In praise of the FRAMA: a study with SPX futures
A brief note in praise of the Fractal Adaptive Moving Average (FRAMA) devised by Ehlers and implemented by lazybear. The motivation behind the indicator is a moving average with a "sensitive" (ie, non-constant) window. In reality, this is achieved (or, one might say, is approximated) by an EMA with a variable alpha given as e^-4.6*(D-1) where D, whose value ranges from 1 to 2, is a "fractal dimension" of the price action. You can read the full documentation here.
But you don't need to be a mathematician to see how powerful this indicator is. Just from this example one might imagine a dead simple long strategy of buying when the slope of the FRAMA is greater than some parameter (say .25 for sake of argument) and selling when it goes negative, or a short strategy of shorting when the slope is less than -1*the parameter then closing the position when it goes positive. Looks like it passes the eye test, but I need to run some tests.
But you don't need to be a mathematician to see how powerful this indicator is. Just from this example one might imagine a dead simple long strategy of buying when the slope of the FRAMA is greater than some parameter (say .25 for sake of argument) and selling when it goes negative, or a short strategy of shorting when the slope is less than -1*the parameter then closing the position when it goes positive. Looks like it passes the eye test, but I need to run some tests.
כתב ויתור
המידע והפרסומים אינם אמורים להיות, ואינם מהווים, עצות פיננסיות, השקעות, מסחר או סוגים אחרים של עצות או המלצות שסופקו או מאושרים על ידי TradingView. קרא עוד בתנאים וההגבלות.