Regime-Switching Thermostat Strategy for Crypto Markets

Summary

This strategy switches between range and trend rules using the Choppiness Measurement Index (CMI). When CMI is below 20, it treats the market as oscillating and uses stochastic K and D conditions to open or reverse positions. When CMI is at least 20, it treats the market as trending and enters on closes beyond moving-average bands set using standard deviation. The code also describes profit-taking and stop-loss conditions for positions carried across a change in regime.

The document provides formulas and source code, plus a stated one-hour data cycle and support for commodity futures, digital-currency futures, and spot markets. It includes a backtest configuration covering a short historical period, but supplies no performance results or analysis of that test. The rules depend on chosen indicator parameters and price history; the document does not establish that the regime threshold or exit rules work across assets or market conditions. Fees, slippage, and position sizing are not discussed.

Key ideas

• The CMI value separates oscillating conditions from trending conditions using a threshold of 20.
• In oscillating conditions, stochastic K and D relationships generate position entries or reversals.
• In trending conditions, price breaks above or below standard-deviation bands trigger entries or reversals.
• Exit rules include regime-specific profit-taking and, in trending conditions, stop-loss conditions.
• The source provides a one-hour backtest setup but reports no performance conclusions.

Tags

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