Regime-Filtered Trend Trading with Auction, Pressure, and ATR Risk Controls
Summary
This strategy combines several market-state filters to generate long and short setups. A weighted regime score draws on moving-average separation and slope, ADX strength, price-path efficiency, and volatility. A Kaufman adaptive moving average forms the center of a volatility-width trend corridor; entries favor directional pullbacks around that baseline. Rolling VWAP and a surrounding value area provide auction context, while a volume-based pressure measure and volatility expansion can further confirm a setup. Recent price and pressure divergences can suppress signals.
Risk controls include ATR-based stops, targets, and trailing distance, plus a maximum holding period and an option to flatten on an opposite signal. The script also reports regime, corridor bias, auction position, pressure, and exposure in a dashboard. These are configurable rules in an open-source strategy script, not evidence of a profitable edge: the supplied excerpt gives no backtest results or market-specific validation, and performance will depend on parameter choices, data, and execution assumptions.
Key ideas
- A composite score classifies conditions as bullish, bearish, balanced, or transitional using trend, strength, efficiency, and volatility inputs.
- An adaptive moving-average corridor supplies directional bias and pullback areas for possible entries.
- Rolling VWAP, value-area acceptance, and volume pressure act as additional entry filters.
- Recent divergence can block otherwise valid setups for a configurable window.
- ATR-based exits, a time limit, and optional opposite-signal flattening define the risk framework.
- The document describes configurable strategy logic but provides no performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.