Adaptive Regime Momentum with Composite Moving Average and RSI Filters

Summary

This script defines a two-sided trend-following strategy using a composite moving average formed by blending an Arnaud Legoux moving average with a smoothed zero-lag EMA calculation. Direction is determined by the composite line’s slope over a configurable number of bars, with price required to sit above the line for long trades or below it for shorts. A volume RSI filter and a conventional price RSI filter can further confirm entries, and either filter can be disabled.

Positions have ATR-based stop and profit orders, plus a slope reversal or ATR-offset exit condition. The script also includes position sizing, trade toggles, alerts, chart displays, and a performance table. It describes confirmed-bar signals but gives no reported backtest results or evidence that the selected settings generalize across markets or time periods. The volume measure is RSI applied to volume, rather than a direct measure of buying versus selling volume; performance will depend on instrument, timeframe, costs, and parameter choices.

Key ideas

• The composite trend line blends ALMA and a smoothed zero-lag EMA.
• Entries require sustained slope direction and price on the corresponding side of the composite line.
• Optional volume RSI and price RSI filters confirm long and short signals.
• ATR-based stops and targets are combined with slope and trailing-offset exits.
• No performance results or cross-market validation are supplied.

Tags

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