Omicron Research Institute

QuanTek Econometrics Software

Econometrics & Technical Analysis

Welcome to the Omicron Research Institute home page.  Omicron Research Institute is devoted to the study of the Econometrics of the financial markets, using established techniques of Digital Signal Processing and Time Series Analysis.  The techniques we use are derived from both Technical Analysis and the Random Walk model. These techniques are incorporated in our QuanTek trading and investing software for Windows, designed for the individual or institutional investor or trader. We use QuanTek to maintain our Model Portfolio on this website with various studies of technical analysis and market behavior updated every week. Also on this website is a collection of Articles and Demonstrations about various aspects of the QuanTek program and Econometrics in general.

QuanTek Econometrics Software

QuanTek is a new type of trading and investing software that is based on the latest ideas from Econometrics and Time Series Analysis.  In particular, QuanTek makes extensive use of the theory of Adaptive (Wavelet) Linear Prediction Filters to make a Price Projection based on long-term correlation in the past price data.  From the expected return and risk (volatility) of each security in the portfolio an Optimal Portfolio is calculated and displayed. There is also a Portfolio Report which displays the expected future returns, actual past returns, and risk on various time scales for the securities in the portfolio, along with the results of the Optimal Portfolio calculation. To see QuanTek in action, please see the Model Portfolio page.

S & P 500 Index (.SPX) (2019-03-15)

Here is the latest shot of the S & P 500 Index (.SPX), on Scale 8:

SP500 (2019-03-15)

This graph shows the Price Projection and the Expected 32-day return derived from it.

Main Features of QuanTek

Here are some of the main features of QuanTek:

  • Price Projection utilizing a Least-Mean Square (LMS) Adaptive Filter and Wavelets
  • Innovative scrolling graphs displaying corrected data (2048 days) and trading signals
  • Displays historical Price Projections and alternative filters for comparison, toggling graphs
  • Bollinger Bands and other trading signals based on Savitzky-Golay (acausal) smoothing
  • Causal buy/sell signals and other causal indicators derived from Wavelet smoothing
  • Adjustable trading Time Horizon for trading signals, adjustable from 1 to 128 days
  • An Optimal Portfolio calculation that maximizes portfolio return while minimizing risk
  • Optimal Portfolio and returns on various time scales displayed in a Portfolio Report
  • Keeps track of a Model Portfolio, including gains and losses and overall portfolio value
  • A Short-Term Trades dialog summarizing portfolio information and trading signals
  • A variety of statistical tests, to test the effectiveness of the filters and for general information
  • Three independent Help systems, along with helpful information contained in dialog boxes

QuanTek can give you a more realistic view of the long-term trends and short-term fluctuations of the market, enabling you to make more profitable trades. The Bollinger Bands and other features of the Main Graph are very useful for identifying oversold and overbought conditions, helping to identify optimal buy/sell points. The Price Projection is also very useful for separating the long-term trends from the short-term fluctuations in order to see clearly the true state of the market. For a more detailed explanation of the features of QuanTek, please see the QuanTek Features page.

Technical Analysis & Random Walk Model

QuanTek uses sound principles of Econometrics to extend both Technical Analysis and the Random Walk Model. For each security, after correcting the logarithmic prices for splits & dividends, a long-term 2048-day trend line is computed. The average daily price range is also computed. The Price Projection is then computed based on these quantities, utilizing an Adaptive Least Mean Square (LMS) Filter.

One interpretation of the Random Walk Model is that the Price Projection is given by the extension of this long-term trend line to the future, so the expected future return is the slope of this line. The expected range of prices for future day N is given as the average daily price range multiplied by the square root of N. The Random Walk Model postulates that no function of past prices can be a predictor of future returns. On the other hand, Technical Analysis postulates that there exist technical indicators, which are functions of past prices that have predictive power for future returns.

QuanTek uses an Adaptive Least Mean Square (LMS) Filter to try to determine the best (time-varying) predictors of future returns and arrive at a Price Projection which depends on these predictors. It thus builds on the basic principles of the Random Walk Model but goes beyond this model. It also extends the basic principles of Technical Analysis by interpreting the predictors as technical indicators. The effectiveness of this approach is verified by extensive Statistical Tests.

Statistical Tests in QuanTek

QuanTek has many unique statistical tests that are used to test the Adaptive filters, and also for general Econometric information. In particular, the program contains correlation tests which are used to test the effectiveness of the Price Projection from the Adaptive Least Mean Square (LMS) Filter. However, these tests are separate from the rest of the program and are not needed for ordinary trading and investing.

