A Multi-Filter Trading Strategy for Regimes, Trend, Momentum, and Risk

Summary

The visible source describes a strategy that screens market conditions before execution. Its regime engine combines ADX, a choppiness measure, and a range-to-ATR compression ratio to distinguish expansion, compression, and transitional conditions. A trend vote draws on three exponential moving averages, their slopes, and session VWAP, with weekly VWAP alignment available as an extra filter. Confirmed swing-point breaks update structural bias, while swing sweeps identify moves beyond a prior pivot that close back inside it.

Momentum is assessed through a ribbon built from several RSI lengths with lag-reduced smoothing. A pressure composite combines standardized volume, VWAP deviation, trend-basis distance, and volatility inputs; the visible code also derives a crowding measure. The inputs specify ATR-based stop and target distances, a trailing-stop trigger, cooldown, and bias-failure exit option. The supplied document omits a large middle section of the source, including key execution logic, so the exact setup rules and risk calculations cannot be reconstructed from the excerpt. No backtest results or validation evidence are shown.

Key ideas

• The regime screen combines ADX, choppiness, and range compression relative to ATR.
• Trend bias uses moving-average ordering and slopes together with session VWAP, with weekly VWAP as an optional filter.
• Swing pivots inform structural bias, while failed moves beyond pivots are separately identified as sweeps.
• A smoothed multi-length RSI ribbon supplies momentum bias, and standardized inputs form a pressure composite.
• The visible inputs define ATR-based stops, targets, and trailing behavior, but omitted source sections prevent full reconstruction of execution rules.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.