Evaluation Flow

How the IMLP Core Indicators engine processes signals each day.

1. Regime Filter

200D SMA + slopes

  • Price above 200D SMA + 20/50D slopes positive = bullish regime.
  • Bearish → no new longs, hold cash or hedge.

2. Momentum

EMA cross + MACD

  • 12EMA > 26EMA + MACD hist rising → go long.
  • Cross down + hist < 0 → exit.

3. Mean Reversion

Bollinger + RSI

  • Dip to lower Bollinger in uptrend → scale in.
  • RSI crosses up through 40–50 confirms rebound.
  • Trim near upper band or RSI > 70.

4. VWAP Anchors

Session & Anchored

  • Pullback to session VWAP in uptrend → add.
  • Losing VWAP → reduce risk.

5. Volume Filter

OBV + spikes

  • OBV trending higher.
  • Breakouts must have 1.5–2× average volume.

6. Volatility / Risk

ATR stops + sizing

  • Stops = 1.5–2.5× ATR.
  • Position size = risk ÷ stop distance.
  • Trail upward with ATR or swing lows.

7. Breadth Throttle

Risk-on/off

  • Composite: QQQ trend, HYG vs IEF, Advance/Decline.
  • Risk-off → throttle exposure to ~30%.
  • Risk-on → allow 100% allocation.

8. Execution Rules

How it ties together

  1. Regime filter is the master ON/OFF.
  2. Momentum = main entry/exit.
  3. Mean reversion = tactical adds/trims.
  4. VWAP = intraday refinement.
  5. All filtered by volume, ATR, breadth.