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Article Archive For Dennis Meyers, Ph.D.
DownloadTrading SPY 30-Minute Bars With SAR
ARTICLE SYNOPSIS ...In this second part of a two-part article, we look at which combination of performance metrics gives you strategy inputs that produce good trading results...
Trading SPY 30-Minute Bars With SAR Part 1
ARTICLE SYNOPSIS ...We've all heard of the parabolic SAR indicator and know how to use it. Here's a different perspective that looks at it in terms of shape, slope, and speed...
Trading Eurodollar One-Minute Bar Charts, Part 1
ARTICLE SYNOPSIS ...How do you determine when a price trend starts? The velocity of price movement can have something to do with it. Here's one way you can measure volatility....
Trading Eurodollar One-Minute Bar Charts, Part 2
ARTICLE SYNOPSIS ...The level of noise in price movements can have an impact on our trading. Here's a system that filters out the noise and trades the trends....
The Repeated Median Velocity Strategy, Part 1
ARTICLE SYNOPSIS ...It sounds complicated, but it's actually simple. In this first part of a two-part series, find out how to use this strategy to place buy & sell orders as well as the best way to test the strategy....
The British Pound Cubed, Redux
ARTICLE SYNOPSIS ...Trading systems involve several components to make sure they perform as well as you would like them to. Here's how you can apply these components using the least-squares cubic system....
Repeated Median Velocity Strategy, Part 2
ARTICLE SYNOPSIS ...Here in the second part of this article, you'll identify optimal parameters and find out how the system performed....
Trading The E-Mini by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...Trading The E-Mini by Dennis Meyers, Ph.D. Here's a technique you can use to trade the e-mini futures intraday. In my April 1999 article, "The Discrete Fourier Transform Illusion," I demonstrated the misuses of the mathematical technique called the Fourier transform as applied to the Standard & Poor's 500. In that article I discussed how fitting the Fourier transform to the S&P 500 index data series produced a perfect curve-fit on past data, giving the illusion that this technique would predict the major turning points of the S&P 500. However, when the Fourier transform was examined on a day...
Trading IBM Intraday by Dennis Meyers, PhD
ARTICLE SYNOPSIS ...Trading IBM Intraday by Dennis Meyers, PhD Here's how to develop a trading system that measures the real price dynamics of the market. The fading memory polynomial was first introduced in one of my previous articles, titled "The Yen Recursed." In that article, I discussed how to use a first-order fading memory polynomial to trade the yen futures on a daily basis. Here, I will use a fourth-order fading polynomial to trade IBM one-minute bars on an intraday basis. The fading memory polynomial is a mathematical technique that fits an nth-order polynomial to the last T price bars, but calculate...
The Endpoint Fast Fourier Transform System by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...The Endpoint Fast Fourier Transform System Last time, we explored the Fourier transform, a mathematical technique for analyzing data to determine cyclical component. This time, we use the fast Fourier transform as a trend determinant for a model for trading the Standard & Poor's 500. In my previous article, "The Discrete Fourier Transform Illusion," we demonstrated the misuses of the Fourier transform mathematical technique as applied to the Standard & Poor's 500 index. We showed how fitting the Fourier transform to the S&P 500 index data series produced a perfect curve-fit on past data, giv...
IBM, Cubed by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...IBM, Cubed Here's a look at what's involved in developing a trend-following indicator for trading IBM. In a previous article, I showed how the application of a curve generatedbyathird-degreepoly-nomial could be used to develop a system to buy and sell British pound (BP) futures. This time, we will use a variation of that cubed system to create a system to trade IBM. IBM, one of the premier computer corporations in the world, is a major factor in the movement of the Dow Jones and Standard & Poor's 500 indices. Although IBM is traded on all regional exchanges, the lion's share and real market ...
