Trend-Regime Strategy with Smoothed Momentum and Volume Filters

Summary

This strategy seeks directional trades only when its regime engine identifies a tradeable trend. It combines a recursive H-infinity price smoother with its slope for direction, an R-squared efficiency threshold to identify persistent movement, and a path-versus-net-change chop score to reject choppy conditions. Bullish or bearish entries also require a smoothed Laguerre RSI momentum reading, a directional slope in a volume-derived cumulative delta series, sufficient volume relative to its average, and an optional time-of-day session filter.

Stops and targets are set at smoothed ATR-based distances, while positions close if the regime turns neutral or opposing, or momentum weakens past a separate threshold. A cooldown limits immediate re-entry after exits. The script includes adjustable parameters and a dashboard, but supplies no reported backtest or market-specific evidence. Its volume delta infers buying or selling from candle direction, rather than trade-level order flow, and its many filters require empirical validation across instruments and timeframes.

Key ideas

• The regime filter combines price-path efficiency, chop, and a smoothed price slope to determine whether and in which direction to trade.
• Entries require momentum, candle-derived cumulative volume delta, a relative-volume minimum, and optionally an active session.
• Smoothed ATR sets stop and target distances, while regime or momentum deterioration can close positions early.
• A post-exit cooldown is intended to limit rapid re-entry.
• The code offers a configurable method but reports no evidence of profitability, and its volume delta is only a proxy.

Tags

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