Range Regime Detection with ADX, RSI, and Bollinger Width

Summary

This strategy labels conditions as range bound when ADX is below its ceiling, RSI stays inside a middle band, and Bollinger Band width remains below a threshold. When all three filters agree, it enters a long position, presented as a proxy for timing credit spreads. The script tracks the entry price and bars held, then closes after a preset duration or if price falls more than a fixed percentage below that basis.

The supplied material specifies the indicator formulas, default parameter values, and intended example symbols. It also plots the bands, regime background, ADX, and a dashboard with the filter readings and a volatility proxy. It does not provide trade outcomes, performance statistics, or validation evidence. Although the description frames the signal as credit-spread timing, the code submits a long underlying position; it does not model option spreads, their pricing, or their risk. The rules and thresholds therefore describe a testable regime heuristic, not demonstrated evidence of an options edge.

Key ideas

• The range condition requires low ADX, RSI within its specified middle interval, and narrow Bollinger Bands.
• A qualifying regime triggers a long position in the tested instrument.
• The strategy exits after its holding period or when the price drawdown crosses its protective threshold.
• The script displays regime inputs and a volatility estimate but supplies no performance evidence.
• The credit-spread framing is not directly represented by the underlying long-position orders.

Tags

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