The Discrete Fourier Transform Illusion by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...TheDiscreteFourier Transform Illusion by Dennis Meyers, Ph.D. The Fourier transform is a mathematical technique for analyzing data to determine cyclical component. Take a close look. The Fourier transform is a mathematical technique named after mathematician Jean Baptiste Joseph Fourier(1768-1830).Thatthis technique, devised long before any of the modern amenities that we take for granted today, is widely used today in science and engineering for digital signal processing is a remarkable accomplishment. The application of Fourier mathematical techniques is prevalent in our everyday lives in ...
The Bond Futures Noise Channel-2 Breakout System by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...The Bond Futures Noise Channel-2 Breakout System by Dennis Meyers, Ph.D. Here's how to develop a system using a filter to remove the random price movement and identify the trend of the Treasury bond market....
The British Pound, Cubed by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...Currency markets are popular with trend-followers because of the tendency for currency markets to follow long-term trends. Here's how to smooth out the trend and recognize the major turns. The British pound (BP) is a major currency traded worldwide by corporations, institutions, banks, commodity funds and futures traders. The BP is traded 24 hours a day, and most of the world's largest banks make a two-sided market in the British pound and its associated derivatives. Small traders, however, are constrained to trade the BP futures on the Chicago Mercantile Exchange (CME). The BP futures are t...
Surfing The Linear Regression Curve . . . by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...Surfing The Linear Regression Curve With Bond Futures by Dennis Meyers, Ph.D. Linear regression, a statistical technique that fits a straight line to data points, can also be a proxy for a market trend. Here's a trading system that uses the measured percentage change of the trend of the Treasury bond market. The US Treasury bond futures contract is one of the most actively traded exchange contracts in the world. The US Treasury bond future is traded on the Chicago Board of Trade (CBT) and is used by major banks, institutions, and trading firms to trade, arbitrage and hedge their bond portfo...
The Yen, Recursed by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...Combine the exponential moving average with a trend estimate to identify changes in the direction of the market. The Japanese yen (JY) is a major currency traded worldwide by corporations, institutions, banks, commodity funds and futures traders. The yen is traded 24 hours a day and most of the world's largest banks make a two-sided market in the yen and its associated derivatives. Small traders, however, are constrained to trade the yen futures on the Chicago Mercantile Exchange (CME). The JY futures are traded from 7:20 am to 2 pm on the CME and from 2:30 pm to 7:05 am overnight Monday thr...
The German Mark Noise Channel Breakout System by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...The German Mark Noise Channel Breakout System by Dennis Meyers, Ph.D. Interested in a trend-following method for currency markets? Currency markets generally exhibit the strongest tendency to trend, a key feature for trend-followers. Here's a method that's both simple and effective to take advantage of that. Presented here are the rules and steps to develop a trend-following method for currencies. The German mark (abbreviated DM, for Deutschemark) is a major currency traded worldwide by corporations, institutions, banks, commodity funds and futures traders. It is traded 24 hours per day, an...
V.15:11 (488- 496) The T-Bond Futures & Stock Market Breadth System by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...Market timers develop models to decide when to be in the stock market and when to be out. These models can be based on theories that range from simple technical analysis to complex econometric models. With that in mind, here's a timing model based on the market performance of a particular interest rate futures contract combined with a set of technical indicators. According to many market pundits, buy and hold is the best way for an individual to create wealth from the stock market. If you were to review the history of the stock market, however, you would see that the buy-and-hold approach req...
Walk Forward With the Xau Bond Fund System by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...Walk Forward With the Xau Bond Fund System by Dennis Meyers, Ph.D. The system developer has various optimization techniques to choose from. Here, Contributing Editor Dennis Meyers updates his previous work using the walk-forward optimization method. Previously, I examined the relationship between the Philadelphia Stock Exchange (PHLX) daily gold and silver stock index (XAU) and the Fidelity Long-Term Government Bond Fund (FGOVX). In that article, I used a walk-forward optimization technique to determine the system parameters. The data window for the research began on December 19, 1983, and ...
