Chronos AD26

In a market dominated by High Frequency Trading (HFT) and hedge funds, it is becoming increasingly difficult for the individual trader to gain an edge. HFTs and hedge funds do their best to hide their activity (random lot sizes etc) but the one thing they can’t hide is their desire to execute a large number of trades while managing price displacement. One can observe a hint of this activity by watching the time and sales print or the Depth of Market. Our system logic is able to identify these price ranges along with other quantitative parameters that define a breakout point.

Market Signal

We apply our system logics to generate signals and below is the backtested results that we came across. Within the chart wherever there are bars appearing in Red, Cyan or Green colour, it tells us that our algorithm is detecting higher probabilities of an inflection point.

 

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Charts courtesy of TD Ameritrade Thinkorswim

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Above is the chart illustrating the Equity Curve of the Chronos AD26 System that took 112 trades over 6 months without any stop loss to prove the strength of the logic.

 

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Above chart represents the histogram of the trade P&L taken on 4hr time bar over 180 days. Notice that the distribution of trade P&L suggests that the frequency of smaller losing trade is higher than the large winning ones, which by category a characteristic of a trend following system.

 

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