Combining ALMA Trend and Volatility-Scaled ROC for Regime Signals

Summary

This strategy combines a trend measure and a momentum measure into a bounded oscillator. It compares a 24-period Arnaud Legoux moving average with a 120-period volume-weighted moving average, scales their relative difference, and combines that result with 14-period rate of change divided by its recent standard deviation. The weighted components form an oscillator that is smoothed with ALMA.

A smoothed reading crossing above 30 opens a long position, while a reading below −10 closes it. Although the script defines bearish thresholds and short-exit logic, it does not place short trades. It displays the oscillator and reports Sharpe, Sortino, Omega, Calmar, maximum drawdown, and profit and loss. These are calculated from strategy equity over a selectable date range, with return ratios counted during active positions. No performance results or validation across assets are supplied; the author notes that timeframe and asset choice may affect behavior and advises attention to position sizing and risk.

Key ideas

• The oscillator weights normalized ALMA-versus-VWMA trend and volatility-scaled rate of change at 60% and 40%.
• An ALMA smoothing pass is applied to the combined score, which is bounded between −100 and 100.
• A smoothed oscillator crossing above 30 triggers a long entry, and falling below −10 closes the long.
• The code defines short-related conditions but does not execute short orders.
• The strategy displays risk-adjusted performance and drawdown metrics, but the document gives no backtest results.

Tags

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