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As of this writing this algo is ranked #1 and is in the top 1% of the community.
It's a crypto algo. GDAX charges high fees for 'takers', and there is no fee modelling. It will have to be appropriately converted to limit orders in order to take advantage of GDAX's zero fee for 'makers' fee model in order to actually be useful. Slippage is low on GDAX for the instruments in question so that shouldn't have too much of an impact.
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JP B
@Stephen I've also answered your other question through the new message feature. I think you haven't noticed my reply yet, so just letting you know ;)
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Stephen Oehler
I can't upvote you enough. Thanks for answering my questions, JP :-)
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
JP B
The parameters that need to be calibrated are the _consolidated_minutes (how often you want to trade), the MAMA_FastLimit (fast moving average) and MAMA_SlowLimit (slow moving average). These moving averages are based on cycles. One way of calibrating them is by eye: - Take a small backtesting period - Backtest the algorithm and click on the "MAMA" chart when done - Zoom in to individual days and look how the moving averages fit the data - Adjust until satisfactory You can also take a look at my other post, in which I give a demonstration of how you can detect cycles in the price series using another of Ehlers' methods. Good luck :)
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
James Smith
Unfortunately, Ehler's moving averages though highly effective are prone to being confused.
Following Adaptive Moving Average = FAMA
MESA Adaptive moving average = MAMA
Fractal Adaptive Moving Average = FRAMA
The algorithm drawn from this paper is the MAMAFAMA.
I recently implemented the FRAMA indicator for integration into the codebase. I'm not sure how this feeds through to QC, but I guess it will be available some time or another. Is there any desire from anyone to have the MAMAFAMA algorithm pre-packaged in the same way?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jared Broad
@James Smith; Github merges are available on master within 10 minutes :) Your code is in the current code base.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
JP B
@Stephen I've also answered your other question through the new message feature. I think you haven't noticed my reply yet, so just letting you know ;)
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Stephen Oehler
I can't upvote you enough. Thanks for answering my questions, JP :-)
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
JP B
The parameters that need to be calibrated are the _consolidated_minutes (how often you want to trade), the MAMA_FastLimit (fast moving average) and MAMA_SlowLimit (slow moving average). These moving averages are based on cycles. One way of calibrating them is by eye: - Take a small backtesting period - Backtest the algorithm and click on the "MAMA" chart when done - Zoom in to individual days and look how the moving averages fit the data - Adjust until satisfactory You can also take a look at my other post, in which I give a demonstration of how you can detect cycles in the price series using another of Ehlers' methods. Good luck :)
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
James Smith
Unfortunately, Ehler's moving averages though highly effective are prone to being confused.
Following Adaptive Moving Average = FAMA
MESA Adaptive moving average = MAMA
Fractal Adaptive Moving Average = FRAMA
The algorithm drawn from this paper is the MAMAFAMA.
I recently implemented the FRAMA indicator for integration into the codebase. I'm not sure how this feeds through to QC, but I guess it will be available some time or another. Is there any desire from anyone to have the MAMAFAMA algorithm pre-packaged in the same way?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jared Broad
@James Smith; Github merges are available on master within 10 minutes :) Your code is in the current code base.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
JP B
@Stephen I've also answered your other question through the new message feature. I think you haven't noticed my reply yet, so just letting you know ;)
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Stephen Oehler
I can't upvote you enough. Thanks for answering my questions, JP :-)
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
JP B
The parameters that need to be calibrated are the _consolidated_minutes (how often you want to trade), the MAMA_FastLimit (fast moving average) and MAMA_SlowLimit (slow moving average). These moving averages are based on cycles. One way of calibrating them is by eye: - Take a small backtesting period - Backtest the algorithm and click on the "MAMA" chart when done - Zoom in to individual days and look how the moving averages fit the data - Adjust until satisfactory You can also take a look at my other post, in which I give a demonstration of how you can detect cycles in the price series using another of Ehlers' methods. Good luck :)
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
James Smith
Unfortunately, Ehler's moving averages though highly effective are prone to being confused.
Following Adaptive Moving Average = FAMA
MESA Adaptive moving average = MAMA
Fractal Adaptive Moving Average = FRAMA
The algorithm drawn from this paper is the MAMAFAMA.
I recently implemented the FRAMA indicator for integration into the codebase. I'm not sure how this feeds through to QC, but I guess it will be available some time or another. Is there any desire from anyone to have the MAMAFAMA algorithm pre-packaged in the same way?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jared Broad
@James Smith; Github merges are available on master within 10 minutes :) Your code is in the current code base.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
JP B
@Stephen I've also answered your other question through the new message feature. I think you haven't noticed my reply yet, so just letting you know ;)
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Stephen Oehler
I can't upvote you enough. Thanks for answering my questions, JP :-)
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
JP B
The parameters that need to be calibrated are the _consolidated_minutes (how often you want to trade), the MAMA_FastLimit (fast moving average) and MAMA_SlowLimit (slow moving average). These moving averages are based on cycles. One way of calibrating them is by eye: - Take a small backtesting period - Backtest the algorithm and click on the "MAMA" chart when done - Zoom in to individual days and look how the moving averages fit the data - Adjust until satisfactory You can also take a look at my other post, in which I give a demonstration of how you can detect cycles in the price series using another of Ehlers' methods. Good luck :)
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
James Smith
Unfortunately, Ehler's moving averages though highly effective are prone to being confused.
Following Adaptive Moving Average = FAMA
MESA Adaptive moving average = MAMA
Fractal Adaptive Moving Average = FRAMA
The algorithm drawn from this paper is the MAMAFAMA.
I recently implemented the FRAMA indicator for integration into the codebase. I'm not sure how this feeds through to QC, but I guess it will be available some time or another. Is there any desire from anyone to have the MAMAFAMA algorithm pre-packaged in the same way?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jared Broad
@James Smith; Github merges are available on master within 10 minutes :) Your code is in the current code base.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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