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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.
Geschütztes Skript
Dieses Script ist als Closed-Source veröffentlicht. Sie können es kostenlos und ohne Einschränkungen verwenden – erfahren Sie hier mehr.
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.
Geschütztes Skript
Dieses Script ist als Closed-Source veröffentlicht. Sie können es kostenlos und ohne Einschränkungen verwenden – erfahren Sie hier mehr.
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.