Trading Systems

The Christmas trading system: Aberration

Aberration is a name that perhaps does not say anything to the developers of first hair but for the old wolves of trading systems is a mythical name. The information provided by the developer is not many. We quote textually from his site: “the Aberration trading system is a mechanical trading system developed by Keith Fitschen in 1986 to trade a basket of commodities. The trading system profitably trades the eight different commodity groups: the grains, softs, meats, petroleum products, metals, currencies, financials and stock indices.

The Aberration trading system was commercially released in 1993 by Keith Fitschen. The trading system has been rated as one of the top trading systems from the day it was released, and it is still widely used. Futures Truth has named it, “One of the Top Ten Trading Systems of All Time” four different times. This highly rated trading system has been very profitable for over twenty years.

The Aberration trading system usually trades each commodity 3 or 4 times in a span of twelve months. It holds a position in the markets most of the time, about 60 percent time of the year in each market. This longer-term trading approach leads to larger profits in each trade and is intended to capture the major trending moves.

The Aberration trading system compensates for losses by trading a basket of uncorrelated markets. If one group suffers a loss, another group may offset the loss with a profit. Over the course of one year, there are always commodities that yield a large profit. These large profits overcome the small losses of the other non-trending commodities“. 

Cut the losses and let the profits run. This is the essence of the speech. Aberration is a strategy offered for rent, it is known that it is based on a volatility channel calculated from the standard deviation of prices. We provide a possible interpretation of Aberration with the following code which calculates a volatility channel as the price average (differentiated as length in the long and short case) to which the standard deviation is added (or subtracted), with a band width filter.

We offer you the test on Euro dollar at 4 hours (H4). eSignal data.

You have something for Christmas parties to test on a wider basket like Keith Fitschen and different time frames.

// ABERRATIONCUBE www.enricomalverti.com 4 Multicharts

Inputs: Price (C), Length1(35), SDev1(1.5), Length2(55), SDev2(1);
Vars: Upband(0), DnBand(0), Medband(0), lun(20), StdDevUp(1), StdDevDn(-1), BandWidth(0), Numdays(20);

UpBand = C+ StdDevUp;
DnBand = C -StdDevDn;

if Medband <>0 then
BandWidth = (UpBand-DnBand)/MedBand;

If  BandWidth <= Lowest(Bandwidth, Numdays)
and adx(14) > 25
Then Begin

If MarketPosition = 0
and C crosses above (Average(Price,Length1) + (SDev1 * StdDev(Price,Length1))) then Buy next bar at Market;

If MarketPosition = 1 and C crosses below (Average(Price, Length1)) then sell next bar at Market;

If MarketPosition = 0
and C crosses below (Average(Price,Length2) – (SDev2 * StdDev(Price,Length2))) then sellshort next bar at Market;

If MarketPosition = -1 and C crosses above (Average(Price, Length2)) then buytocover next bar at Market;
end;

 

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