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Recruitment of participants ALPHA20 trading system - Self-Adaptive Fractal Model

Discussion in 'Video courses, trainings, educational material' started by Gurminj, 10 July 2023.

Tags:
Stage:
Recruitment of participants
Price:
4995.00 USD
Participants':
7 of 100
Organizer:
Gurminj
7%
Settlement fee for participation:
51 USD
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    ,     7. (anonym)
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  1. Gurminj

    Gurminj Administrator
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    #1 Gurminj, 10 July 2023
    ALPHA20 trading system - Self-Adaptive Fractal Model
    OXWORD capital strategies

    ALPHA20TM is a proprietary trading system using fractals. The trading system has a self-adaptive design that does not use classical technical analysis tools such as moving averages, volatility bands, or price derivatives. ALPHA20TM is price-driven, since price will eventually reflect all relevant fundamental, political, and psychological factors.

    Systematic traders can customize parameters and benefit from system robustness. ALPHA20TM was tested on multiple time frames with risk-neutral, risk-seeking, and risk-avoiding exit strategies. Trading rules and parameters are the same for all markets.

    The instructional manual includes trading philosophy, trading rules, entry-exit examples, risk management rules, sensitivity tests, and benchmark tests.

    1.PNG

    Features
    • Complete trading system (MATLAB®, TradeStation®, MultiCharts®)
    • Same parameters for all markets and time frames
    • Self-adaptive algorithm
    • Simple trading logic
    • Robust design
    Model description:
    Alpha20: Momentum/failed-momentum model based on fractal noise spectrum; price based; self-adaptive; the same rules for all markets; the same rules across time-frames.

    Prices: Alpha20: $4,995; Codes for TradeStation/MultiCharts + Research Manual.

     
  2. PDX

    PDX Active Member

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    #2 PDX, 12 September 2023
    the price.... but uppp
     
  3. acrut

    acrut New Member

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    #3 acrut, 23 January 2024
    I have this. I can't share it (it's watermarked to me, and I signed NDAs), but for anyone interested: it's a commodity futures trend following system that trades many markets. The only real way to do it effectively would be to trade >20 markets, so you'd need minimally around $1m to trade this effectively.
     
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  4. unclejoey

    unclejoey Active Member

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    #4 unclejoey, 23 January 2024
    /
     
  5. john23

    john23 New Member

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    #5 john23, 23 January 2024
    Thanks for the review. Could you say few words about the overall performance of the system / portfolio? Would you buy it again if you knew what you know now? Assuming you can get 1mm portfolio, would you trade it live?
     
  6. acrut

    acrut New Member

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    #6 acrut, 23 January 2024
    Its performance is similar to other CTA trend following strategies. https://www.iasg.com/en/indexes/trend-following-index gives a decent idea how trend following has done historically.

    It has done slightly better than others I compared it to, but keep in mind that sample size is fairly small — trades last weeks. Also note that CTA historical returns is massively skewed by the 1980s, where high interest rates helped quite a bit.

    I suppose the unique aspects are a price-based self-calibration feature to volatility. The implementation is fairly complicated, but is fundamentally buying/selling based on ATR moves from extremes. Think Turtle Trader sort of approach, but a bit more complicated and no time component. Alpha20 by itself is long volatility, so struggles during volatility contraction. The same author created a pair system, called Alpha20MR, that adds a mean reversion layer on top. This doesn't change the Sharpe much, but does help the max drawdown a little. Overall, including the 1980s, we're talking about a combined ~1.3 Sharpe strategy.

    The strategy is delivered as a PDF, so even if you get the rules, implementing/executing is a good amount of work. I probably wouldn't buy it again, just because of how expensive it was. I do use it within a much larger strategy, but suspect any similar exposure to a CTA trend following factor would be similar.
     
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  7. john23

    john23 New Member

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    #7 john23, 23 January 2024
    Thanks. Really appreciate your inputs
     
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  8. Alex Rios

    Alex Rios Member

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    #8 Alex Rios, 21 August 2024
    up
     
  9. Alex Rios

    Alex Rios Member

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    #9 Alex Rios, 1 October 2024
    up
     
  10. Alex Rios

    Alex Rios Member

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    #10 Alex Rios, 10 December 2024 at 20:29
    up
     
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