What is K-Lintra?
K-Lintra is a trend following system which uses the combination of Kaufman adaptive moving average and Linear regression-based volatility channel. It uses an adaptive approach to switch the time period and thereby dynamically able to adapt to changing market dynamics.
Primary objective of the k-lintra trend following system is to reduce the number of trades and thereby making the system completely independent of slippages and thereby bringing consistency in return and maximizing the overall gain of the portfolio.
What is a Trend Following System?
According to Wikipedia, Trend following or trend trading is a trading strategy according to which one should buy an asset when its price trend goes up, and sell when its trend goes down, expecting price movements to continue.
Traders who employ a trend following strategy do not aim to forecast or predict specific price levels; they simply jump on the trend (when they perceived that a trend has established with their own peculiar reasons or rules) and ride it.
How to classify the market based on market volatility?
K-Lintra uses a PercentRank Based Smooth ATR to Predict Change in Volatility, in-order to identify market regime shift from low volatility zone to high volatility zone and vice versa.
Basically Volatile seasons are classified into four categories
1)Low volatile season
2)Extremely low volatile season
3)High volatile season
4)Extremely high volatile season
input parameters are dynamically changed based on the changing volatile market dynamics. Volatility is measured on the hourly timeframe.
Strategy is ready to plug and play with Automated trading tools. However one can play with manual limit order execution as well.
Inorder to test the system parameters following parameters are used
|Trading Instrument||Nifty Futures|
|Backtesting Timeframe||Hourly (Continous Data)|
|Backtest Length||Jan 2011 – May 2020|
|Strategy Type||Volatility based Trend Following|
|Position Size||1 Lot (Fixed Position Sizing)|
|Slippage + Commissions||0.03%|
|Trading Capital||RS 3,00,000|
|Trading Leverage||max of 4 times|
Key Backtesting Performance Metrics
|Key Performance Metrics||Value|
|Max System Drawdown||1.58L/lot (unhedged risk)|
|Calmar Ratio (CAR/MDD)||1.02|
Trading System Parameters
|Length 1 – Extreme Low Volatility||90|
|Length 2 – Low Volatility||50|
|Length 3 – Extreme High Volatility||90|
|Length 4 – High Volatility||200|
|Is the strategy looks into future||No|
|Does the Strategy Repaints||No|
|Does the Strategy Optimized||Yes|
|Is it over-optimized or Curvefitted?||No|
|Does it Pass the System Validation Test?||Yes|
kLinTRA V5 – Equity Curve
K-Lintra – Drawdown Curve
K-Lintra Absolute Profit Table in Multiples of Thousands
Points Made – Year wise
|Year||Points Made per lot (Net of Slippages/Commissions)|
|2020||2079 (upto May 2020)|