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已更新 Trend Volatility Regime
The Trend Volatility Regime is an all-in-one trend-following model that identifies changes in the market regime by combining moving-average crossover signals with volatility-adaptive trailing stops. It features an integrated backtesting engine that provides institutional-grade insights into historical strategy performance, along with a built-in alert system that notifies investors in real time when regime changes occur. The model integrates seamlessly into the price chart and presents backtest results in a clear, color-coded table benchmarked against buy-and-hold.
At its core, the model combines two complementary trend detection components to determine the prevailing market regime. The first component identifies the underlying structural trend using a volatility-adjusted moving-average crossover based on the spread between fast and slow moving averages. The second component identifies trend reversals using an adaptive trailing stop based on changes in price and volatility. Bullish and bearish regimes occur when both crossover and volatility signals are directionally aligned, while conflicting signals result in neutral regimes.
By default, the model applies an asymmetric regime design in which conflicting signals default to a bullish regime unless half-equity positions are enabled in the menu. This asymmetric design reflects the tendency of risk assets to deteriorate gradually while recovering more abruptly. The moving-average component captures the slower deterioration typically observed during market tops, while the trailing stop component responds more dynamically to faster reversals typically observed at market bottoms. This helps reduce overreaction to corrections during uptrends while still allowing for faster re-entry following sharp recoveries. To evaluate the performance of different parameter configurations, the model includes a built-in table with the following metrics:
This indicator is designed with flexibility in mind, enabling users to specify the start date of the backtesting period, the preferred trend type, volatility type, and regime visualization. Supported regime visualizations include line, candle, and shaded background. Supported moving-average types include the Exponential Moving Average (EMA), Simple Moving Average (SMA), Wilder’s Moving Average (RMA), and Weighted Moving Average (WMA). Supported volatility types include the Average True Range (ATR), Standard Deviation (SD), and Mean Absolute Deviation (MAD). Supported price sources include Close, HL2, HLC3, and OHLC4. The table follows an intuitive color-coded logic that allows for quick performance comparison against buy-and-hold (B&H):
In summary, the Trend Volatility Regime is a comprehensive trend-following tool designed to help investors stay on the right side of the market by identifying key changes in the market regime. By combining volatility-adjusted moving-average crossover signals with adaptive volatility-based trailing stops, the model seeks to maximise participation during uptrends while reducing exposure during sustained downtrends. While the model provides valuable historical insights, users should remain mindful that past results may not necessarily persist under future market conditions.
At its core, the model combines two complementary trend detection components to determine the prevailing market regime. The first component identifies the underlying structural trend using a volatility-adjusted moving-average crossover based on the spread between fast and slow moving averages. The second component identifies trend reversals using an adaptive trailing stop based on changes in price and volatility. Bullish and bearish regimes occur when both crossover and volatility signals are directionally aligned, while conflicting signals result in neutral regimes.
- Bullish Crossover Signal = (Fast MA – Slow MA) > (ATR × Trend Margin)
- Bearish Crossover Signal = (Fast MA – Slow MA) < –(ATR × Trend Margin)
- Bullish Volatility Signal = Price > (Highest Price – (Volatility × Stop Factor))
- Bearish Volatility Signal = Price < (Lowest Price + (Volatility × Stop Factor))
By default, the model applies an asymmetric regime design in which conflicting signals default to a bullish regime unless half-equity positions are enabled in the menu. This asymmetric design reflects the tendency of risk assets to deteriorate gradually while recovering more abruptly. The moving-average component captures the slower deterioration typically observed during market tops, while the trailing stop component responds more dynamically to faster reversals typically observed at market bottoms. This helps reduce overreaction to corrections during uptrends while still allowing for faster re-entry following sharp recoveries. To evaluate the performance of different parameter configurations, the model includes a built-in table with the following metrics:
- CAGR = Compounded Annual Growth Rate.
- Excess = CAGR in excess of buy-and-hold.
- Sharpe = CAGR per unit of standard deviation.
- Sortino = CAGR per unit of downside deviation.
- Calmar = CAGR relative to maximum drawdown.
- Max DD = Largest peak-to-trough decline in value.
- Alpha (α) = Excess annualized risk-adjusted returns.
- Win Rate = Ratio of profitable trades to total trades.
- Profit Factor = Total gross profit per unit of losses.
- Expectancy = Average expected return per trade.
- Turnover = Average annualized change in exposure.
This indicator is designed with flexibility in mind, enabling users to specify the start date of the backtesting period, the preferred trend type, volatility type, and regime visualization. Supported regime visualizations include line, candle, and shaded background. Supported moving-average types include the Exponential Moving Average (EMA), Simple Moving Average (SMA), Wilder’s Moving Average (RMA), and Weighted Moving Average (WMA). Supported volatility types include the Average True Range (ATR), Standard Deviation (SD), and Mean Absolute Deviation (MAD). Supported price sources include Close, HL2, HLC3, and OHLC4. The table follows an intuitive color-coded logic that allows for quick performance comparison against buy-and-hold (B&H):
- CAGR = Green indicates above 0%, while red indicates below 0%.
- Excess = Green indicates above 0%, while red indicates below 0%.
- Sharpe = Green indicates better than B&H, while red indicates worse.
- Sortino = Green indicates better than B&H, while red indicates worse.
- Calmar = Green indicates better than B&H, while red indicates worse.
- Max DD = Green indicates better than B&H, while red indicates worse.
- Alpha (α) = Green indicates above 0%, while red indicates below 0%.
- Win Rate = Green indicates above 50%, while red indicates below 50%.
- Profit Factor = Green indicates above 2, while red indicates below 1.
- Expectancy = Green indicates above 0%, while red indicates below 0%.
In summary, the Trend Volatility Regime is a comprehensive trend-following tool designed to help investors stay on the right side of the market by identifying key changes in the market regime. By combining volatility-adjusted moving-average crossover signals with adaptive volatility-based trailing stops, the model seeks to maximise participation during uptrends while reducing exposure during sustained downtrends. While the model provides valuable historical insights, users should remain mindful that past results may not necessarily persist under future market conditions.
版本注释
- Added a strategy selector that allows the trend and volatility components to be used independently.
- Added dynamic alerts for the trend and volatility components, allowing for independent monitoring.
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开源脚本
秉承TradingView的精神，该脚本的作者将其开源，以便交易者可以查看和验证其功能。向作者致敬！您可以免费使用该脚本，但请记住，重新发布代码须遵守我们的网站规则。
免责声明
这些信息和出版物并非旨在提供，也不构成TradingView提供或认可的任何形式的财务、投资、交易或其他类型的建议或推荐。请阅读使用条款了解更多信息。