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Repeated Median Velocity Strategy Part 2

by Dennis Meyers

Here in the second part of this article, you’ll identify optimal parameters and find out how the system performed.

Last month in part 1, I described the repeated median velocity (RMV) strategy and how it can be used to place buy & sell orders and how to test this strategy. Here in part 2, I will discuss how to find the optimized system parameters so you can increase your overall trading profits.

In the RMV strategy, there are three strategy parameters to find: N, vup, and vdn. For the test data, I ran the TradeStation optimization engine on the Russell 2000 index emini futures (TF) one-minute price bars from March 30, 2011 to May 3, 2013 with the following optimization ranges for the repeated median strategy inputs:

I created 105 30-day in-sample periods each followed by a seven-day out-of-sample period for the in-sample/out-of-sample periods (see sidebar “Walk-Forward Out-Of-Sample Performance Summary” at This will produce 2,400 different input combinations or cases of the strategy input parameters for each of the 105 in-sample/out-of-sample files for the two years of one-minute bar TF data.

What I am trying to do is statistically identify the best performance metric (which I call a filter) or combination of best performance metrics that I can apply to the in-sample section that will give me strategy inputs that will produce, on average, valid profits in the out-of-sample section, or future data.

Image 1

FIGURE 1: PARTIAL OUTPUT OF WALK-FORWARD METRIC PERFORMANCE EXPLORER. Here you see the summary of the out-of-sample performance results for the b20tLB<80-tnp filter.

…Continued in the December issue of Technical Analysis of Stocks & Commodities

Excerpted from an article originally published in the December 2013 issue of Technical Analysis of Stocks & Commodities magazine. All rights reserved. © Copyright 2013, Technical Analysis, Inc.

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