Adaptive Regime Momentum with Order Flow Confirmation
A systematic trading framework designed for BBLC's TradeDNA intelligence layer and Orvexa execution infrastructure. It adapts to market regime, confirms with order-flow anomalies, and sizes by volatility.
Regime-aware momentum
Switches between trend-following and mean-reversion based on ADX, Hurst exponent, and volatility clustering.
Order-flow scoring
TradeDNA behavioural signals identify abnormal volume clusters, VWAP deviations, and exhaustion patterns.
Orvexa precision routing
Algorithms break orders, minimise slippage, and adapt to liquidity conditions in real time.
Volatility targeting
1% max loss per trade, 5% daily drawdown circuit breaker, position sizing by realised volatility.
Why this strategy exists
Most momentum strategies fail in choppy markets. Most mean-reversion strategies get run over in strong trends. The solution is not a better single strategy. It is a regime-detection layer that chooses the right strategy for the right market condition.
TradeDNA adds an edge by reading behavioural signatures in order flow: where capital is clustering, where liquidity is thinning, and where moves are likely to continue versus reverse. Orvexa provides the execution backbone to capture that edge without giving it back to the market.
Core hypothesis
Price momentum is more reliable when confirmed by order-flow anomalies, and the optimal momentum parameters change with market regime. Combining regime detection, momentum scoring, and behavioural confirmation produces a more stable return distribution than any single factor alone.
Strategy at a glance
| Attribute | Specification |
|---|---|
| Primary asset class | US large-cap equities, liquid ETFs |
| Timeframe | Daily signal generation with intraday confirmation |
| Signal source | Price, volume, volatility, order-flow behaviour |
| Position direction | Long/flat, with short capability for hedge overlays |
| Target volatility | 10% annualised at portfolio level |
| Max single-trade risk | 1% of account equity |
| Daily drawdown halt | 5% from previous-day NAV |
| Rebalancing | Daily after market close; intraday adjustment on confirmation |
How to read this brief
Each section walks through a different part of the system. Signals covers the inputs and scoring logic. Risk covers position sizing, stops, and circuit breakers. Backtest provides a Python engine you can run against your own data. Deployment covers how TradeDNA and Orvexa ingest and execute the strategy.
Read signals → Download source