StockFetcher Forums · Filter Exchange · FRAMA<< >>Post Follow-up
snappyfrog
178 posts
msg #146980
Ignore snappyfrog
3/18/2019 9:31:06 AM

A search in forums found zilch on this subject. Fractal Adaptive Moving Average aka FRAMA by John Ehlers.

Each FRAMA requires a setting be specified for the Fast Moving Average (FC), Slow Moving Average (SC) and the FRAMA period itself. We tested trades going Long and Short, using Daily and Weekly data, taking End Of Day (EOD) and End Of Week (EOW) signals~ analyzing all combinations of:

FC = 1, 4, 10, 20, 40, 60

SC = 100, 150, 200, 250, 300

FRAMA = 10, 20, 40, 80, 126, 252

Overall the best annualized returns on the Long side of the market came from a FRAMA period of 126 days which is equivalent to about six months in the market, while a “FC” of just 1 to 4 days proved to be most effective.

Here is the link to the setup. Wondering if this is even possible in SF.

http://systemtradersuccess.com/frama-is-it-effective/?fbclid=IwAR2SY3lpkJOQCubJlxOg8yoS1oESAUABbnTfBtYlL2KA8pUtYUMZVN5hY_A

graftonian
801 posts
msg #146985
Ignore graftonian
3/18/2019 11:41:50 AM

I don't know if I am up to tackling this subject. I read a few articles, and felt like a monkey staring at a wrist watch.:-)

snappyfrog
178 posts
msg #146986
Ignore snappyfrog
3/18/2019 12:10:14 PM

Same for me. I think this is over my pay grade.

graftonian
801 posts
msg #146990
Ignore graftonian
3/18/2019 1:41:48 PM

My son uses some fractal theory in his job as a data analyst; I'll talk to him.

bushynose
11 posts
msg #146992
Ignore bushynose
3/18/2019 2:18:04 PM

http://etfhq.com/blog/2010/05/25/best-technical-indicators/

StockFetcher Forums · Filter Exchange · FRAMA<< >>Post Follow-up

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