Multi-Filter Trend Strategy with Regime Scoring and ATR Risk Controls

Summary

The Crucible Convergence Engine combines market-regime classification, moving-average direction, volume-weighted momentum, deviation bands, rounded price levels, and a volume gate. Its regime module ranks ATR over a lookback window, distinguishes volatile conditions from trending ones, and uses directional movement and normalized EMA separation to assign bullish, bearish, neutral, or volatile states. A two-bar confirmation is used before adopting a new regime. Other modules assess fast-versus-slow averages, momentum signal alignment, price location relative to standard-deviation bands, and proximity to levels derived from an EMA and fixed increments.

The visible code describes a weighted convergence score and direction-specific entry conditions, alongside configurable ATR stops, targets, and trailing risk controls. The supplied document is truncated before the complete order and exit logic, so those details cannot be fully assessed. It presents no backtest results or evidence that the many filters improve returns; thresholds, instrument suitability, and execution assumptions would need independent evaluation.

Key ideas

• The regime module classifies conditions using ATR percentile, directional movement, and EMA separation, with two-bar confirmation.
• Trend, volume-scaled momentum, deviation-band location, and volume confirmation contribute to a convergence score.
• Rounded levels are derived from an EMA and a configurable price increment, with a tolerance band for interactions.
• The script includes configurable ATR-based initial and trailing risk controls, though the supplied excerpt omits some implementation details.
• No performance evidence is given, and the truncated source limits assessment of complete entry and exit behavior.

Tags

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