Trading The E-Mini by Dennis Meyers, Ph.D.
Here’s a technique you can use to trade the e-mini futures intraday.
In my April 1999 article, “The Discrete Fourier Transform Illusion,” I demonstrated the misuses of the mathematical technique called the Fourier transform as applied to the Standard & Poor’s 500. In that article I discussed how fitting the Fourier transform to the S&P 500 index data series produced a perfect curve-fit on past data, giving the illusion that this technique would predict the major turning points of the S&P 500. However, when the Fourier transform was examined on a day-by-day walk-forward basis, this seemingly wondrous predictive capability disappeared.
In the follow-up article, “The Endpoint Fast Fourier Transform System,” I discussed using the fast Fourier transform (FFT) in a technique called the endpoint fast Fourier transform (EPFFT) to trade daily bars of the S&P 500 futures. This time, I will discuss how to use the EPFFT technique on a walk-forward basis to trade one-minute bars of the emini futures.