I've done a search, and have not been able to find any algorithms utilizing the FRAMA (Fractal Adaptive Moving Average). Is there any specific reason why no one has attempted to utilize this? I am just inquiring before I spend the time working on this, if perhaps it would be a waste of time.I am really interested in looking deeply into fractals and its potential role in algo trading. Thanks!
Eric
I am also considering trying this algorithm. Have tested in in another environment and the indications I got from there were all positive. Did You decide to move further? For what it is worth, Ilya also implemented it in R back in 2014: https://quantstrattrader.wordpress.com/2014/06/28/frama-part-ii-replicating-a-simple-strategy/.
BR,
Jonas
Here is also code for Metatrader:
https://www.mql5.com/en/code/viewcode/72/129884/frama__2.mq5
BR,
Jonas
However, I wanted to point out Ilya's conclusion after backtesting the strategy: https://quantstrattrader.wordpress.com/2014/07/16/frama-part-v-wrap-up-on-confirmatory-indicatortest-sample/. Less interested as of now.
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