A New Utility Average Stock Market System by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...A New Utility Average Stock Market System by Dennis Meyers, Ph.D. This month, Meyers uses a daily indicator based on the Dow Jones Utility Average as a market timing system for the Standard & Poor's 500 index. In the August 1995 STOCKS & COMMODITIES, I presented a stock market timing system that I called the utility stock market indicator. This system uses the weekly relative strength of the Dow Jones Utility Average (DJUA) to the Standard & Poor's 500 index to derive a stock market system. The weekly model had a number of weaknesses that we will attempt to resolve. Before we start, remembe...
V.15:1 (11-19) A Daily A-D New High-New Low Market System by Dennis Meyers
ARTICLE SYNOPSIS ...A Daily A-D New High-New Low Market System by Dennis Meyers Here's a new system using daily statistics to issue buy and sell signals for the stock market. In the February 1996 STOCKS & COMMODITIES, I presented a stock market timing system called the ADL-NH-NL system, which uses as its base for generating signals the weekly advancing-declining issues (ADL) and the weekly new highs (NH) and new lows (NL) on the New York Stock Exchange (NYSE). I rigorously investigated this set of market indicators because of the anecdotal discussion that has abounded concerning the use of these market statist...
The Turbo A/D, NH Market System by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...The Turbo A/D, NH, NL Market System This Contributing Editor has looked into using the internal market statistics to generate stock market trading signals. Here, he upgrades one of his previously published market timing systems and discusses optimization strategies. In the January 1997 STOCKS & COMMODITIES, I presented a stock market timing system that uses the daily advancing-declining issues, the Dow Jones Industrial Average (DJIA) and the daily new highs and new lows on the New York Stock Exchange (NYSE) as its bases for generating signals. That model developed a relative strength indicat...
The Siren Call of Optimized Trading Systems by Dennis Meyers
ARTICLE SYNOPSIS ...The Siren Call Of Optimized Trading Systems by Dennis Meyers, Ph.D. Today's software for trading systems can take you down some dangerous paths. Here's how to avoid one mistake. With the advent of today's high-performance desktop computers and software as well as the availability and cheapness of historical data, trading systems are more prevalent than ever. These systems usually hold out the promise, either implicitly or explicitly, of assured trading rewards. The majority of the trading systems being offered to the trader today are presented with hypothetical track records showing the exce...
The Gold and Silver Bond Fund System by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...The Gold And Silver Bond Fund System by Dennis Meyers, Ph.D. Building on his previous Gmi system article, this Contributing Editor develops a system using the Philadelphia Stock Exchange daily gold and silver stock index to trade a long-term government bond fund. Last month, I examined the relationship between Barron's Gold Mining Index (GMI) and the 30-year Treasury bond rates. A system was developed to predict the weekly direction of the 30-year T-bond rate using the GMI. One of the problems encountered in developing that system was that the GMI is only available from Barron's on a weekly ...
A/D Volume, New-High, New-Low System by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...V.14:7 (304-310): A/D Volume, New-High, New-Low System by Dennis Meyers, Ph.D. Here, classic stock market indicators have been combined into a trading system for the market. Previously, I developed a stock market system using the weekly advance-decline line and the weekly new highs and new lows. While a system using weekly data is valuable for filtering out daily price fluctuation noise, it does, however, leave the trader exposed to large adverse price movements during the trading days between the weekly buy/sell signal calculations. This one-week gap of inactivity could result in serious lo...
The Electric Utility Bond Market Indicator by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...V.14:1 (11-18): The Electric Utility Bond Market Indicator by Dennis Meyers, Ph.D. There's a close relationship between the performance of the electric utilities stock index and the bond market. Technicians use this relationship to forecast the direction of interest rates. This S&C Contributing Editor takes it one step further and designs a trading system for bonds based on the S&P 500 electric utility index. Electric utilities stock indices have long been assumed to be a leading indicator of the bond market. Utilities are linked to bonds, the theory goes, because they are influenced by the...
