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Regime Filtering
Algorithmic Trading · Systematic Strategy DesignRouting between trend and range strategies using ADX, Choppiness Index, and Volatility Targeting.
Topics in this Sub-Topic
Explore each dedicated topic below inside the 3-level Trade School hierarchy (Algorithmic Trading / Systematic Strategy Design / Regime Filtering).
Regime Detection: ADX, Choppiness Index & Efficiency Ratio
Preventing trend bots from bleeding in sideways chop by gating signals on Kaufman's Efficiency Ratio and Choppiness Index.
Volatility Targeting: Dynamic Leverage Scaling by Realized Volatility
Scaling strategy notional exposure inversely to 20-day realized volatility to stabilize portfolio Sharpe ratio.
Lessons
- Regime Detection: ADX, Choppiness Index & Efficiency Ratio
Preventing trend bots from bleeding in sideways chop by gating signals on Kaufman's Efficiency Ratio and Choppiness Index.
- Volatility Targeting: Dynamic Leverage Scaling by Realized Volatility
Scaling strategy notional exposure inversely to 20-day realized volatility to stabilize portfolio Sharpe ratio.