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Article Archive For Anthony W. Warren, Ph.D.

  • Momentum Trading Using Fourier/WAMI Optimization by Anthony W. Warren, Ph.D.

    ARTICLE SYNOPSIS ...Momentum Trading Using Fourier/Wami Optimization by Anthony W. Warren, Ph.D. Technical analysis and the use of indicators may lend itself to well-defined rules for trading, but most traders develop their methods into more of an art form. Here, a longtime Stocks & Commodities contributor explains the use of prestored indicator designs and ways to evaluate and refine custom trading rules. Previously, I described a method for using Fourier analysis and a new momentum indicator for momentum optimization and trade timing, which I called Warren's momentum indicator (WAMI for short). That article ...

  • Optimizing Momentum by Anthony W. Warren, Ph.D.

    ARTICLE SYNOPSIS ...Optimizing Momentum by Anthony W. Warren, Ph.D. Longtime readers may remember the body of written work from Stocks & Commodities contributor Anthony W. Warren during the early days of this magazine, in particular Fourier transform and triple exponential smoothing (TRIX). More recently, he has written about data filtering for trend channel analysis. This time, Warren explains how to identify the cyclical component to price data and tuning WAMI, a momentum indicator that he has designed, to indicate buy and sell points. One of the oldest and most popular technical anal ysis methods is using a...

  • Data Filtering For Trend Channel Analysis by Anthony W. Warren, Ph.D.

    ARTICLE SYNOPSIS ...Data Filtering For Trend Channel Analysis by Anthony W. Warren, Ph.D. Trend-following methods typically utilize moving averages of closing price data for buy and sell signals. Often, the signals turn out to be false due to short-term market fluctuations. Here, longtime STOCKS & COMMODITIES contributor Anthony W. Warren, correcting one of the major drawbacks of moving averages, introduces a trend-following method that smoothes the data for trend identification and measures short-term price fluctuations to establish statistical boundaries. The following article will teach you how to use a zero...

  • Alpha-beta trend following system Version II, tuning for performance by Anthony W. Warren Ph.D.

    ARTICLE SYNOPSIS ...Alpha-beta trend following system Version II, tuning for performance by Anthony W. Warren Ph.D. Several years ago, I published the alpha-beta trend following method in Technical Analysis of Stocks & Commodities. Although similar in concept to the classic moving average crossing systems, this method utilized an uncertainty band or trend channel to eliminate most of the false signals associated with moving average crossings. In addition, it graphically represented the preferred times to go long, go short and to stay out of a particular stock, bond or commodity market. One of the prob...

  • Alpha-beta trend-following revisited by Anthony W. Warren, Ph.D.

    ARTICLE SYNOPSIS ...Alpha-beta trend-following revisited by Anthony W. Warren, Ph.D. In the June and December 1985 issues of Technical Analysis of Stocks & Commodities magazine, I presented a new method for trend-following based on the use of alpha-beta filtering for trade timing and buy, sell, hold market decisions. This method is similar to the use of moving averages for trade timing, but has two primary advantages over moving averages: 1) The method utilizes an uncertainty band about current prices to eliminate many of the false alarm trading signals given by conventional moving averages. 2) The method iden...

  • Part 1. Concepts and Examples A Trend Following Method for All Seasons by Anthony W. Warren

    ARTICLE SYNOPSIS ...Part 1. Concepts and Examples A Trend Following Method for All Seasons by Anthony W. Warren, Ph.D. Introduction Trend following methods based on plots of raw and moving average data are one of the oldest and most universally used techniques of technical analysis. However, these techniques are appropriate for only certain types of markets, characterized by great cyclical movements or trends, and are not useful in long accumulation and distribution periods when the underlying market is flat. Moreover, even in trending markets the traditional moving average trading techniques tend to be suscept...

  • Part II. Implementation Using Alpha-Beta Filtering A trend following method for all seasons by Anthony W. Warren, Ph.D.

    ARTICLE SYNOPSIS ...Part II. Implementation Using Alpha-Beta Filtering A trend following method for all seasons by Anthony W. Warren, Ph.D. Summary In the June issue of Technical Analysis of Stocks & Commodities we presented a trend following method for stock and commodity trading which has a number of advantages over moving averages for trade timing. The method consists of computing an upper and lower trend channel which defines an uncertainty band within which the market price fluctuates, and computing a trading filter which is used to make buy, sell, and hold decisions. Historical price data, the trend chann...

  • Optimizing the Maximum Entropy Method by Anthony W. Warren, Ph.D.

    ARTICLE SYNOPSIS ...Optimizing the Maximum Entropy Method by Anthony W. Warren, PhD This article is the second in a series on the Maximum Entropy Method (MEM) and its use in technical analysis for short data length spectrum estimation and short term forecasting. In the first article (January 1984 issue of T.A.) we introduced the main ideas behind MEM and illustrated the relationship between the MEM order or number of days used in MEM forecasts, and the resolution in the spectrum. In the following article we discuss the critical process of optimizing the MEM fit coefficients to obtain reliable models for spectrum...

