"Isis" is a system that uses intermarket signals. Signals are created at the faster and more volatile FDAX market and then transferred to the slower FESX.
Signals are created by a cycle measuring indicator invented by Dr.John Ehlers, the "Adaptive Center of Gravity", which we have modified a bit and made effective for our means. The strategy works already very well with the FDAX. It works even better as an intermarket indicator as the MDD is much smaller.
We have furthermore added a MACD trendfilter (red, green, and white background).
Isis and its signals:
Equity development over the years (hypothetic):
The Meta-Sentimentor from "Cha-cha Strategy" on the FDAX is exported and used as indicator on the FESX:
Isis was coming from signals on the FDAX:
Equity curve with FDAX was already pretty fine:
Adaptive Center of Gravity:
Detailed report:
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Name of Strategy:
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Isis
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Setup:
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Intermarket with
Adap C-of-Gravity from FdAX
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Market:
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FESX, 1999-2006
84 months
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Net gain:
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€ 30520
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MDD:
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€ 5320
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ZEN 5%:
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3.55
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This strategy makes use of the fact that one market is faster than the other. As it may be too volatile mostly, it is good to filter it a bit and use it on a daily basis only.
The interesting thing is that this strategy has no parameters to optimize or fix and the danger of over-optmization is pretty low therefore.
It is a form of "contrarian with the major trend", looking for turning points at interim counter-movements to the trend, triggered by a setup in a faster market and using the delay.