price-volume-trend-signal
Price-volume trend/momentum signal engine — CTA-lite proxy: MTF momentum, Donchian breakout, MA filter, volume gate, risk-parity sizing, regime dial, drawdown/vol-shock overlay, walk-forward backtester. TRIGGER when: 量价/趋势/动量/CTA signals, buy/sell/trim/hedge today, scanning Nasdaq-100 for trend/breakout candidates, rebalancing a trend book, backtesting this strategy. DO NOT USE when: fundamental/earnings analysis, valuation/DCF, options pricing, futures/multi-asset CTA execution, macro views.
Creator
Billy Bian
Created time
Jul 22, 2026
Last update
Jul 25, 2026
Version
V2
Usage
7 Installs · 4 Runs
How it works
Description (verbatim, full)
Institutional-grade price-volume trend / momentum signal engine — a stock-account proxy of a systematic CTA-lite book. For a US (Nasdaq-100 default) or HK universe it runs a full pipeline: multi-timeframe risk-adjusted momentum + 50-day Donchian breakout + 50/200 MA filter + volume confirmation are fused into a continuous conviction signal S ∈ [−1, +1] per name; names are clustered by sector/theme with a correlation matrix; positions are sized by equal-risk-contribution (risk parity) with portfolio volatility targeting under single-name / cluster / net-exposure caps; a multi-factor regime engine (price trend + market breadth + volatility) dials portfolio gross 0–100%; and a portfolio risk overlay applies drawdown-tiered de-risking, vol-shock scaling, turnover / no-trade bands, minimum holding period and signal hysteresis. Outputs a ranked BUY / ADD / HOLD / TRIM / EXIT / HEDGE signal report with per-name and per-cluster risk contributions, ATR/chandelier trailing stops, and target-vs-current action deltas. Includes a walk-forward backtester with parameter-grid robustness, crisis-period stress tests, turnover/cost modelling and cluster attribution. TRIGGER when: user asks for 量价 / 趋势 / 动量 / CTA trading signals, "what should I buy / sell / trim / hedge today", to scan Nasdaq-100 (or a supplied list) for trend/breakout candidates, to rebalance a systematic trend book, or to backtest / stress-test this strategy. DO NOT USE when: user wants single-stock fundamental or earnings analysis, valuation / DCF, options pricing, real futures / multi-asset