Crownmark Allocation Engine: Regime, Trend, and Auction Filters
Summary
The visible portion describes a portfolio-style trading framework that combines several signal filters with ATR-based risk management. Its configurable modules cover market regime scoring, an adaptive trend corridor, auction context, volume pressure, and divergence suppression. Inputs include fast and slow regime lengths, an ADX measure, volatility and efficiency measures, and thresholds for bullish and bearish regimes.
The listed filters also include a KAMA-based trend component, pullback tolerance measured against ATR, auction lookback and value-area width, VWAP alignment, and a requirement for volatility expansion. A divergence guard uses pivot settings and a suppression window. These controls suggest a strategy that seeks agreement among trend, market context, and pressure signals before allocating positions, with ATR used to frame risk. The supplied document cuts off before the formulas, entry and exit rules, or backtest evidence appear, so its actual signal behavior and performance cannot be assessed from this excerpt.
Key ideas
- The framework combines regime scoring with trend, auction, pressure, and divergence filters.
- ADX, volatility, and efficiency measures are configurable parts of regime assessment.
- Trend settings include an adaptive moving average and ATR-scaled pullback tolerance.
- Auction checks can require value-area acceptance and VWAP alignment.
- The excerpt names ATR-based risk management but does not show the execution rules or results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.