Omicron Research Institute

QuanTek Econometrics Software

Demonstrations

Demo: Displays of Technical Indicators  (Revised September 10, 2006)  This demonstration describes some of the most important displays, and the Technical Indicators which are associated with them.  A description is also given of how some of these indicators are calculated and how to interpret them.  In particular, the Price Projection and the Momentum indicators and Trading Rules indicator are explained, and the tests used to establish their validity by computing the correlation with future returns are described.

Demo: Linear Prediction Filters  (Revised September 8, 2006)  This demonstration shows the results of testing two of the Linear Prediction filters using the Correlation Test - Filters test, for correlation of the Price Projection with future returns.  The test is done for MSFT, XOM, and AAPL stocks.  The result is a high degree of correlation for a time horizon greater than 10 days, but for a shorter time horizon the correlation tends to be buried in stochastic noise.

Demo: Momentum Indicators - Design and Testing  (In progress)  This demonstration shows how to design and test a set of three Momentum indicators, and save the results to an individual security data file.  The Technical Indicators dialog is used to design the indicators, and the Correlation Test - Indicators dialog is used to test for correlation with future returns, for a variety of settings of the time horizon and Lead Time.  The Lead Time is then used to optimize the indicator for maximum correlation with future returns.  The final results of the optimized Momentum indicators are shown in their splitter window.  Then a set of Trading Rules is specified using the Trading Rules Filtering & Momentum Weights dialog, and finally the Trading Rules are tested in a simulated trading scenario using the Diagnostic Test.  This test uses the default Momentum indicators, which coincide with the Harmonic Oscillator indicators (Smoothing time scale equal to the time horizon).

Demo: Momentum Indicators - No Smoothing  (Revised October 7, 2006)  This demonstration investigates the design and testing of a set of Momentum indicators in which the Savitzky-Golay smoothing filter is not used.  In this case, the Velocity indicator is just the Price Projection (returns) itself, so this is equivalent to a test of the Price Projection.  The Relative Price and Acceleration type indicators are also tested.  A set of three Momentum indicators consisting of the Relative Price, Velocity -- Price Projection (returns), and another Velocity indicator is finally chosen.  Then these three indicators are tested using the Diagnostic Test for four different trading scenarios.  The time horizon for all these tests is set to 20 days, the optimum value for this particular stock -- MSFT.

Demo: Periodogram and Wavelet Spectrum  (Revised June 27, 2006)  This demonstration describes the Periodogram and Wavelet Spectrum tests and their meaning and interpretation.  The Periodogram and Wavelet Spectrum are the basis of two of the Linear Prediction filters used for the Price Projection in QuanTek.  The filter based on the Wavelet Spectrum also takes into account the measured fractional difference parameter (fractal dimension), which is also based on the Wavelet Spectrum

Demo: Trend Persistence and Smoothness  (Revised May 26, 2005)  This demonstration illustrates the "ideal" behavior of the QuanTek trading rules and indicators, on the assumption that the "signal" is a slowly varying, smooth function buried in stochastic noise.  This is illustrated by means of an artificial test data file with a smoothly varying sinusoidal signal.

Demo: Diagnostic Test of Returns (StockEval)  (Posted December 1, 2001)  This describes the Trading Rules of the precursor program to QuanTek, called StockEval, and lists the results of the Diagnostic Test performed on a sample portfolio of stocks.  This test was done at the very end of the trending market of the late '90s.