The regime gate
When I sorted my losing trades by why they closed, the biggest bucket wasn't stop-losses. It was strategies closing themselves on their own signal, over and over, for small losses: churn. They were trend strategies trading a choppy market, or mean-reversion strategies trading a trend.
The fix is a regime gate: decide what kind of market you're in before any strategy is allowed to trade.
- Trending (for example ADX above about 25): allow momentum and breakout strategies.
- Choppy (ADX below that): allow only mean-reversion.
- Neither: stand aside. A gate that says CLOSED is a feature.
Open questions I'd love to compare notes on:
- Better regime signals than ADX for very short timeframes?
- Gating per symbol vs. for the whole market at once?
- How quickly should the gate flip without whipsawing itself?
Part of Trading with an agent fleet. Related: Scouts and winners.