** QuanTek** is an

** QuanTek** works by defining various functions of

* QuanTek* is also a

** QuanTek** now works with either

**Price Projection:**A **Price Projection** is computed using
one of a choice of five **Linear Prediction** filters, and displayed
on the Main Graph. This **Price Projection** is also used as
part of the computation of the **Momentum** indicators and **Trading
Rules**. One of the **LP **filters uses the **Wavelet spectrum**,
one uses the **Periodogram spectrum**, and one computes the **autocorrelation**
directly. At present, all of these filters assume the *returns*
data to be a **stationary stochastic process** over the past **1024
days**, which seems a reasonable approximation to the true **non-stationary
stochastic process** underlying the financial markets. You can
experiment with the results of using the different **LP** filters.

**Hybrid LP Filter:** The **Hybrid LP Filter** dialog is used
to set the **Linear Prediction** filter for each security separately.
The **type** of filter may be chosen, and two parameters which are
called the **Order of Approximation** and the **Fractal Dimension**
can be set. The **Order of Approximation** selects the degree
of smoothing of the filter spectrum, by setting the length of the series
of **LP coefficients**. The **Fractal Dimension** sets the
low-frequency response of the filter, corresponding to modeling the
time series as a **fractionally differenced (FD)** or ** long-memory**
process. (The

**Technical Indicators:** The main feature of ** QuanTek**
is that you can design and test yourself a wide variety of

**Momentum Indicators:** Another set of **technical indicators**
is displayed in a second splitter window, with three panes. These
are the three **Momentum** indicators that you design yourself, using
the **Technical Indicators** dialog box. You can design a
**technical indicator** of one of the three types listed under the
**Harmonic Oscillator** indicator, and you can also set the **time
scale** for smoothing of the indicator for any value from 0 to 512
days. You can also vary the **lead time**, or **phase**
of the **technical indicators**, for maximum **correlation** with
**future returns**, and you can reverse their sign. These
**technical indicators** are ** causal** in the sense that
they depend only on

**Correlation Tests:** The most important **statistical tests**
in ** QuanTek** are the tests for

**Markowitz Method:** The **Markowitz Method** of **portfolio
optimization** is familiar from **Modern Portfolio Theory**.
This method makes use of an estimated **expected return** for each
security in the portfolio, and also computes the **variance matrix**
of the returns between all the securities in the portfolio. Then
the goal is to find the proportion of each security that **maximizes
returns** for the overall portfolio, and which also **minimizes risk**.
The **risk** is defined as the **standard deviation** (square
root of **variance**) for the portfolio return. This portfolio
**variance** is in turn computed from the **variance matrix**,
obtained by measuring the **volatility** of each security and the
**correlation** of the returns between all the securities in the
portfolio. The computation is a complex one in linear programming
in general, but in ** QuanTek** a slight modification to this
procedure is made to simplify the calculation. Instead of letting
the sum of the amounts invested in each security remain constant, the
square root of the sum of the squares (root mean square value) remains
constant. This has the effect that the total amount invested will
be decreased somewhat unless the amount of equity allocated to each
security happens to be the same. But this is actually an advantage,
because it helps to control

**Main Graph:** The **scrolling graph** has **four different
scales** that cover the whole data set. There is no limit to
the time span of historical data that can be displayed. The graphs
are now available in either **black** or **white** background.
The black background looks great! These four graph scales display
**prices** together with various **smoothings**, the **Price
Projection**, various **buy/sell signals**, **Bollinger Bands**,
and on the highest scale is a **Candlestick Graph.**
**S-T Trades Dialog:** The **Short-Term Trades Dialog** is a modeless
dialog box that may be viewed from anywhere in the program simply by
right-clicking the mouse. It shows a summary of the securities
in the portfolio including the current values of the **Trading Rules**,
and also other information such as the recommended and actual positions
in the **optimal portfolio**, as well as the **expected return**
of each security. Of course the current **price** information
is also displayed. There is also a **Portfolio Report** which
displays the same as well as additional information, which is in the
form of a text file that can be printed or saved. These displays
are convenient for **short-term trading** as well as maintaining
the **optimal portfolio**.