Range Regime Filter Using ADX, RSI, and Bollinger Band Width

Summary

This strategy defines a sideways regime by combining three filters: ADX below a ceiling, RSI inside a middle band, and Bollinger Band width below a percentage threshold. When all conditions hold and no position is open, it enters a long position as a proxy for collecting credit-spread premium. It then closes after a specified holding period or if the price drawdown from the recorded entry basis passes a protective threshold. A dashboard reports the indicator readings and labels the current state as range or trend.

The description presents the method as a timing aid for credit spreads and names several equity and ETF symbols as intended applications, but the script itself trades the underlying as a long position rather than modeling option spreads, premiums, or Greeks. It also reports no backtest results or evidence that the regime filter predicts profitable spread conditions. The thresholds, fixed duration, and drawdown rule are configurable only in part, and market regime shifts can still produce losses.

Key ideas

• A range state requires low ADX, RSI within a middle band, and narrow Bollinger Bands.
• The script opens a long underlying position when the range filter is true and no position is open.
• Positions close after a bar-count limit or a specified adverse drawdown.
• The implementation does not simulate option credit spreads despite describing them as the intended application.
• No performance results are supplied to validate the regime rules or exit settings.

Tags

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