Blog Archives

A Hammer Trading System — Demonstrating Custom Indicator-Based Limit Orders in Quantstrat

August 18, 2014
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A Hammer Trading System — Demonstrating Custom Indicator-Based Limit Orders in Quantstrat

So several weeks ago, I decided to listen on a webinar (and myself will be giving one on using quantstrat … Continue reading →

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A John Ehlers oscillator — Cycle RSI(2)

August 11, 2014
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A John Ehlers oscillator — Cycle RSI(2)

Since I’ve hit a rut in trend following (how do you quantify rising/falling/flat? What even defines those three terms in … Continue reading →

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Another Failed Volatility Histeresis: Ehlers’s Own Idea

August 3, 2014
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Another Failed Volatility Histeresis: Ehlers’s Own Idea

This week, I attempted to use Ehlers’s own idea from this presentation. Essentially, the idea is that when an indicator … Continue reading →

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Volatility Histeresis: A First Attempt

July 28, 2014
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Volatility Histeresis: A First Attempt

So the last time that a FRAMA strategy was tried with price crossovers, the problem was that due to counter-trending … Continue reading →

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Intermission: A Data File For Futures Data (from Quandl)

July 22, 2014
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Intermission: A Data File For Futures Data (from Quandl)

So between variations of different strategies, for those who have yet to come across it, my IKTrading package has a … Continue reading →

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FRAMA Part V: Wrap-Up on Confirmatory Indicator/Test Sample

July 15, 2014
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FRAMA Part V: Wrap-Up on Confirmatory Indicator/Test Sample

So, it is possible to create a trading system that can correctly isolate severe and protracted downturns, without taking (too … Continue reading →

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FRAMA Part IV: Continuing the Long/Short Filter Search

July 9, 2014
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FRAMA Part IV: Continuing the Long/Short Filter Search

This post examines an n-day median filter for two desirable properties: robustness to outliers and an inherent trend-confirming lag. While … Continue reading →

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FRAMA Part III: Avoiding Countertrend Trading — A First Attempt

July 2, 2014
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FRAMA Part III: Avoiding Countertrend Trading — A First Attempt

This post will begin to experiment with long-term directional detection using relationships between two FRAMA indicators. By observing the relationship … Continue reading →

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FRAMA Part II: Replicating A Simple Strategy

June 27, 2014
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FRAMA Part II: Replicating A Simple Strategy

This post will begin the investigation into FRAMA strategies, with the aim of ultimately finding a FRAMA trading strategy with … Continue reading →

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The Continuing Search For Robust Momentum Indicators: the Fractal Adaptive Moving Average

June 22, 2014
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The Continuing Search For Robust Momentum Indicators: the Fractal Adaptive Moving Average

Following from the last post and setting aside the not-working-as-advertised Trend Vigor indicator, we will turn our attention to the … Continue reading →

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