Market Regime Filter

Market Regime Filter is not a standalone entry system - it is a regime filter that wraps another strategy. The premise: most strategies have a market they work in and a market they bleed in. A trend-following signal that prints beautifully in a strong tape will chop you to pieces in a directionless one. So rather than improving the signal, this filter improves when you are allowed to act on it - trade only while the broad market is favourable, and stand down when it isn't. That is why its headline benefit is a better Sharpe ratio: it removes trades taken in conditions where the edge doesn't exist, which cuts volatility more than it cuts return.

It is a hard-difficulty, daily filter applicable to all strategies, distinguishing trending from sideways markets.

How it trades

Buy (favourable market AND your signal fires):

MARKETREGIME() == 1 AND StrategySignal()

Sell (regime turns unfavourable):

MARKETREGIME() == 0

Two translations from the strategy sheet. > > 1. The sheet writes MARKETREGIME() = 1 and = 0. (The same > treatment TTM Squeeze's SQUEEZEON() = FALSE gets.) > 2. StrategySignal() is a placeholder, not a function. It is not implemented and not in the > registry - it stands for whatever entry your underlying strategy uses. Throughout the tests and > examples a concrete Close > SMA(50) stands in for it: > > > BUY WHEN MARKETREGIME() == 1 AND Close > SMA(50) > SELL WHEN MARKETREGIME() == 0 > > > Swap that clause for any entry - THREEBARPLAY(), VOLUMEDRYUP() AND Close > HIGHEST(20) - and > the regime filter gates it unchanged. The exit is deliberately regime-only: a regime change takes > you out regardless of what the underlying strategy thinks.

When it works best

A universal overlay - it applies to all strategies rather than competing with them, and its benefit is measured in risk-adjusted terms: improved Sharpe ratio from skipping trades taken in hostile conditions. The costs are real: it requires market index data you must supply, it will sit out otherwise-valid signals during quiet or early-trend markets, ADX is lagging so the regime flips somewhat after the market actually turns, and the thresholds (EMA 50, ADX 20) are regime assumptions worth tuning per market.