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

• MSR Support-Resistance Trading Indicator
• Laguerre RSI Indicator
• Disparity Index
• Hanging Man
• Breakout With Volume and liquidity
• Money Index
• mov avrages
• Mahesh Moving Average
• Relative Vigor Index
• Chart Pattern Indicator
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Fundamental Analysis

• NSX - Daily short selling data
• London Stock Exchange News
• Number of IPOs per Day - Trading Composite
• Historical economic calendar data by currency symbol
• Earnings database
• IPO Pricings - Recent and Historical
• Yale - Crash Confidence Index
• NAAIM Survey of Manager Sentiment
• NSE Margin Trading
• News data for US companies from Google RSS feed
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