Omicron Research Institute
QuanTek Econometric & Technical Analysis Software
QuanTek Demos
Below are some demonstrations of various key features of QuanTek, and also of its precursor StockEval. The newer demonstrations are on a standard web page, with a link at the bottom to return to this page. The older demonstrations open in a separate tab in your web browser, so to return to this page just click its tab, or click the link at the bottom of the page.
QuanTek Demos (new)
We have been performing some tests of the QuanTek Adaptive Filter, varying the parameters to achieve best performance. You may check the most recent demonstrations of these tests on the following pages. These tests will be updated frequently, and they demonstrate how the Adaptive Filter performs under a variety of market conditions.
Correlation Test - AAPL (2018-12-07): This is a test of the performance of the Default Adaptive Filter using the Correlation Test - Filters dialog with a variety of settings, using AAPL (2018-12-07) data:
The Adaptive Filter was calculated using a Time Horizon setting from 1 to 128 days. Then the correlation with N-day future returns with N from 1 to 128 days was measured. The measurement was also performed using four different Correlation Scales, which are the time intervals over which the correlation is measured. The four Correlation Scales are 128 days (6 mo.), 256 days (1 yr), 512 days (2 yr.), and 1024 days (4 yr.). The results are compared to the expected return due to the 2048-day trend line, extrapolated into the future.
QuanTek Demos (old)
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 Harmonic Oscillator indicators, 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 (Revised November 13, 2006) 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: Fractional Difference Filter (Revised May 28, 2005) This demonstration tests the Fractional Difference Filter in QuanTek using the Correlation Test - Indicators dialog on MSFT stock. A possible explanation for the positive results is given by referring to the Periodogram 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. A discussion of the various Harmonic Oscillator and Momentum Indicators, and results of the Correlation Test - Indicators, for this idealized signal is also given.
StockEval Demos (old)
Demo: Features of the Main Graph (StockEval) (Posted December 1, 2001) This describes the special features of the Main Graph of StockEval, and explains the advantages of the Main Graph over the normal types of graphs found in other financial programs. Some sample graphs are then displayed to illustrate these unique features.
Demo: Harmonic Oscillator Indicator (StockEval) (Posted December 1, 2001) This describes the three parts of the Harmonic Oscillator indicator of StockEval, consisting of Relative Price, Velocity, and Acceleration, and compares these indicators with some of the traditional Technical Analysis indicators to which they are related.
Demo: Diagnostic Test of Returns (StockEval) (Posted December 1, 2001) This describes the results of the Diagnostic Test of the Trading Rules utilized in StockEval, performed on a sample portfolio of stocks. The results are compared to the Buy & Hold results. This test was done at the very end of the trending market of the late '90s, when the Buy & Hold returns were quite sizable.
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