Vcma (Aati) PDF

MARKET MOVEMENT MYSTERY: Alternative
Trend Analysis
Variable Cycle Moving Average(VCMA)
Adoptive moving average with “time dependent “parameters
Akihiro Niimi, MFTA®
NTAA,Director, Head, Research Division

2017年7月20日
IFTA, Vice-president
3rd May 2018

Speaker Profile
Akihiro Niimi, MFTA

IFTA Asia-Pacific Vice President/AIFAM Asset Management, President
Mr. Niimi is a president of AIFAM Asset Management Co., Ltd that works with large
institutional investors on their alternative investments in Japan. Before joining
AIFAM, he has developed and managed hedge fund type portfolios as well as
traditional long only portfolios based on his quantitative approaches at various
investment banks and securities firms in United Kingdom, U.S.A., Singapore and
Japan. At Mitsui Sumitomo Trust and Banking, he conducted due diligence for the
alternative investments and marketed their Japanese equity products to overseas
investors, and established the firm’s hedge fund incubation platform. Mr. Niimi is an
Asia Pacific vice president of IFTA since 2016 and holds a MFTA.
The information contained in this presentation is intended only for the person or entity. Any review, retransmission, dissemination or copying of this presentation by persons or
entities other than the intended recipient is strictly prohibited without notifying to the author. This presentation is for informational purposes only and does not and is not intended to
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constitute investment advice or an offer or solicitation for the purchase or sale of any financial instrument or as an official confirmation of any transaction. All market prices, data
and other information are not warranted as to completeness or accuracy and are subject to change without notice.
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Best Moving Average & Rule
Moving Average of S&P500
Rule Strategy Long Short

1 Trend Price > MA Price < MA
2 Momentum MA(t) > MA(t-1) MA(t) < MA(t-1)
3 Lon term trend SMA(t) > LMA(t) SMA(t) < LMA(t)
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Performance of Rule 1 with EMA
 Rule 1： Long:Price > EMA 、Short:Price <EMA
Performance of Exponential Moving Averages

(Daily basis : 2001 – 2017/6)
Parameters 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 Avg
S&P500 -9.3% -22.1% 28.7% 10.9% 4.9% 15.8% 5.5% -37.0% 26.5% 15.1% 2.1% 16.0% 32.4% 13.7% 1.4% 12.0% 9.2% 7.3%
5 9.0% -8.6% -25.7% -1.8% -12.1% -14.0% -13.4% -61.9% -4.2% -18.6% -17.5% -5.9% -5.3% -0.7% -14.7% -10.9% -5.9% -12.9%
10 -5.5% 0.8% -8.4% 13.0% -11.2% -17.7% -4.7% -51.5% 10.4% -3.5% -24.0% -9.1% -0.4% -5.5% -13.1% -6.4% -2.5% -8.6%
15 5.9% 11.7% -6.9% 14.2% -4.1% -12.1% -10.9% -41.6% 1.6% 17.0% -25.6% -2.4% 3.5% -5.0% -20.4% -5.2% -3.2% -5.0%
20 18.3% 10.2% 10.0% 10.6% -6.4% -1.1% -21.0% -45.2% 9.1% 7.8% -26.7% -3.4% 3.2% -2.6% -28.6% 0.1% -1.1% -4.1%
25 11.0% 9.3% 8.6% 10.2% -11.0% 2.7% -21.3% -45.4% 16.0% 6.7% -27.0% -1.8% 5.2% -6.8% -27.9% -6.8% 0.8% -4.9%
50 4.0% -4.7% 15.5% 3.9% -11.2% 7.1% -18.0% 8.4% 19.6% 11.5% -5.5% -7.9% 20.3% 2.8% -27.4% -2.8% 6.5% 1.0%
75 1.2% -14.3% 19.9% -4.8% -5.9% 5.2% -17.5% 21.6% 20.1% 0.0% -7.1% -5.9% 17.6% -7.4% -23.8% 3.8% 9.2% 0.2%
100 -15.6% 1.5% 16.6% -3.0% -4.5% 2.0% -13.9% 23.0% 15.5% -1.9% -8.2% 1.8% 32.4% -2.5% -21.3% 8.3% 9.2% 1.9%
125 -6.5% 2.7% 6.2% -2.0% -6.0% 5.7% -15.2% 21.1% 20.5% -4.6% -21.2% 3.2% 32.4% 10.3% -15.8% 7.9% 9.2% 2.4%
150 -5.7% 8.6% 5.3% 0.6% -0.9% 7.7% -20.3% 14.9% -1.4% -8.6% -20.1% 0.9% 32.4% 9.5% -11.3% 6.6% 9.2% 1.1%
175 -1.7% 12.2% 10.5% 2.4% -10.6% 2.6% -17.2% 13.4% -10.1% -12.9% -12.5% 5.3% 32.4% 10.2% -8.6% 4.6% 9.2% 1.2%
200 1.7% 14.2% 16.7% 5.9% -12.9% 5.7% -17.2% 13.2% 1.8% -16.8% -14.6% 1.1% 32.4% 12.2% -6.4% 3.7% 9.2% 2.5%
Optimize 10.2% 16.7% -4.8% -4.1% 7.7% -20.3% -51.5% 15.5% -4.6% -25.6% -7.9% 32.4% 7.9% -6.4% 3.7% 9.2% -2.1%
*“Optimized” parameters are defined by the parameter achieved best performance in previous year
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 Rule 2： Long: Delta EMA > 0 、Short: Delta EMA <0

