Jurik Indicators

The Jurik Indicators for TradingSolutions add-on is only a bridge product which allows TradingSolutions to communicate with Jurik Indicator DLLís. The indicators themselves must be purchased directly from Jurik Research.

Jurik Research, founded in Silicon Valley in 1988, has been developing algorithms for processing complex data. With advanced signal processing techniques, Mark Jurik has produced top-notch technical indicators for the financial markets being Voted #1 in the Plug-In Software Category for 2010 Readers' Choice Awards in Technical Analysis of Stocks & Commodities (TASC) magazine.

Lag causes delays in your trades, and lagging indicators typically result in lower profits. Jurik's indicators provide significant advantages in that they are cleaner (less noisy) and more timely (less lagging) than standard technical indicators. The Jurik Indicators for TradingSolutions add-on provides the link between Jurik's software and TradingSolutions. Feeding Jurik's indicators into neural nets, and optimizing with genetic algorithms opens up a whole new avenue for creating profitable models with TradingSolutions.

The WavDDR indicator is unique indicator designed specifically for TradingSolutions that combines two popular indicators in the Jurik Research toolset that is designed to enhance neural network modeling.

What is WavDDR?

This is an advanced data preprocessing tool which can internally sample, detrend, normalize and decorrelate hundreds of columns of data. It is imperative that the trading model is fed the smallest, reasonable number of technical indicators and the WavDDR for Trading Solutions add-in helps you reduce the number of inputs to your model by addressing both multi-colinearity and high dimensionality and performing spatio-temporal compression very effectively.

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This very powerful concept will provide meaningful data for your models and very likely enhance modelís performance and robustness.


WavDDR Chart in TradingSolutions

The design of the add-in is modular, providing numerous options for combining and optimizing data preprocessing and the external engine is very fast and made as transparent for the user as possible. In order to increase efficiency even further, a database maintenance tool is included.

DDR - Decorrelator & Dimension Reducer

Takes a data array and produces a new array concentrating the information of your original indicators into the smallest number of leftmost columns in this new array. This performs a highly effective compression of data by eliminating all redundancy contained in the original data.


DDR Chart in TradingSolutions

HyperWav - Historical Sampling Filter

Creates lagged versions of your input data, which can first be detrended, normalized, or both. The result is a much smaller number of samples than the original data and this is referred to as temporal compression. Our version is extremely fast and easy to use and called HyperWav, but the results are exactly the same as the original WAV.


HyperWav Chart in TradingSolutions

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Examples

Here are a few examples of equity curves for some stock systems that have applied the WavDDR indicators. Most notably, the Amgen and Toyota models are based only on WavDDR breakdown of the daily closing price with no other technical indicators. All equity curves are based on out of sample data from September 23, 2009 to September 23, 2010.

Amtek 1-Year Equity Curve Toyota 1-Year Equity Curve

The Jurik Indicators for TradingSolutions add-on is available in three license levels:

Jurik Indicators for TS (Standard)

  • Jurik Moving Average (JMA) - If you had ever tried to smooth a noisy signal, you probably learned that the smoother the signal, the more it lagged behind price. In contrast, JMA produces ultra smooth curves with very little lag.

  • Zero-Lag Velocity (VEL) - Many systems use price momentum as an indicator. However, up to now, momentum charts were exceedingly jittery, triggering bad trades. In contrast, VEL produces ultra smooth momentum without adding lag to the original momentum indicator.

  • Composite Fractal Behavior (CFB) - This indicator can be used to dynamically adjust the speed (length) of classic technical indicators. Its advantage over the dominant cycle length (DCL) approach is that it works well whether or not the price time series has any cycle components.

  • Relative Strength Quality Index (RSX) - The classic RSI indicator is both noisy and laggy. Jurik's RSX is ultra- smooth (noise-free) and has no additional lag over standard RSI.

  • Directional Movement Index (DMX) - The classic DMI+, DMI- and ADX indicators are either too noisy or too slow. Jurik's DMX is ultra-smooth (noise-free) and with has less lag than ADX.

  • Historical Sampling Filter (WAV) - Creates lagged versions of your input data, which can be first detrended, normalized, or both.

Jurik Indicators for TS w/ DDR

  • Contains all of the indicators included in the previous level

  • Decorrelator & Dimension Reducer (DDR) - How many input variables should a leading indicator have? Is more better? Rarely. Overly complex indicators are likely to fail! What's needed is a way to feed your leading indicator all the information you want, using the smallest number of variables. DDR delivers with amazing results.

  • Hyper Historical Sampling Filter (HyperWAV) - A faster version of the Historical Sampling Filter (WAV) that creates lagged versions of your input data, which can be first detrended, normalized, or both.

Jurik Indicators for TS w/ WAVDDR Premium

  • Contains all of the indicators included in the previous levels

  • WAVDDR Premium - A unique data preprocessing tool created to efficiently sample, detrend, normalize and decorrelate data, performing sophisticated spatiotemporal data compression and producing premium inputs for neural network forecasts.

  • WAVDDR Ultimate - In addition to sampling, detrending, normalizing and decorrelating data users can optimize the sampled data timeframe, making it the ultimate data preprocessing solution.

Order

The indicators themselves must be purchased separately from the Jurik Research Sales Department. The Jurik Indicators for TradingSolutions add-on may be purchased directly from the TradingSolutions Order Form.
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