Universal Trend Following Strategy | QuantumRsearch

2024년 10월 23일

Universal All Assets Strategy by Rocheur

The Universal All Assets Strategy is a cutting-edge, trend-following algorithm designed to operate seamlessly across multiple asset classes, including equities, commodities, forex, and cryptocurrencies. This strategy leverages the power of eight unique indicators, offering traders robust, adaptive signals. Its dynamic logic, combined with a comprehensive risk management framework, allows for precision trading in a variety of market conditions.

Core Methodologies and Features

1. Eight Integrated Trend Indicators

At the heart of the Universal All Assets Strategy are eight sophisticated trend-following indicators, each designed to capture different facets of market behavior. These indicators work together to provide a multi-dimensional analysis of price trends, filtering out noise and reacting only to significant movements:

Directional Moving Averages: Tracks the primary market trend, offering a clear indication of long-term price direction, ideal for identifying sustained upward or downward movements.

Smoothed Moving Averages: Reduces short-term volatility and noise to reveal the underlying trend, enhancing signal clarity and helping traders avoid reacting to temporary price spikes.

RSI Loops: Utilizes the Relative Strength Index (RSI) to assess market momentum, using a unique for loop mechanism to smooth out data and enhance precision.

Supertrend Filters: This indicator dynamically adjusts to market volatility, closely following price action to detect significant breakouts or reversals. The Supertrend is a core component for identifying shifts in trend direction with minimal lag.

RVI for Loop: The Relative Volatility Index (RVI) measures the strength of market volatility. It is optimized with a for loop mechanism, which smooths out the data and improves directional cues, especially in choppy or sideways markets.

Hull for Loop: The Hull Moving Average is designed to minimize lag while offering a smooth, responsive trend line. The for loop mechanism further enhances this by making the Hull even more sensitive to trend shifts, ensuring faster reaction to market movements without generating excessive noise.

These indicators evaluate market conditions independently, assigning a score of 1 for bullish trends and -1 for bearish trends. The average score across all eight indicators is calculated for each time frame (or bar), and this score determines whether the strategy should enter, exit, or remain neutral in a trade.

2. Scoring and Signal Confirmation

The strategy’s confirmation system ensures that trades are initiated only when there is strong alignment across multiple indicators:

A Long Position (Buy) is initiated when the majority of indicators generate a bullish signal, i.e., the average score exceeds a predefined upper threshold.

A Short Position or Exit is triggered when the average score falls below a lower threshold, signaling a bearish trend or neutral market.

By using a majority-rule confirmation system, the strategy filters out weak signals, reducing the chances of reacting to market noise or false positives. This ensures that only robust trends—those supported by multiple indicators—trigger trades.

Adaptive Logic for All Asset Classes

The Universal All Assets Strategy stands out for its ability to adapt dynamically across different asset classes. Whether it’s applied to highly volatile assets like cryptocurrencies or more stable instruments like equities, the strategy fine-tunes its behavior to match the asset’s volatility profile and price behavior.

Volatility Filters: The system incorporates volatility-sensitive filters, such as the Average True Range (ATR) and standard deviation metrics, which dynamically adjust its sensitivity based on market conditions. This ensures the strategy remains responsive to significant price movements while filtering out inconsequential fluctuations.
This adaptability makes the Universal All Assets Strategy effective across diverse markets, providing consistent performance whether the market is trending, range-bound, or experiencing high volatility.

Customization and Flexibility

1. Directional Bias

The strategy offers traders the flexibility to set a customizable directional bias, allowing it to focus on:

Long-only trades during bullish markets.

Short-only trades during bear markets.

Bi-directional trades for those looking to capitalize on both uptrends and downtrends.

This bias can be fine-tuned based on market conditions, trader preference, or risk tolerance, without compromising the integrity of the overall signal-generation process.

2. Volatility Sensitivity

Traders can adjust the strategy’s volatility sensitivity through customizable settings. By modifying how the system reacts to volatility, traders can make the strategy more aggressive in high-volatility environments or more conservative in quieter markets, depending on their individual trading style.

Visual Representation of Component Behavior
One of the unique features of the strategy is its real-time visual representation of the eight indicators through a component table displayed on the chart. This table provides a clear overview of the current status of each indicator:

A score of 1 indicates a bullish signal.

A score of -1 indicates a bearish signal.

The table is updated at each time frame (bar), showing how each indicator is contributing to the overall trend decision. This real-time feedback allows traders to monitor the exact composition of the strategy’s signal, helping them better understand market dynamics.

Oscillator Visualization for Trend Detection

To complement the component table, the strategy includes a trend oscillator displayed beneath the price chart, offering a visual summary of the overall market direction:

Green bars represent bullish trends when the majority of indicators signal an uptrend.

Red bars represent bearish trends or a neutral (cash) position when the majority of indicators detect a downtrend.

This oscillator allows traders to quickly assess the market’s overall direction at a glance, without needing to analyze each individual indicator, providing a clear and immediate visual of the market trend.

Backtested and Forward-Tested for Real-World Conditions

The Universal All Assets Strategy has been thoroughly tested under real-world trading conditions, incorporating key factors like:

Slippage: Set at 20 ticks to represent real market fluctuations.

Order Size: Calculated as 10% of equity, ensuring appropriate risk exposure for realistic capital management.

Commission: A fee of 0.05% has been factored in to account for trading costs.
These settings ensure that the strategy’s performance metrics—such as the Sortino Ratio, Sharpe Ratio, Omega Ratio, and Profit Factor—are reflective of actual trading environments. The rigorous backtesting and forward-testing processes ensure that the strategy produces realistic results, making it compatible with the markets it is written for and demonstrating how the system would behave in live conditions. It also includes robust risk management tools to minimize drawdowns and preserve capital, making it suitable for both professional and retail traders.

Anti-Fragile Design and Realistic Expectations

The Universal All Assets Strategy is engineered to be anti-fragile, thriving in volatile markets by adjusting to turbulence rather than being damaged by it. This is a crucial feature that ensures the strategy remains effective even during times of significant market instability.

Moreover, the strategy is transparent about realistic expectations, acknowledging that no system can guarantee a 100% win rate and that past performance is not indicative of future results. This transparency fosters trust and provides traders with a realistic framework for long-term success, making it an ideal choice for traders looking to navigate complex market conditions with confidence.

Acknowledgment of External Code

Special credit goes to bii_vg, whose invite-only code was used with permission in the development of the Universal All Assets Strategy. Their contributions have been instrumental in refining certain aspects of this strategy, ensuring its robustness and adaptability across various markets.

Conclusion

The Universal All Assets Strategy by Rocheur offers traders a powerful, adaptable tool for capturing trends across a wide range of asset classes. Its eight-indicator confirmation system, combined with customizable settings and real-time visual representations, provides a comprehensive solution for traders seeking precision, flexibility, and consistency. Whether used in high-volatility markets or more stable environments, the strategy’s dynamic adaptability, transparent logic, and robust testing make it an excellent choice for traders aiming to maximize performance while managing risk effectively.

2월 14일

릴리즈 노트

Update UI, conversion to pine V6 and added alert condition

2월 17일

릴리즈 노트

update UI and added the average score

2월 17일

릴리즈 노트

UI updated

2월 18일

릴리즈 노트

Add alert condition

2월 18일

릴리즈 노트

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2월 18일

릴리즈 노트

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2월 18일

릴리즈 노트

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2월 25일

릴리즈 노트

Added equity curve!

3월 4일

릴리즈 노트

Added the on/off to see or not the table!