Capitulation Stretch Reversion with Regime and Time Filters

Summary

This strategy seeks short-term mean reversion after price moves unusually far from a short exponential moving average. It measures the stretch in ATR units and requires a run of consecutive lower closes for a long setup or higher closes for a short setup. A longer EMA defines the market regime: longs are allowed above it, while shorts are allowed below it. Entries are intended to follow capitulation-style movement and a reversal bar. Longs are enabled by default and shorts disabled. The supplied source ends partway through the setup logic, so the full entry conditions cannot be confirmed from the excerpt.

The described exits use a wide ATR-based protective stop, a target at the short EMA, and a time limit that closes a position if neither price level is reached. The strategy notes that this design may produce frequent wins while individual losses are larger than winners. Its inputs specify the regime and mean lengths, ATR stretch, capitulation run, stop distance, and maximum holding period. No market, backtest results, or empirical evidence is included; short-side performance is specifically cautioned for strongly rising instruments.

Key ideas

• The strategy looks for price stretches from a short EMA measured in ATR units.
• A longer EMA filters trades by regime, permitting longs in bullish conditions and shorts in bearish ones.
• Consecutive directional closes are used as a capitulation confirmation, followed by a reversal-bar condition in the visible setup.
• Exits combine a mean target, an ATR stop, and a maximum holding time.
• The source excerpt is truncated before the complete entry logic and provides no backtest evidence.

Tags

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