  • An Introduction to Maximum Entropy Method (MEM) Technical Analysis by Anthony W. Warren, Ph. D.

    ARTICLE SYNOPSIS ...An Introduction to Maximum Entropy Method (MEM) Technical Analysis by Anthony W. Warren, PhD RESEARCH Preface to Maximum Entropy Articles A reasonable assumption concerning the motivation of subscribers to Technical Analysis of Stocks and Commodities magazine might be that they are looking for practical methods to improve the 'bottom line' or profit of their trading activities. It should be stated and emphasized that this article is one of several planned articles leading to a conclusion which will indeed provide a practical tool intended to augment that 'bottom line '. The reader will ther...

  • Further Analysis of Triple Exponential Smoothing by ANTHONY WARREN, Ph.D./Technical Analysis staff writer

    ARTICLE SYNOPSIS ...Further Analysis of Triple Exponential Smoothing by ANTHONY WARREN, Ph.D./Technical Analysis staff writer In the July issue of Technical Analysis, J. Hutson presented a method of using triple exponential smoothing (TRIX) as a trading oscillator and supplied a BASIC routine for calculating TRIX plots. In this article we present a precise method for selecting the TRIX alpha constant using Fourier Spectrum analysis and show how to use historical price data for selecting buy and sell indicators. In Part I we discuss choosing an optimal alpha value using Fourier Analysis and the author's alpha se...

  • FOURlER ANALYSIS! IN A NUTSHELL FASTER and BETTER by Anthony Warren Ph.D.

    ARTICLE SYNOPSIS ...FOURlER ANALYSIS! IN A NUTSHELL FASTER and BETTER by Anthony Warren Ph.D. For those individuals who are currently using Fourier Spectrum analysis, this article describes some techniques that make the analysis easier to perform and the spectral plots easier to interpret. (The reader may also want to review the January articles on Fourier Analysis 1 , or the May article on its use in selecting moving average parameters 2 .) Part I. of this article attempts to shed some light on the question, ""How many data points should I use for doing Spectrum Analysis?"". In a nutshell, the answer is that th...

  • Data Filtering Methods For Technical Analysis by ANTHONY WARREN, Ph.D./Technical Analysis

    ARTICLE SYNOPSIS ...Data Filtering Methods For Technical Analysis by ANTHONY WARREN, Ph.D./Technical Analysis staff writer Data filtering methods such as moving averages are quite prevalent in many trading systems. In this article we will discuss a methodology for selecting appropriate data filters based on Fourier spectrum analysis, and the basics on how to use smoothing filters for trading decisions. In the course of this article we will attempt to familiarize the reader with data filtering from a frequency domain point of view (i.e. cyclic). The reader need not be concerned with the mathematics of Fourier ana...

  • Fast Fourier Transform by ANTHONY WARREN, PH.D./STAFF WRITER

    ARTICLE SYNOPSIS ...Fast Fourier Transform EDITOR'S NOTE: To improve program readability the subroutine listed here has been enhanced by a BASIC language list formatter. We hope that this will prove helpful. The assignment statement 'LET' and indentations are not required for most BASIC interpreters. The program flow-of-control is much clearer by observing that loop operations, such as, FOR-NEXT are indented so the FOR and NEXT are directly above one another. This program has been provided, to subscribers on record as of January 31, 1983, FREE of charge, ready to run from within the Compu Trac system. One need ...

  • A MiniGuide to Fourier Spectrum Analysis by ANTHONY WARREN, PH.D./STAFF WRITER

    ARTICLE SYNOPSIS ...A MiniGuide to Fourier Spectrum Analysis by ANTHONY WARREN, PH.D./STAFF WRITER The basic idea behind Fourier Analysis of time series is to decompose the data into a sum of sinusoids of varying cycle length, each cycle being a fraction of a common or fundamental cycle length. (For example, figure 1 shows a time series consisting of a linear trend and two major cycles, and figure 2 shows the decomposition into component sinusoids.) Originally, cyclic analysis was applied to physical phenomena to describe the behavior of complex vibrations, as for example, the multiple vibrations created by pluc...

  • Mathematician's Viewpoint. by ANTHONY WARREN PH.D.

    ARTICLE SYNOPSIS ...Mathematician's Viewpoint. by ANTHONY WARREN PH.D. In this initial article the author will describe his viewpoint on technical analysis and the value of computer based algorithms for enhancing one's chances of success in stock or commodity trading. We will also outline a planned series of articles covering topics such as Fourier Analysis for Fun and Profit, Data Filtering for the Masses, Do Trend Channels Really Exist?, and The Threefold Path to Forecasting. (Titles are Fictitious) The main problem of trading is in developing systematic rules for managing the unpredictability of the marketpl...







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