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LBR Quant Finance Regime Strategy
Linda Braodford Raschke Quant Finance Regime Strategy
This strategy implements a regime-based trading framework that adapts between trend-following and mean-reversion logic depending on current market conditions.
It is designed for research and educational purposes and does not guarantee performance.
Core Concept
Markets alternate between:
• Expansion phases (trending)
• Contraction phases (ranging)
This strategy attempts to detect regime shifts using:
ADX for trend strength
Bollinger Band width for volatility expansion
EMA(200) for structural trend bias
When volatility and directional strength expand, the strategy uses trend-following entries.
When volatility contracts, it shifts to mean-reversion logic.
Entry Logic
Trend Regime
Conditions:
ADX above threshold
Bollinger width above average
Supertrend alignment
EMA trend confirmation
MACD momentum confirmation
Range Regime
Conditions:
ADX below threshold
Bollinger width contracting
RSI extreme levels
Price at outer Bollinger bands
Risk Management
Position sizing:
8% of equity per trade (default)
No pyramiding
Exits:
ATR-based stop loss
ATR-based take profit
ATR-activated trailing stop
Global controls:
Max strategy drawdown filter (default 25%)
Daily equity loss guardrail (default 5%)
If limits are exceeded, new trades are disabled.
Default Strategy Properties
Initial Capital: 100,000
Order Size: 8% of equity
Commission: 0.06%
Slippage: 2 ticks
Pyramiding: 0
Orders processed on close
These settings are used in the published version.
Backtesting Guidance
• Use on liquid instruments
• Test over long historical periods
• Ensure sufficient trade sample size (100+ trades recommended)
• Adjust regime thresholds carefully
No future-looking data is used.
Results will vary by asset and timeframe.
Chart Notes
The background color shows regime detection:
Green tint → trending
Blue tint → ranging
EMA line shows structural bias.
No additional scripts are required.
Important
Past performance does not predict future results.
This strategy implements a regime-based trading framework that adapts between trend-following and mean-reversion logic depending on current market conditions.
It is designed for research and educational purposes and does not guarantee performance.
Core Concept
Markets alternate between:
• Expansion phases (trending)
• Contraction phases (ranging)
This strategy attempts to detect regime shifts using:
ADX for trend strength
Bollinger Band width for volatility expansion
EMA(200) for structural trend bias
When volatility and directional strength expand, the strategy uses trend-following entries.
When volatility contracts, it shifts to mean-reversion logic.
Entry Logic
Trend Regime
Conditions:
ADX above threshold
Bollinger width above average
Supertrend alignment
EMA trend confirmation
MACD momentum confirmation
Range Regime
Conditions:
ADX below threshold
Bollinger width contracting
RSI extreme levels
Price at outer Bollinger bands
Risk Management
Position sizing:
8% of equity per trade (default)
No pyramiding
Exits:
ATR-based stop loss
ATR-based take profit
ATR-activated trailing stop
Global controls:
Max strategy drawdown filter (default 25%)
Daily equity loss guardrail (default 5%)
If limits are exceeded, new trades are disabled.
Default Strategy Properties
Initial Capital: 100,000
Order Size: 8% of equity
Commission: 0.06%
Slippage: 2 ticks
Pyramiding: 0
Orders processed on close
These settings are used in the published version.
Backtesting Guidance
• Use on liquid instruments
• Test over long historical periods
• Ensure sufficient trade sample size (100+ trades recommended)
• Adjust regime thresholds carefully
No future-looking data is used.
Results will vary by asset and timeframe.
Chart Notes
The background color shows regime detection:
Green tint → trending
Blue tint → ranging
EMA line shows structural bias.
No additional scripts are required.
Important
Past performance does not predict future results.
受保護腳本
此腳本以閉源形式發佈。 不過，您可以自由使用，沒有任何限制 — 點擊此處了解更多。
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。
受保護腳本
此腳本以閉源形式發佈。 不過，您可以自由使用，沒有任何限制 — 點擊此處了解更多。
免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。