Figure 24. Single Scenario WF Simulation for Model 2

Model Building and Analysis Tutorial

This article describes the recommended approach to building market timing models. Synergy is feature rich and quite flexible, so completely valid variations on the workflow presented here are possible. The goal for the example, is to build models for trading the SP futures on the trading day following the day the systems are updated. All trades Read more about Model Building and Analysis Tutorial[…]

Figure 3. StochasticOsc ExtremesTrader

RSI 2 and Other Oscillators

The 2 period RSI oscillator is a popular indicator of short-term over-bought and over-sold market prices. I was wondering if Synergy could be used to identify models that use a 2 period RSI. By default, the period of an RSI oscillator in Synergy can range from 2 to 50. Assuming the default range is not Read more about RSI 2 and Other Oscillators[…]

Figure 1. Ensemble Report for Gold Futures Modeling Run

Synergy Ensemble Report

The Ensemble Report is a relatively simple, but very useful report. When a modeling run completes, the first task is to analyze the results displayed in the Ensemble Report. No models should be deleted from the modeling run before viewing this report. If models are deleted then the statistics displayed on the report are no longer meaningful. Read more about Synergy Ensemble Report[…]

Figure 7. Single-Scenario Equity Curves Chart

Walk-Forward Simulations in Synergy

The Walk-Forward Simulator is used to test the stability and robustness of a given market timing model that has been retained during a Synergy data mining run. It is probably the most important test to apply when considering a model for use. The Lookback Period consists of n rows of input data leading up to Read more about Walk-Forward Simulations in Synergy[…]

Synergy

Synergy Data Mining Application

After 4 long months of coding and testing the Synergy data mining application is complete. Synergy is a ‘free standing’ Windows application that builds models based on function blocks and then uses particle swarm optimization to discover optimal model parameter ranges. Models can be exported as Dakota 3 Signal Generators. Early adopters will receive a Read more about Synergy Data Mining Application[…]

ATS EST Signal Generators

Ensemble Signal Trader Signal Generators

This article describes how to use ensembles of trading signals within Dakota 3 to build a trading system. Contributing market timing signals could originate from any source e.g. R, BioComp Profit, BioComp Patterns, BioComp Dakota 3. The signal generators included in the ATS Ensemble Signal Generators for Dakota 3 are used in the article. Step Read more about Ensemble Signal Trader Signal Generators[…]

SPX Sentiment - Net Intensity

S&P 500 Index (SPX) Sentiment Data (StockTwits)

This article takes a quick look at the daily SPX Sentiment Data (StockTwits). The motivation is purely curiosity. There isn’t enough history yet for me to start using data of this nature for building production models. The data can be downloaded for free on this page: https://www.quandl.com/data/PS1/SPX_ST-S-P-500-Index-SPX-Sentiment-Data-StockTwits When you create a Quandl account you get Read more about S&P 500 Index (SPX) Sentiment Data (StockTwits)[…]

SP Rubric Pattern Predictor using OHLC and Simple Moving Averages

SP Rubric Pattern Predictor Using OHLC and Simple Moving Averages

The Rubric Pattern Predictor defines patterns by comparing the levels of input features, evaluates candidate patterns over a trailing modeling period and uses the patterns that have been historically successful walking-forward. The pattern building phase is repeated every n bars. Inspiration for the Rubric Pattern Predictor came from the Adaptrade Price Pattern Strategies and Price Read more about SP Rubric Pattern Predictor Using OHLC and Simple Moving Averages[…]

SP Trend Pullback Market Timing Model

SP Trend Pullback Dakota 3 System

Trend pullback trading strategies are relatively simple and tend to work across different time frames and on a wide range of securities. We are going to build a Dakota 3 system for the SP futures contract that goes long when a short-term decline occurs in an uptrend and goes short when a short-term rally occurs Read more about SP Trend Pullback Dakota 3 System[…]

SP K-Step Ahead SVMPredictor

K-Step Ahead SVMPredictor Dakota 3 System

We are going to build a Dakota 3 market timing model that predicts the 5 period change in the natural log of the daily SP closing price using support vector machines for k-step ahead modeling. The K-Step Ahead SVMPredictors work like this: A support vector machine is trained to predict the input series 1 time Read more about K-Step Ahead SVMPredictor Dakota 3 System[…]