Crypto Session Sweeps with Regime, Momentum, and DXY Filters

Summary

This crypto strategy looks for reversals after price sweeps the Asian session high or low during the London session. It combines those events with a Laguerre-based momentum measure, a regime filter built from volatility, a Hurst-style proxy, ADX, RSI, and signed volume, and confirmation from changes in the dollar index. Longs require a sweep below the Asian low and bullish filter readings; shorts require the opposite sweep and bearish readings. The code also calculates adaptive moving averages and session statistics for display.

The script labels its regime logic as an HMM approximation, but the shown state updates use threshold rules rather than a fitted probabilistic model. Likewise, DXY direction is used as a directional proxy, not demonstrated causal evidence. The excerpt describes risk controls and a martingale-style sizing engine, including compounding and capped doublings, but gives no backtest results or validation. Session definitions, market data, filter thresholds, and aggressive position scaling can materially affect behavior, so the proposed confluence should be treated as a testable rule set rather than established edge.

Key ideas

• The entry pattern seeks reversals after London-session breaks and rejections of Asian session extremes.
• Laguerre momentum, volatility and trend proxies, and DXY direction gate the sweep signals.
• The regime detector is implemented with threshold conditions despite being described as an HMM approximation.
• The sizing controls include compounding and martingale-style increases, which can amplify losses as well as recoveries.
• The document provides no performance evidence establishing that the filters or session pattern are profitable.

Tags

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