(Daily basis : 2001 – 2017/6)
Parameters 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 Avg
S&P500 -9.3% -22.1% 28.7% 10.9% 4.9% 15.8% 5.5% -37.0% 26.5% 15.1% 2.1% 16.0% 32.4% 13.7% 1.4% 12.0% 9.2% 7.3%
5 -12.3% 2.2% 30.7% 0.6% 12.5% 15.1% 12.5% 121.8% -3.1% 18.9% 14.8% 4.6% 4.3% -0.6% 14.5% 10.3% 6.0% 15.4%
10 1.2% -7.2% 6.1% -12.6% 11.4% 20.3% 2.3% 74.2% -15.9% 0.3% 24.6% 8.2% -0.8% 4.5% 12.3% 5.1% 2.3% 8.4%
15 -9.7% -16.4% 4.3% -13.5% 3.2% 12.6% 9.4% 44.7% -8.7% -17.2% 27.3% 0.9% -4.6% 3.9% 22.7% 3.7% 3.0% 3.9%
20 -19.2% -15.2% -11.7% -10.7% 5.7% 0.1% 23.4% 54.1% -14.9% -10.2% 29.2% 1.9% -4.3% 1.4% 36.7% -1.8% 0.8% 4.0%
25 -13.9% -14.5% -10.6% -10.4% 11.1% -3.6% 23.9% 54.7% -20.0% -9.2% 29.9% 0.2% -6.1% 5.9% 35.5% 5.5% -1.0% 4.9%
50 -8.1% -1.9% -15.9% -5.0% 11.5% -7.6% 18.8% -22.0% -22.4% -13.2% 0.2% 6.9% -17.9% -3.9% 34.5% 1.1% -6.3% -2.8%
75 -5.5% 9.0% -19.0% 3.7% 5.1% -5.9% 18.1% -30.5% -22.7% -3.2% 2.0% 4.5% -16.0% 6.6% 28.1% -5.3% -8.6% -1.9%
100 13.3% -8.0% -16.7% 1.8% 3.6% -2.9% 13.2% -31.3% -19.6% -1.3% 3.2% -3.3% -25.4% 1.3% 24.0% -9.2% -8.6% -3.6%
125 2.3% -9.0% -8.6% 0.8% 5.2% -6.3% 15.0% -30.2% -23.0% 1.5% 20.3% -4.7% -25.4% -10.5% 15.9% -8.9% -8.6% -4.1%
150 1.4% -14.0% -7.8% -1.8% -0.1% -8.0% 22.3% -26.5% -5.9% 5.9% 18.6% -2.5% -25.4% -9.8% 10.1% -7.8% -8.6% -3.2%
175 -2.7% -16.7% -12.1% -3.6% 10.7% -3.5% 17.8% -25.5% 3.2% 11.2% 8.2% -6.6% -25.4% -10.4% 6.9% -6.0% -8.6% -3.4%
200 -6.0% -18.2% -16.8% -6.8% 13.6% -6.4% 17.7% -25.3% -8.8% 16.3% 11.0% -2.7% -25.4% -12.0% 4.3% -5.2% -8.6% -4.4%
Optimize -8.0% -19.0% 0.6% 5.1% -6.4% 2.3% 54.7% -3.1% 11.2% 14.8% 0.2% -0.8% -0.6% 28.1% -1.8% 6.0% 5.2%
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 Rule 3： Long: Short EMA > Long EMA 、Short: Short EMA < Long EMA
(Daily basis : 2001 – 2017/6)
S L 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 AVG
10 25 14.0% 1.5% -3.4% -8.6% -2.9% -0.8% 4.8% 24.9% 0.9% -9.1% -11.6% 17.3% 6.4% -15.8% -18.7% 11.5% 5.0% 0.9%
10 50 9.8% -0.9% 2.6% -9.1% -6.3% 7.1% -12.7% 25.3% -9.4% 4.2% -26.9% 6.0% 9.1% -8.6% -6.7% -4.3% 5.0% -0.9%