The Advance-Decline, New-High, New-Low Market System by D. Meyers
ARTICLE SYNOPSIS ...V.14:2 (69-75): The Advance-Decline, New-High, New-Low Market System by Dennis Meyers Try combining popular technical stock market indicators - the advance-decline line, the number of stocks making new highs and the number of stocks making new lows - to develop a trading system for the stock market. The advance-decline line (ADL) has long been acknowledged as a valuable indicator of future market direction. Much of the discussion to date on how to use the ADL has been anecdotal, however. There have been numerous references on how negative divergences between the ADL and the Dow Jones avera...
The GMI Bond Market System by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...The GMI Bond Market System by Dennis Meyers, Ph.D. This S&C Contributing Editor details a trading system for predicting Treasury bond yields that uses Barron's Gold Mining Index (GMI) to signal changes. He compares the performance of the trading system with his previous use of the S&P electric utility bond market system. In addition, he tests the GMI T-bond system for trading the Fidelity Government Securities Fund. The connection between gold and interest rates is well known; gold prices are often used as a proxy for future inflation. Today's perception of future inflation rates causes bond...
Trading Munibond Funds with Munibond Futures by Dennis Meyers
ARTICLE SYNOPSIS ...Trading Munibond Funds With Munibonds Futures by Dennis Meyers, Ph.D. Designing a trading system is simply establishing a set of rules and back-testing them in the market. And there are different approaches and different markets to trade. Here's one example of developing a system to time entries into and exits out of municipal bond funds. What are municipal bond funds? They are mutual funds that hold only municipal bonds in their portfolio. These funds have gained some popularity in recent years because the interest from these fund types are exempt from federal taxes. Of these funds, no-load...
Making the Titanic Fly by Dennis Meyers
ARTICLE SYNOPSIS ...Making the Titanic Fly by Dennis Meyers The Titanic syndrome is a stock market timing system built on various stock market indicators. As with all trading systems, additional refinements are possible on the original. Here, then, is one trader's double set of modifications on the original Titanic syndrome system. The Titanic syndrome system, which was originally formulated by the late Bill Ohama, caught my attention because of the title and theory behind it. Ohama introduced the system in STOCKS & COMMODITIES and then detailed his buy and sell criteria for the Titanic syndrome system in a 199...
UDPrice Change Indicator by Dennis Meyers
ARTICLE SYNOPSIS ...V.13:07 (298-303): UDPrice Change Indicator by Dennis Meyers This indicator expresses buy and sell signals based on user-defined percentage changes in a market. The UD% price change indicator is compared with a simple moving average crossover and two different channel breakout systems using the Standard & Poor's 500 index as an example. The percentage price change indicator, simple in concept and implementation, was one of the first indicators used to forecast the market. Its basis is simple enough. If the price moves up by a certain percent from the lowest low recorded while you are short...
The Utility Average Stock Market Indicator by Dennis Meyers, Ph.D.
ARTICLE SYNOPSIS ...V.13:08 (321-328): The Utility Average Stock Market Indicator by Dennis Meyers, Ph.D. Here's a new indicator for trading the Standard & Poor's 500 index, based on the relative performance of the Dow Jones Utilities Average to the S&P. Trading rules and supportive studies are also provided. The Dow Jones Utility Average (DJUA) has long been acknowledged as a leading indicator for the stock market. The literature on the DJUA as a leading indicator has been mostly anecdotal. To date, no rigorously tested method using the utility average as a leading indicator has been published. That's easy...
Modifying the Parabolic Stop and Reversal by Dennis Meyers
ARTICLE SYNOPSIS ...Modifying the Parabolic Stop and Reversal by Dennis Meyers The parabolic stop and reversal indicator is a popular trading tool, but it's subject to false signals. Here's how it can be modified to improve its performance. The parabolic stop and reversa (SAR) indicator was introduced by J. Welles Wilder in New Concepts in Technical Trading Systems. The SAR, a trend-following indicator that is always long or short the market, is now standard on almost all modern technical analysis software. The SAR can be applied to any time horizon bar chart such as monthly, weekly, daily, hourly, or even poi...
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