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CFB

Composite Fractal Behavior

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Measure duration of market trend

More reliable than cycle analysis





Serious analysts are now adjusting the speed of their indicators to the duration of market trend. If this idea appeals to you, you need a signal that measures price trend duration, not cycle length.








What Is CFB ?


Some trends in the market are the result of underlying cycles, and some are not. Using indicators whose formulas always assume these cycles exist is like skating on thin ice: a disaster waiting to happen.

For example, a popular approach to dynamically adjust the speed (length) of classic technical indicators, such as a moving average, is to link speed with the market's dominant cycle length (DCL). This way, if the cycle length is long, then the moving average speed is automatically slowed down. Unfortunately, the DCL approach toward adjusting indicator length is problematic when the market has no real dominant cycle. During these times the DCL is estimating the length of "ghost cycles", producing meaningless values that may seriously degrade a trading system's performance.

To avoid this problem, we designed an indicator that does not presuppose the presence of market cycles. Jurik Reseach discovered, back in 1996, how fractals could readily assess the duration of market trend. The new indicator, called CFB (Composite Fractal Behavior), works well whether or not the price time series has any cycle components.

The chart below shows the CFB index underneath price bars. As trend duration increases the index gets larger. When trend stops, the index shrinks. CFB can measure trend duration up to 192 bars long.



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Please Note

Some platforms allow charts like this one to have dynamic coloring, others do not. CFB is a function that produces numerical values only. CFB does not alter the color of charts. We applied color for emphasis and clarity.





Demonstrations


 

In one experiment using historical DM futures data, we designed an elastic "breakout" channel whose lookback was automatically adjusted by CFB. (See chart ). You may download a spreadsheet showing the hypothetical day-to-day trades and cummulative profit attained by this demonstration system.



 

Mathematical Investment Decisions, used their platform "Financial data Calculator" to create a portfolio of stocks and periodically select securities for inclusion and removal. Only those stocks having the greatest positive momentum were included. They used Jurik's CFB to assess the size of the regression window that calculated momentum. The results are astounding, compared to S&P 500, as shown in the chart.

To download their brief report on this approach, right-click on download and select "Save Target As".

 

Please Note

  • Depending on how your historical data was created (continuous, perpetual, etc.), your simulated trading may produce results different than ours.
  • Past performance of any trading system is never a guarantee of future performance. In addition, all trading systems have risk and commodities trading leverages that risk.
  • Jurik Research does not sell trading systems. We sell components, like CFB, for you to build your own trading systems.




Fractal Analysis beats ADX


Tired of the slow and overused ADX technical indicator? CFB has some resemblance to ADX. However, it is superior to ADX in its ability to assess strengthening and weakening trends. Our reseach into trend detection showed that CFB's fractals were more sensitive than ADX to trend/trade mode shifts.

For example, in this chart, high or advancing values indicate a trending market while low or declining values indicate a non-trending or consolidating market. A strong downward trend in the copper market begins to breakdown as increasing retracement and volatility develop. This market's trend is over and CFB reveals this weakening strength (1). However ADX continues to indicate a growing trend (3). Next, CFB picks up a growing trend (2) but ADX completely misses it (4). Who can afford to miss the market?

 

CFB is also sensitive to trend quality. Consequently, its index will drop when a trend breaks down. This may serve as an alert to exit a trade, as shown here.





Available Platforms


TradeStation -- MultiCharts

AmiBroker - Neoticker - NeuroShell - Wavewi$e - Tradecision - Trading Solutions - Matlab

MetaStock

Microsoft EXCEL (97, 2000-2003, XP)

DLL (for software programmers)





Additional Information


The CFB software package includes ...



For more details on CFB, download our illustrated PRODUCT GUIDE.

Download our TECHNICAL REPORTS. Lots of charts and comparisons.

Read our CUSTOMER's LETTERS. See what others have to say.

Read our FREQUENTLY ASKED QUESTIONS. For answers to technical issues.

How to order Prices, order form, specific questions to ask.




CFB is an indicator, not a trading system.
CFB is designed to be applied in trading systems of your own design.



  • Different time frames on a chart may produce different results.

  • Past performance of any trading system is never a guarantee of future performance.

  • All trading strategies have risk and commodities/futures trading leverages that risk.














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