Momentum Filter
Real-time market regime analysis based on volatility, range expansion, and gap activity
Current Status (5min)
Regime Score
0.933
Excellent
Position Rec.
250%
Very Aggressive
Volatility (30d)
1.26
Strategies
Ruby
Coral
Regime Score - Last 90 Days
Color-coded zones show market regime quality from very poor (red) to excellent (emerald)
How It Works
The Momentum Filter analyzes market conditions to determine optimal position sizing for each trading strategy.
Regime Components:
- Volatility: 30-day rolling standard deviation of returns
- Range Expansion: Variation in daily price ranges
- Gap Activity: Overnight gap frequency and magnitude
Position Sizing Rules:
Score < 0.20:
Skip Trading (0% position) - Very poor conditions
0.20 - 0.40:
Cautious (25-50% position) - Poor to marginal conditions
0.40 - 0.60:
Normal (50-100% position) - Neutral conditions
0.60 - 0.80:
Aggressive (100-150% position) - Good conditions
Score > 0.80:
Very Aggressive (150-300% position) - Excellent conditions
Each strategy uses the regime filter for its specific timeframe. For example, Coral and Ruby (5-minute strategies) use the 5-minute regime filter, while Amber and Sapphire (30-minute strategies) use the 30-minute regime filter.