Volatility Regime + Strategy Selection

Entry Logic

• Long entry: If the VIX is low (<15), a trend-following strategy is used. If the VIX is high (>25), a mean-reversion strategy is used. The entry is then determined by the rules of the selected strategy.
• Short entry: Same as above.
• Confirmation: The VIX level must be stable.
• Timeframe: Any.
• Location: Any.
• Market Condition: The strategy adapts to the volatility condition.

Exit Logic

• Profit Target: Determined by the selected strategy.
• Scaling Out: Determined by the selected strategy.
• Trailing Stop: Determined by the selected strategy.
• Signal Failure: If the volatility regime changes.
• Opposite Signal: Not applicable.
• Time Expiration: Determined by the selected strategy.
• Momentum Loss: Determined by the selected strategy.

Stop Loss Structure

• Hard Stop: Determined by the selected strategy.
• Soft Stop: If the VIX starts to move towards a different regime.
• Max Dollar Loss: Portfolio-level limit.
• Max Percent Loss: Portfolio-level limit.
• Structural Stop: Determined by the selected strategy.

Risk Management Framework

• Risk Per Trade: Varies.
• Daily Limit: Portfolio-level limit.
• Weekly Limit: Portfolio-level limit.
• Max Drawdown: Portfolio-level limit.
• R:R Requirement: Varies.

Position Sizing Model

• Sizing Approach: Varies.
• Volatility Adjustment: The strategy selection is a form of volatility adjustment.
• Conviction Sizing: Not recommended.
• Scaling In: Varies.
• Scaling Out: Varies.

Trade Filtering

• Market Conditions: The system filters strategies based on the volatility regime.
• Setups: Only setups from the selected strategy are considered.
• Instruments: Any.
• Time Restrictions: Varies.
• Chop/News Avoidance: Varies.

Context Framework

• Trend Direction: Varies.
• VWAP Relationship: Varies.
• MA Relationship: Varies.
• Range Location: Varies.
• Higher TF Alignment: Varies.

Trade Management Rules

• Breakeven: Varies.
• Scale Out: Varies.
• Add Size: Varies.
• Fast vs Slow Moves: Varies.

Time Rules

• Optimal Window: Any.
• Times to Avoid: Any.
• Session Notes: A systematic approach to adapting to volatility.

Setup Classification

• A+ Setup: A clear volatility regime with a suitable strategy.
• A Setup: A good regime identification.
• B Setup: A transitioning volatility regime.
• C Setup: No clear regime.

Market Selection Criteria

• Instruments: Any.
• Volume: High.
• Volatility: The basis of the strategy.

Statistical Edge Metrics

• Win Rate: Varies.
• Avg Win: Varies.
• Avg Loss: Varies.
• Profit Factor: Varies.
• Expectancy: Varies.

Failure Conditions

• Market Conditions: When the volatility regime changes unexpectedly.
• Specific Scenarios: A low-volatility trend that suddenly explodes with high volatility.

Psychological Rules

• Mental Discipline: Trust in the system.

Advanced Components

• Regime Detection: The VIX is used for regime detection.
• Filters: Varies.
• Correlation: Varies.
• MTF Alignment: Varies.

Location

• Strongest: In markets with clear high-volatility and low-volatility periods.
• Weakest: In markets with moderate, inconsistent volatility.