary is generated and sorted by total out-of-sample net profits after costs for all Strategy Input/metric filters combinations and written to a comma delimited Excel file by the WFINP. The WFINP is a stand alone 64bit exe program that is super fast and automatically displays it's extensive total out-of-sample net profits plus performance results, equity plots and strategy inputs from each filter in Excel. In addition, using modern "Bootstrap" techniques, the WFINP calculates the probability of whether or not each filter's out-of-sample results were due to chance.
Video How to Use The Walk Forward Input Explorer
Video How To Find a Good Metric Filter In The WFINP Ave File Output
Video How To Determine Whether To Trade The Strategy Inputs found by the WFINP Next OOS Period

The n^th Order Fading Memory Polynomial

Using fast advanced mathematical rocket science algorithms, the price series is modeled using an nth order fading memory polynomial of the form:  price(t) = a₀(t)+a₁(t)*t+a₂(t)*t²+a₃(t)*t³+a₄(t)*t⁴+...+a_n(t)*tⁿ  The a_n(t) coefficients are updated recursively with each new price bar and then used to give the polynomial's next bar forecast of price,velocity and acceleration.
Click here for working papers on the n^th Order Fading Memory Adaptive Polynomialy Trading Strategies
The FadmXVAn v3t is thread safe and can run on multi-core, multi-thread platforms Available for TradeStation, MultiCharts and NeuroShell Pro

n^th Order Fixed Memory Adaptive Polynomial

Using fast advanced mathematical rocket science algorithms that use discrete orthogonal polynomials, the price series is modeled using an n^th order polynomial of the form:   price(t) = a₀+a₁*t+a₂*t²+a₃*t³+a₄*t⁴+...+a_n*tⁿ  The a_n coefficients are recalculated at each new price bar and are then used to give the polynomial's next bar forecast of price,velocity and acceleration.
Click here for working papers on the n^th Order Fixed Memory Adaptive Polynomial Trading Strategies
The FixmXVA v3t is thread safe and can run on multi-core, multi-thread platforms
Available for TradeStation, MultiCharts and NeuroShell Pro

The Goertzel Algorithm for Cycle Detection (GZ)

Super fast DLL finds the N(user selectable) cycles(frequencies and phases) with the highest amplitudes at each price bar using a lookback of M (user selectable) bars, and creates a 1 bar ahead noise filtered projected combination cycle curve that is followed giving buy and sell signals as the combined cycles curve moves up and down. This process gives a more robust noise filtered signal than a single frequency (dominant cycle) procedure. You are no longer constrained to using only a single frequency. The nCycleGZ algorithm is faster and superior to MESA in finding cycles in noisy price series.
Click here for working papers on the nCycleGZ Trading Strategies
The Goertzel Strategy is thread safe and can run on multi-core, multi-thread platforms
Available for TradeStation, MultiCharts

The End Point Fast Fourier Transform System (EPFFT)

Super fast DLL takes the Fast Fourier Transform at each price bar, filters the noisy price series using a unique noise filter in the frequency domain, and creates a one bar ahead noise filtered projected price. The EPFFT DLL produces an adaptive broadband (many frequencies) noise filtered signal. This process gives a more robust noise filtered signal than a single frequency (dominant cycle) procedure.
Click here for working papers on the EPFFT Trading Strategies
The EPFFT v3t is thread safe and can run on multi-core, multi-thread platforms
Available for TradeStation, MultiCharts

The five parameter parabolic adds a noise filter and changeable starting stop value that minimizes the whipsaw losses that can occur with the regular parabolic indicator. Here this new system is applied to stock and Futures prices to minimize the noise process.
The Parabolic v2t is thread safe and can run on multi-core, multi-thread platforms
Available for TradeStation, MultiCharts