Quant Strategies

Time Cycle, Fractals and Price

Ajit Kumar

Strategy Test

Have worked on various strategies based on momentum, trends and

volatility. Given their obvious advantages there are some very glaring
shortcomings
Missing the beginning of the move, specially counter trend moves
Averages take time to turn thus are lagging indicator
Momentum tends to diverge negatively much before the price turns or in some
case can sustain for long time

Worked on strategies based on fractals, time cycle and pure price based
triggers for trading
Fractals are part of our daily life and are as much part of markets i.e. similar
patterns are repeated in each time frame be it minutes, hours, days or weeks
Time cycle similar to fractals act as points of important reversal or continuation of
trend
Volatility is used to identify opportunities which can payoff faster in terms of time
Pure price based methods rely on absolute price levels for entry and exit thus
have little room for bias

Fractals & Time Cycle

Tested various fractals (that can be coded) and derived list of fractals which
have strong advantages in terms of RR (Risk:Reward) and success ratio
Time cycle is used to identify the fractal pattern with a time cycle pattern
and tested in terms of Risk:Reward and success ratio
Each pattern and strategy was tested for last 20-30 years various index
data (national and international). Observation
Has significant advantages over trend/momentum based strategies
Strategies doesnt get whipsawed as its able to capture every big move (Long or
Short)
Strategy is used to identify trailing Stop Loss as well as Stop Loss, thus acts as
automatic filter for profit booking too

All the test results are purely based on fractals and time . It doesnt contain
filters based on any technical. Filters improve the winning percentage and
profit factors significantly
Tests prove statistically using these strategies have a strong edge over
other rules

Trading Chart-Long

Performance- Long

Performance- Long/Short

Monthly Return Table

Year
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

-5.0

17.0

-6.0

3.0

2.0

1.0

23.0

10.0

0.0

7.0

-4.0

2.0

17.0

17.0

21.0

-5.0

0.0

0.0

0.0

7.0

5.0

-3.0

0.0

-2.0

-1.0

-9.0

0.0

-8.0

0.0

-1.0

4.0

14.0

-3.0

-2.0

14.0

-3.0

15.0

-2.0

-5.0

2.0

1.0

8.0

0.0

10.0

-2.0

-3.0

-1.0

-4.0

0.0

-4.0

2.0

-3.0

3.0

-1.0

3.0

-2.0

5.0

3.0

0.0

0.0

-5.0

15.0

2.0

14.0

-3.0

6.0

-3.0

1.0

-3.0

-2.0

-3.0

5.0

11.0

-2.0

1.0

7.0

-2.0

13.0

0.0

2.0

0.0

5.0

-2.0

0.0

-7.0

5.0

10.0

2.0

-9.0

0.0

-4.0

0.0

3.0

-3.0

-1.0

7.0

4.0

-5.0

7.0

0.0

15.0

0.0

9.0

5.0

-5.0

-5.0

-1.0

4.0

4.0

10.0

0.0

4.0

3.0

2.0

2.0

1.0

4.0

0.0

0.0

5.0

-1.0

0.0

0.0

-5.0

3.0

0.0

-6.0

0.0

0.0

4.0

3.0

-1.0

2.0

4.0

0.0

0.0

-4.0

0.0

-2.0

3.0

-4.0

-1.0

8.0

5.0

-2.0

-1.0

-2.0

-2.0

8.0

14.0

3.0

2.0

2.0

12.0

3.0

12.0

-2.0

-2.0

-1.0

2.0

0.0

-1.0

8.0

2.0

8.0

1.0

11.0

4.0

3.0

4.0

2.0

-3.0

4.0

4.0

-3.0

0.0

6.0

-1.0

6.0

2.0

0.0

3.0

7.0

2.0

2.0

-1.0

-2.0

4.0

2.0

0.0

2.0

0.0

0.0

1.0

-1.0

-2.0

1.0

-3.0

3.0

3.0

12.0

4.0

-3.0

0.0

2.0

-11.0

-3.0

9.0

-8.0

0.0

3.0

-5.0

-2.0

0.0

-9.0

2.0

3.0

-3.0

8.0

19.0

26.0

0.0

4.0

-1.0

5.0

-7.0

2.0

2.0

1.0

0.0

3.0

1.0

-7.0

2.0

-1.0

-3.0

9.0

-1.0

0.0

5.0

-2.0

-1.0

1.0

-1.0

0.0

-1.0

-3.0

0.0

0.0

-1.0

0.0

-6.0

8.0

7.0

-1.0

-3.0

0.0

NA

NA

NA

NA

NA

NA

NA

Total
57.2
68.1
2.3
18.4
5.7
23.9
36.6
1.3
29.3
40.6
-3.4
10.8
58.8
33.2
26.2
20.4
15.1
-21.4
69.2
8.4
-13.3
11

Rolling 12-Month Performance

Next Step- Volume Analysis