This document presents the results of a sensitivity test on an ADX filter trading strategy. It includes 8 figures that evaluate the strategy's profit factor, Sharpe ratio, Ulcer performance index, compound annual growth rate, maximum drawdown, percent profitable trades, average win/average loss ratio, and equity curve over varying ADX settings. The figures analyze the strategy's performance and risk metrics under different ADX parameters.
Original Description:
Trading Strategy with ADX Filter:
http://www.oxfordstrat.com/trading-strategies/adx/
This document presents the results of a sensitivity test on an ADX filter trading strategy. It includes 8 figures that evaluate the strategy's profit factor, Sharpe ratio, Ulcer performance index, compound annual growth rate, maximum drawdown, percent profitable trades, average win/average loss ratio, and equity curve over varying ADX settings. The figures analyze the strategy's performance and risk metrics under different ADX parameters.
This document presents the results of a sensitivity test on an ADX filter trading strategy. It includes 8 figures that evaluate the strategy's profit factor, Sharpe ratio, Ulcer performance index, compound annual growth rate, maximum drawdown, percent profitable trades, average win/average loss ratio, and equity curve over varying ADX settings. The figures analyze the strategy's performance and risk metrics under different ADX parameters.
An Empirical Study of Price-Volume Relation: Contemporaneous Correlation and Dynamics Between Price Volatility and Trading Volume in the Hong Kong Stock Market.