10 75 -11.5% -0.3% 23.7% -4.9% -3.6% 11.4% -7.7% 36.8% 37.1% -0.3% -8.5% 6.4% 25.1% -6.6% -2.1% -2.6% 9.3% 6.0%
10 100 2.3% -1.4% 20.3% -1.8% -6.3% 8.6% -19.7% 25.4% 31.4% -3.4% -24.9% -3.7% 32.4% 1.2% -4.0% -6.3% 9.3% 3.5%
10 125 -12.6% -10.6% 17.5% -1.3% -11.9% 7.0% -7.6% 26.1% 29.3% 1.8% -20.0% 5.5% 32.4% 0.5% -10.5% -7.8% 9.3% 2.8%
25 50 -14.5% -15.7% 34.4% -7.1% -7.4% 16.5% -18.2% 18.0% 2.3% -19.7% -33.9% 11.5% 16.6% -13.9% -23.8% 7.3% 5.7% -2.5%
25 75 -0.3% -0.4% 15.0% 5.0% -12.3% 12.8% -20.0% 25.3% 28.0% 6.5% -14.5% -7.7% 25.8% -5.7% -12.6% -9.0% 9.3% 2.7%
25 100 -13.5% -5.4% 8.9% -5.5% -9.4% 7.5% -22.5% 11.0% 35.7% -6.0% -24.0% 0.5% 32.4% -3.1% -12.4% -15.7% 9.3% -0.7%
25 125 1.4% -11.7% 4.7% -5.8% -14.3% 4.8% -8.3% 12.3% 31.9% 4.7% -17.4% 3.6% 32.4% 6.1% -18.9% -5.1% 9.3% 1.8%
25 150 5.5% -8.7% 3.5% 4.6% -9.8% 2.9% -8.2% 25.8% 13.7% -4.2% -20.2% 6.6% 32.4% 13.7% -19.5% -3.0% 9.3% 2.6%
50 75 -6.6% 4.6% 5.4% 12.7% -13.6% 2.2% -6.8% 7.7% 16.1% 8.1% 9.1% -7.9% 20.2% 12.7% 3.9% -16.3% 9.3% 3.6%
50 100 4.9% 14.7% 7.4% -0.3% -13.1% 4.1% -3.0% 5.5% 22.8% 0.2% 5.4% 0.5% 20.2% 13.7% -11.0% -13.0% 9.3% 4.0%
50 125 4.3% -2.0% -0.3% 11.4% -2.5% 3.2% -0.7% 12.2% 15.5% -4.3% 18.0% -0.5% 32.4% 13.7% -21.0% -8.7% 9.3% 4.7%
50 150 5.5% 16.2% -10.1% 11.6% 2.0% 10.5% 3.4% 21.7% 21.0% -13.8% -3.0% 7.0% 32.4% 13.7% -7.7% -8.8% 9.3% 6.5%
75 100 0.4% 9.5% -15.8% -1.2% -14.3% 2.8% 1.2% 2.1% 7.6% 1.2% -16.4% 4.3% 25.1% 13.7% -8.8% -8.3% 9.3% 0.7%
75 125 -20.5% 13.5% -2.3% 3.1% -5.6% -1.7% 14.3% 9.0% 6.1% 1.3% -15.9% -1.8% 32.4% 13.7% -11.6% -1.4% 9.3% 2.5%
75 150 5.5% 17.6% -12.8% -2.9% -1.2% 4.3% 3.7% 17.7% 11.2% -1.8% -14.5% 4.7% 32.4% 13.7% -9.7% 1.4% 9.3% 4.6%
100 125 -16.2% 17.1% 7.8% 6.9% 0.6% -1.5% 11.1% 27.9% 17.0% -4.8% -22.0% -0.2% 32.4% 13.7% -9.2% 13.7% 9.3% 6.1%
Optimize 1.5% -12.8% -7.1% -13.6% 10.5% -18.2% 9.0% 37.1% -0.3% 9.1% -0.5% 6.4% 9.6% -12.3% -16.3% 9.3% 0.7%
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Holding Periods
 Performance was always detracted by short term holding periods

