kLintra V5.0

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Vendor : TradeStudio

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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)

Additional information


1 Month, 3 Months, 6 Months, 1 Year

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