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FRAMA Adaptive Strategy

by clonex, 2427 days ago
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This EOD strategy uses Fractal Adaptive Moving Average - FRAMA, Buy Sell Simulation Indicator and Percentile - Percent Rank of a Trading Indicator.

Trend is defined as: Frama(50)>Frama(100).
Buy Signal is genereted as: Percent Rank Oscillator of FRAMA(10) ==0.
Sell Signal is generated as: Percent Rank Oscillator of FRAMA(10) == 100.
System has in-built market regime detector: SPY must be above its 252 day Kaufman Adaptive Moving Average.
System buys those markets where is the strategy most profitable ( BuySellSim Indicator).
Strategy has 2% Stop Loss for each market with max 5 open positions.

I personally dont trade this system, but you can use it for Your own research and development.
It works on 57 ETFs with 1:2 leverage and 80% usage of capital , with 0,005 USD comission per share (IB)

A.Return: 18,69%
Drawdown: -14,13%
Sortino Ratio: 2,12
Trades: 1774
Beta(SPY): 0,25
Alpha(SPY): 285,89%

Strategy was optimized in 2003-2010 and and tested in Out Of the Sample test in 2010-2013.
Out Of Sample Performance is lower then In The Sample Performance.


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Type: Trading System

Object ID: 1265


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Market: All

Style:
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Technical Analysis


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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.