SPY Regime Hybrid Strategy by business_algopicks
By business_algopicks
Performance Metrics
- Author: business_algopicks
- Symbol: NASDAQ:QQQ
- Timeframe: 1 hour
- Net P&L: +45,972.34 USD (+183.89%)
- Win Rate: 86.9%
- Profit Factor: 1.571
- Max Drawdown: 7,195.86 USD (15.06%)
- Total Trades: 1,055
Description
The SPY Regime Hybrid Strategy is a multi-factor system designed specifically for the S&P 500 ETF (SPY) on the 1-hour timeframe. It combines higher-timeframe trend filtering ("Regime Detection") with tactical entry signals based on mean reversion, momentum, and breakouts.The core philosophy of this strategy is that long entries are viable in most market conditions, while short entries are strictly gated behind confirmed Bear Regimes to account for the historical long bias of the equity markets.1. Market Regime Detection (The "Filter") Before looking for trades, the strategy identifies the current market state using a dual-SMA approach. The background color of the chart changes to reflect this:Bull Regime (Green Background): Price > Fast SMA (20) > Slow SMA (50).Bear Regime (Red Background): Price < Fast SMA (20) < Slow SMA (50).Strong Trends: A darker background shade indicates a "Strong Trend," confirmed by the alignment of the 9 and 21 EMAs.2. Volatility Filtering To avoid trading during dead markets or extreme chop, the strategy utilizes an ATR (Average True Range) filter. It will only take trades if volatility is normalized—neither too low (flat market) nor too high (extreme panic/euphoria).3. Entry Logic The strategy employs a "Hybrid" approach, utilizing four distinct entry triggers for Longs and three for Shorts.Long Setups:Mean Reversion: Buys deep dips below the Bollinger Bands when RSI is oversold.Breakout: Buys when price crosses over the Bollinger Basis with healthy RSI.EMA Bounce: Buys pullbacks to the 21 EMA during strong uptrends.Momentum: Enters on MACD bullish crossovers during a Bull Regime.Short Setups (Restrictive):Note: Shorts are only taken if the Regime is explicitly Bearish.Mean Reversion: Sells rips above the upper Bollinger Band when RSI is overbought.Breakdown: Sells crosses below the Bollinger Basis.EMA Rejection: Sells rallies into the 21 EMA during strong downtrends.4. Risk Management & Position SizingDynamic Stops/Targets: Stop Loss and Take Profit levels are not fixed dollar amounts; they expand and contract based on market volatility (ATR).Stop Loss: 2.5x ATRTake Profit: 4.0x ATRTrailing Stop: An active trailing stop (2.0x ATR) is used to lock in profits as the trend extends.Scaling In: The strategy is configured to "pyramid" (scale in) to winning positions up to 3 times, maximizing the payload of a strong trend.Daily Risk Cap: Includes a safety circuit breaker that halts trading if max daily trades are exceeded or if a max daily drawdown % is hit.Settings & CustomizationTimeframe: Optimized for the 1 Hour chart.Session Control: Includes an option to trade only during NY Regular Trading Hours (RTH) to avoid low-volume overnight signals.Inputs: Users can adjust the sensitivity of the Regime SMAs, RSI thresholds, and ATR multipliers via the settings panel.