CTA · Core
Trend-Strength / ADX Filter
Only take trend trades when a strength meter (ADX, |slope|, R² of a fit) says the market is actually trending — a permission layer on top of the signal.
Definition
ADX high → allow breakouts/crosses; ADX low → stand aside or shrink size. Alternatives: OLS slope t-stat, efficiency ratio, or realized-trend / realized-vol. The filter reduces trades in ranges and increases lag at the start of a trend.
Why it matters
Chop is where trend dies. A filter is the systematic way to say ‘no trade’ without a human.
Case
ADX still low in the first two weeks of a 2022 rates trend. The filter missed the best part of the short. That is the tax.
How to read it
Threshold and lookback. A high ADX cut turns the book into a slow-trend clone.
No query has been run yet. Which is tragically normal for most knowledge systems, but we are trying to evolve past decorative databases.