Stock Trading and Investing in QuanTek

QuanTek can be used with portfolios of stocks, ETFs, mutual funds, or indexes data. The program keeps track of both an Optimal Portfolio and a Model Portfolio of securities in the same portfolio. You can create any number of portfolios, simply by creating new data files in a new folder. QuanTek uses your choice of two data sources -- AlphaVantage (free) or EOD Historical Data (inexpensive). You can download Historical, Daily, or Intra-day data from either of these sources with a single click of a button. The data are parsed and stored in the data files for each portfolio automatically. You can also parse CSV files in a variety of formats, and also export CSV files. For more information on available data sources, see the Database Data page on the Download QuanTek page.

Model Portfolio Page

We have started a Model Portfolio page with a Portfolio Report containing a listing of the portfolio, along with many screen shots of the securities in the Optimal Portfolio, including indexes. We plan to do model trading in the portfolio every weekend at the close price for Friday. We also present a graph of the Dow Jones Industrials for the past week, along with a detailed discussion. You may view the graphs and discussion for the past several weeks, and the Portfolio Report for this week is now available for viewing:

Model Portfolio

In the Portfolio Report you can view both the Model Portfolio and the Optimal Portfolio. The Optimal Portfolio, which consists of all the securities we are tracking at the moment, is optimized based on the expected return from the 2048-day Long-Term Trend, along with the risk based on the measured average absolute deviation of the prices. We also take into account the Price Projection in our Buy/Sell decisions, as well as other general features of the graphs including technical analysis, and our general knowledge of the markets and current events.

QuanTek Features Page

For a more detailed explanation of the features of QuanTek, please see the QuanTek Features page:

QuanTek Features

This page containes a detailed description of the features of QuanTek, including studies of the graphs (Scales 1,2,4,8,16), and the Price Projection. This is followed by an exlanation of the three Indicator (Splitter) Windows, which show additional important indicators related to the Price Projection. From these are derived the Buy/Sell Signals, Buy/Sell Points, and also the Long/Short Signals. This is followed by an explanation of the Optimal Portfolio, along with the two main methods of viewing it which are the Portfolio Report and Short-Term Trades dialog. Following this are explanations of the four types of Statistical Tests, which are the Correlaton--LP Filters/Indicators, Scatter Graph Indicators/Returns, Wavelet Analysis/Variance, and finally the Periodogram/Wavelet Spectrum. Also there is a History of the QuanTek program.

Download QuanTek Page

At present the QuanTek program is packaged with two separate executables, written for Alpha Vantage and for EOD Historical Data.  We have just uploaded the new QuanTek version 3.9a'' (2019-01-09). This is the same as version 3.9a, except that we have rebuilt the installation file to include a missing DLL. You can download and purchase the latest QuanTek version 3.9a from the Download QuanTek page here:

Download QuanTek

You can download and try out the program without a license using the Sample Files provided. You can then purchase a one-year license, which is valid for all updates during the subscription period, using the PayPal button on this page.

Technical Articles Page

Please explore the articles about QuanTek listed on the Technical Articles page. These articles explain the theory behind the QuanTek program, as it relates to Modern Portfolio Theory as well as the application of Signal Processing techniques and Wavelet Analysis to financial time series:

Articles

Some of the articles listed also appear in the QuanTek Help file, which you can view by downloading QuanTek. You can also find more detailed information about QuanTek in the Help file.

QuanTek Demos Page

You can find a set of detailed demonstrations of QuanTek listed on the QuanTek Demos page. These are generally numerical correlation tests of the Price Projections and Trading Rules:

Demos

We have started a new set of correlation tests of the new QuanTek version 3.9 Price Projections and posted these here. Please view the latest correlation test (2018-12-07) of the Default Adaptive Filter on the Correlation Tests page. These demonstrations are a set of detailed tests of the performance of the QuanTek program. They also explain in detail how the QuanTek program works and how to use it effectively. 

Email Us Page

If you are interested in purchasing a QuanTek subscription or you would like more information, please send us an e-mail using the form on the Email Us page:

Email Us

We would also like to hear any and all feedback regarding how you like the QuanTek program, suggestions for improvements, complaints, or if you find any bugs in the program.

Software Designer
Dr. Robert Murray
Mailing Address
8063 N Stoddard Ave., Kansas City, MO  64152-2025
Phone (cellular)
(816) 695-1334

As always, "Past performance is no guarantee of future results."

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