Asset Drift Model (ADM)

Category: trend, volatility, market_structure

A robust statistical model that classifies asset drift by testing for mean-stationarity, variance ratios, and economic significance across log-returns.

Formula

Drift(H) = \frac{1}{n} \sum \ln(P_t / P_{t-H}) \\ t_{HAC} = \frac{Mean}{\sqrt{HAC\_Variance/n}} \\ VR(k) = \frac{\sigma^2_{kH}}{k \cdot \sigma^2_{H}}

Inputs

• HORIZON (default: 60)
• SAMPLE_TOTAL (default: 756)
• i_bgMode (default: On)

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.