FRAMA Adaptive Strategy

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.

Technical Analysis

• Big Up Gap
• Darvas Box Indicator
• Fast Fourier Transform - Plots the Amplitude of the different Bins
• Indicator/Price Value on a Specific Trading Date
• watchlist1
• Coppock - VLT Momentum Indicator
• Average Performance of a trading rule during that past N days
• Camarilla Pivot Points - Supports and Resistances
• Trendline
• Flat Market Indicator
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Fundamental Analysis

• Profitability Ratios
• Number of IPOs per Day - Trading Composite
• NSE - Security-wise Delivery Position
• Smartmoney news for US equities
• Fails to deliver - Reported by the SEC
• Implied Volatility of iPath ETNs - IV Historical Data
• EPS Estimate Revisions
• Equity Valuation
• Insider Data History
• Broker Ratings & Recommendations
• More trading objects...