kLintra V5.0

Description

Klintra V5 is a trend-following system based on Kaufman Adaptive Moving Average + Linear regression-based volatility channel with adaptive parameters based on four different volatile seasons.

Trading System Type : Positional
Supported Software: Amibroker (32-Bit) – 6.0+ or higher version

The primary objective of the KLintra V5 trend following system is to capture the positional trends and bringing consistency in return and optimal stop loss from the Klintra V5 band itself thereby 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 been established with their own peculiar reasons or rules) and ride it.

Backtesting Performance

In order to test the system parameters following parameters are used

Parameters	Value
Trading Instrument	BankNifty Futures
Backtesting Timeframe	15min timeframe (Continous Data)
Backtest Length	Jan 2011 – May 2022
Strategy Type	Volatility based Trend Following (Positional)
Position Size	1 Lot Size
Slippage + Commissions	0.02%
Trading Capital	RS 2,00,000
Current Trading Margin as of 6th Aug 2021	Rs 1,64,432/Lot or 18.23% NRML Margin
Preferred Execution Type	Entry Limit Order and Exit Market Order
Fixed Stoploss	1.0%
Fixed Target	5.0%
Signals in Futures and Execution in Options	Yes Possible
Which Option Strike to Select	4 Strike ITM (Ensure Sufficient Liquidity is available)

Rough Theoretical Brokerage Charges involved in a typical Buy and Sell Transaction with Bank Nifty at 35,000 levels

Parameters	Value
Total Turnover	Rs 1750000 (Buy Side + Sell Side)
Brokerage	Rs 40
STT total	Rs 88
Exchange txn charge	Rs 35
Clearing charge	RS 0
GST	Rs 13.5
SEBI charges	Rs 1.75
Stamp duty	RS 17.45
Total Charges	Rs 195.75 (0.011%)
Points to breakeven	7.83 points

Backtesting Results

kLinTRA V5 – Complete Backtesting Report

 

Key Backtesting Performance Metrics

Key Performance Metrics	Value
Sharp Ratio	1.16
Max System Drawdown	2.09L/lot (unhedged risk)
Calmar Ratio (CAR/MDD)	0.79
Recovery Factor	5.50
Profit Factor	1.29
Payoff Ratio	2.28
Risk-Reward Ratio	1.11

Trading Parameters

Parameters	Values
ATR	80
len1	125
len2	150
len3	150
len4	150

Equity Curve

KLintra V5 – Absolute Profit Table (In thousands)