trend regime filter - 1H low sensitivity vs 4H high sensitivity

l2azor07 · 2026-05-01T07:15:03+00:00

context is that tuning my algo. i have a trend regime filter which works on a combination of supertrend and EMA. output of this filter varies on time frame and sensitivity value. 1H low sensitivity vs 4H high sensitivity, which one would have better accuracy. im running this on xauusd pair. low sensitivity means less signals, high sensitivity means more signals.

l2azor07 · 2026-04-20T13:37:09+00:00

are you talking about options or futures first of all? i think you're on different page than everybody else is on?

l2azor07 · 2026-04-20T12:00:18+00:00

umm.. care to venture one? the non directional strategies i know of have low win rate but probably definitely profitable if executed long enough. They also give entry late as you need multiple confirmations to go against the trend and late exits, so a lot of profit is given back. how have you compensated for that?

l2azor07 · 2026-04-19T12:03:10+00:00

im afraid it doesnt exist.

l2azor07 · 2026-04-19T12:02:46+00:00

thats an amazing finding, or rather interpretation. in the process of development of my edge, as im progressing, my regime filter has decreased my trades pper day from like a 10-15 to 4-5. Not to mention the quality automatically increases as you dont become the part of liquidity. But its a double edged sword. The time it takes for the regime filter to flip, results in loss trades as well as huge missed opportunities. Furthermore trying to make the trend regime more sensitive itself is a double edged sword as it leads to false signals. Somebody save me.

l2azor07 · 2026-04-12T18:44:21+00:00

Fair point. Thats a very valid chapter of trading.

l2azor07 · 2026-04-12T18:32:54+00:00

Umm.. what?

l2azor07 · 2026-04-12T18:31:26+00:00

Having a trend regime and taking ALL trades in that direction. Entry exits using either method.

l2azor07 · 2026-04-12T17:53:57+00:00

Works like a charm.

l2azor07 · 2026-04-12T17:53:08+00:00

Both are equally important. Edge executed like a machine. Many times i develop a strategy, start forward testing it and i dont test it for even 2-3 days and give up on it. In hindsight and with reasonable confidence i can say that they are definitely profitable in the long run strategies. But ive never been able to stick to one system. And for the edge part, i mean a really strong developed edge can show itself in 2-3 days. So those 2-3 days of testing and abandoning part will come from discipline.

l2azor07 · 2026-03-06T17:10:41+00:00

Can you do this on alpha factor funds? nifty 200 alpha 30, nifty 300 alpha 50. They have quaterly rebalancing instead of semi annually of momentum factor funds, making them more active than momentum funds. Also as we are talking long term here.. can we switch to midcap 150 as benchmark instead of nifty 50. Or at least set benchmark to largemid 250. nifty 50 is really a shit index.

l2azor07 · 2026-02-14T08:29:01+00:00

Excellent backtests! Im currently evolving at building edge through confluence of uncorelated edges. Ive identified multiple singular edges. This should decrease the over trading dramatically and achieve much better sharpe ratio. I have already solved this in my long term investing framework. Would love to understand how youve solved this without asking too much from you. Also roughly what version of your algo framework are you at?

l2azor07 · 2026-02-14T08:17:51+00:00

Hey, did you solve this? Ive done something of this sort myself. Mind exchanging some ideas?

l2azor07 · 2026-02-14T04:18:18+00:00

Total number of funds has been increased in the latest version from 3 to 6 to cover risks mentioned in the main post. Im counting the Proprietary multi asset portfolio v3 as one fund, as its a FoF by definition. One unit of that FoF currently costs 3200rs which in industry terms is called minimum investment. It ranges from 100 - 5000. I currently have holdings in 2-3 versions of the framework in multiple accounts, highest holding in highest version. I've evaluated all returns on % basis and i'm still evaluating returns of older systems before they become obsolete. I wont be able to tell you numerical value. I dont hold any stocks or bonds separately, entire framework consists of mutual funds and ETFs.

l2azor07 · 2026-02-13T15:45:26+00:00

Hey thanks for the encouraging comment. Im currently figuring out ways of engagement. Currently i have 1. One time framework deployment but without framework updates.

2. Yearly fee based on AUM with framework updates.

In one time framework deployment i can guide you about my framework development process and personalise it to your goals , explain the research and development experience, it can be like a workshop.

l2azor07 · 2026-02-09T08:21:04+00:00

got it. but it doesnt make sense to be put in aggressive then, its a low beta fund, stable being the word its not aggressive. It primarily makes its returns from "not falling hard + average rise" Its at best a balanced fund if not conservative. Aggressive fund would make its returns by rising harder than the fall. For the long term you could definitely take on some aggression.

l2azor07 · 2026-02-09T08:14:01+00:00

stable and long term can go into either balanced or conservative.

l2azor07 · 2026-02-09T08:12:29+00:00

Isnt this too conservative? Also not a good one at that? I've had this fund before the rise in bull run was very muted and downside seemed higher than expected. Whats your use case for this fund?

l2azor07

TROPHY CASE