Regime-Based Trading with Adaptive Forecast Bands and Risk Controls

Summary

This strategy combines an adaptive forecast, a price channel, and several regime measures to generate long and short trades. Its forecast engine updates an intercept and slope using a forgetting-factor regression approach, estimates forecast error, and creates bands from that error together with ATR. A channel tracks recent extremes and gradually resets after a configurable period. The regime score blends forecast position, channel state, momentum and pullback pressure, and moving-average structure; relative volume and agreement among component votes further qualify the regime.

Entries require a confirmed bar, sufficient relative volume, a qualifying bull or bear regime, and either a forecast-mean breakout or a band reclaim. Exits use ATR-based stops and targets, with channel boundaries also informing stop placement. The script includes limits on drawdown and intraday filled orders, plus a dashboard and alerts. It supplies implementation details and default settings but no performance results, market-specific validation, or evidence that the regime signals remain reliable across assets and timeframes.

Key ideas

• The forecast engine adapts a linear forecast and estimates uncertainty to set ATR-blended bands.
• A resettable channel and multiple momentum, structure, and forecast measures contribute to the regime assessment.
• Entries require regime alignment, sufficient relative volume, and a breakout or reclaim condition.
• Stops and targets use ATR, while channel structure also affects stop placement.
• The strategy sets drawdown and order-count limits but provides no measured trading results.

Tags

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