Rule 1:EMA Rule 2:EMA
40% 40%
30% 30%
20% 20%
10% 10%
0% 0%
Holding Periods Holding Periods

5 10 25 50 75 125 150 200 5 10 25 50 75 125 150 200
Rule 3:EMA
35%
30% 10-25 10-50 10-75 10-100 10-125

25-50 25-75 25-100 25-125 25-150
25%
50-75 50-100 50-125 50-150 75-100
20% 75-125 75-150 100-125
15%
10%
5%
0%
0～10
10～20
20～30
30～40
40～50
50～60
60～70
70～80
80～90
90～100
100～110
110～120
120～130
130～140
140～150
150～160
Holding
Periods
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How to find“Best/Better” parameters
 Optimization approach
✓ Optimize the parameter and rule to achieve better
performance during the past periods
 Expert system contributed by AI

✓ Explore better rules rather than parameter
 Decide parameters based on the “current” trend cycles

✓ Logical evaluation for parameters
✓ No arbitrary modifications
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What is “VCMA” ?
2017年7月20日
Advantages of VCMA
 VCMA indicates “cyclical movements ” and “steady

trend” from price movements
 VCMA produces cyclical, reversal and trend strategies
 Neither forecasting , arbitrariness or optimization in the

formula of VCMA
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Evaluation of Trend Cycle
 Evaluate trend cycle by HP Filter

S&P500 S&P500: Trend Extracted by HP Filter (Daily basis : 2018/1/2- 2018/3/26)
2900
2850
2800
2750 Point X Point Y

2700
2650
2600
Past trend cycle LTC
Latest trend cycle PTC
2550
term (PTC)
term (LTC)
2500
S&P 500 S&P 500 Hodrick and Prescott Filter （HP Filter）
 Cycle Ratio = Latest trend cycle / Previous trend cycle

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How to Evaluate Price Movements
Cyclical movement Turning Point New Trend

Define trend cycle by Cycle Ratio =LTC/PTC
Past trend cycle (PTC) PTC 1.5PTC PTC 2PTC PTC 2PTC
Latest trend cycle (LTC) LTC LTC LTC
Cyclical Reversal Neutral Trend
 Cycle Ratio < 1  1<Cycle Ratio < 1.5  1.5<Cycle Ratio<2  Cycle Ratio > 2
 Shorter EMA(SEMA)  Shorter EMA(SEMA) uses  Neutral position  Shorter EMA(SEMA)
uses LTC PTC uses PTC
 Longer EMA(LEMA)  Longer EMA(LEMA) uses  Longer EMA(LEMA)
uses PTC LTC uses LTC
 Rule 1 and Rule 3 are  Reverse Rule 1 or Rule 3 :  Rile 1 and Rule 3 are
applied by SEMA and applied by SEMA and
LEMA LEMA
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How to Trade S&P500 by VCMA
 Simple trading rules applied by VCMA

S&P500
S&P500: VCMA (Daily basis : 2018/1/2-01 – 2018/3/26)
2,900 6
2,850 Short
S&P500 5
2,800 SEMA Short
Long Neutral
LEMA Short Short 4
2,750 Short Short
Short
Short
2,700 3
Long Long Cycle
N Long
2,650 Cycle Ratio Ratio
Long 2
Long
2,600
1
2,550
2,500 0
Cycle Ratio S&P 500 SEMA LEMA
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Simulation Results
 Improve performance by diversifying target assets based

on the same principle
Cumulative Monthly Performance(2001/1/1 – 2018/3/26)
250%
S&P500 Nikkei
200%
S&P500(VCMA) Nikkei(VCMA)
150%
50:50(VCMA)
100%
50%
0%
-50%
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
Jan-12
Jan-13
Jan-14
Jan-15
Jan-16
Jan-17
Jan-18
Sep-01
Sep-02
Sep-03
Sep-04
May-05
Sep-05
Sep-06
Sep-07
Sep-08
Sep-09
Sep-10
Sep-11
Sep-12
Sep-13
May-14
Sep-14
Sep-15
Sep-16
Sep-17
May-01
May-02
May-03
May-04
May-06
May-07
May-08
May-09
May-10
May-11
May-12
May-13
May-15
May-16
May-17
 Conditions
✓ Term; Jan. 2001 to Mar. 2018
✓ Cost: no transaction fee& market impact
✓ Leverage : -100% or 100%
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MARKET MOVEMENT MYSTERY: Alternative

Variable Cycle Moving Average(VCMA)

Adoptive moving average with “time dependent “parameters

Akihiro Niimi, MFTA®

NTAA,Director, Head, Research Division

3rd May 2018

Akihiro Niimi, MFTA

Moving Average of S&P500

Rule Strategy Long Short

 Rule 1： Long:Price > EMA 、Short:Price <EMA

Performance of Exponential Moving Averages

 Rule 2： Long: Delta EMA > 0 、Short: Delta EMA <0

 Performance was always detracted by short term holding periods

Holding Periods Holding Periods

30% 10-25 10-50 10-75 10-100 10-125

 Expert system contributed by AI

 Decide parameters based on the “current” trend cycles

 VCMA indicates “cyclical movements ” and “steady

 VCMA produces cyclical, reversal and trend strategies

 Neither forecasting , arbitrariness or optimization in the

 Evaluate trend cycle by HP Filter

2750 Point X Point Y

 Cycle Ratio = Latest trend cycle / Previous trend cycle

Cyclical movement Turning Point New Trend

Latest trend cycle (LTC) LTC LTC LTC

Cyclical Reversal Neutral Trend

 Simple trading rules applied by VCMA

Cycle Ratio S&P 500 SEMA LEMA

 Improve performance by diversifying target assets based

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