The Regime Fusion

About this strategy

Fuses a daily price/volume imbalance signal, a QQQ/SPY lead-lag correlation, and a momentum-acceleration signal under regime-dependent weights (rolling-volatility z-score in place of an HMM), vol-targets the resulting QQQ/CASH allocation, and decays stale bullish positions - a same-mechanism, daily-cadence adaptation of a proposed intraday multi-factor design this platform cannot run.

1. Agent triggers

   Starts daily at 11:00 AM. It runs on a set schedule, ensuring timely assessments.

2. Computes its signals

   It analyzes three signals based on QQQ and SPY daily price and volume data. This includes a price/volume imbalance, a lead-lag correlation, and a momentum-acceleration signal.

3. Sets the target portfolio

   The target portfolio is formed with a QQQ/CASH allocation, adjusting under regime-dependent weights. Allocations saturate at fixed bounds, with stale bullish positions being decayed.

4. Executes orders

   Your account trades toward the target portfolio, selling before buying, while adhering to the platform's risk management rules: stop-loss and daily loss limits you set.

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