AdaptiveMomentumRibbon

AdaptiveMomentumRibbon combines a Pine-based momentum ribbon with Keltner context, structural invalidation, and risk-sized entries. Pine performs the signal calculation while TypeScript handles position state, exits, and order planning.

Visual overview

The illustrations are schematic, not market data. Exact thresholds, confirmation rules, and risk parameters come from the active strategy config.

Entry Logic

1. core.ts loads Pine code using loadPineScriptFile('adaptiveMomentumRibbon.pine').
2. Takes recent candles (AMR_LOOKBACK_BARS) and runs Pine via runPineScript.
3. Reads latest plot values:

• entryLong, entryShort
• invalidated, activeBuy, activeSell
• signalOsc, kcMidline, kcUpper, kcLower, invalidationLevel

4. If both entry signals are true, strategy skips (conflict).
5. If a position exists:

• closes on opposite signal
• optionally closes on invalidation (AMR_EXIT_ON_INVALIDATION)

6. If no position and entry signal is valid:

• applies side config (LONG or SHORT)
• places a structural stop beyond the Pine invalidation/Keltner level
• derives an R-multiple target and risk-sized quantity
• rejects poor signal-time execution geometry when configured
• returns entry

Exits

• CLOSE_BY_AMR_SIGNAL — opposite signal
• CLOSE_BY_AMR_INVALIDATION — invalidation when AMR_EXIT_ON_INVALIDATION=true

Configuration keys

The keys are grouped by purpose. Common runtime, AI, ML, and position-sizing keys keep the same meaning across the built-in strategies.

Group	Keys	Purpose
Risk estimates	RISK_FEE_RATE, RISK_SLIPPAGE_BPS, RISK_MARKET_IMPACT_BPS	Estimate one-way fees, slippage, and market impact for position sizing and reward-to-risk checks. Backtest execution costs are configured separately.
Runtime and decision services	ENV, INTERVAL, MAKE_ORDERS, CLOSE_OPPOSITE_POSITIONS, BACKTEST_PRICE_MODE, AI_ENABLED, AI_MODE, MIN_AI_QUALITY, ML_ENABLED, ML_THRESHOLD	Select the runtime mode and candle interval, control order placement, and enable optional AI or ML decisions. CLOSE_OPPOSITE_POSITIONS is not used by the current AMR hook logic.
Momentum model	AMR_LOOKBACK_BARS, AMR_MOMENTUM_PERIOD, AMR_BUTTERWORTH_SMOOTHING, AMR_WAIT_CLOSE, AMR_CONFIRM_ON_NEXT_BAR	Set the input history, oscillator period and smoothing, and closed-bar confirmation behavior.
Signal quality	AMR_MIN_SIGNAL_OSC_ABS, AMR_MIN_SIGNAL_OSC_ABS_LONG, AMR_MIN_SIGNAL_OSC_ABS_SHORT, AMR_REQUIRE_KC_BIAS, AMR_MIN_BARS_BETWEEN_SIGNALS	Set the oscillator-strength floor, optional Keltner bias, and signal cooldown, with directional oscillator overrides.
Keltner channel	AMR_KC_LENGTH, AMR_KC_MA_TYPE, AMR_ATR_LENGTH, AMR_ATR_MULTIPLIER	Set the channel midline, moving-average type, ATR period, and band multiplier.
Delayed-entry risk	AMR_MIN_TP_DISTANCE_BPS, AMR_MAX_DELAY_RISK_TP_RATIO, AMR_DELAY_RISK_MOVE_MULT	Reject entries with too little target distance or too much signal-to-fill risk movement.
Target, stop, and exit	AMR_STOP_BUFFER_PCT, AMR_TARGET_R_MULT, AMR_EXIT_ON_OPPOSITE_SIGNAL, AMR_EXIT_ON_INVALIDATION	Set the structural stop buffer, target distance, and exit triggers.
Figures	AMR_SHOW_INVALIDATION_LEVELS, AMR_SHOW_KELTNER_CHANNEL, AMR_LINE_PLOTS	Choose the levels, channel, and Pine plots included in chart figures.
Risk and side policy	MAX_LOSS_VALUE, LONG.enable, LONG.direction, LONG.minRiskRatio, SHORT.enable, SHORT.direction, SHORT.minRiskRatio	Set the loss budget and enable each direction with its minimum reward-to-risk ratio.

Indicators Used (What Each One Means)

Pine Series Used by the Strategy

• entryLong, entryShort — binary entry signals.
• activeBuy, activeSell — active buy/sell context flags.
• invalidated — signal invalidation flag.
• signalOsc — smoothed AMR oscillator.
• kcMidline — Keltner center line.
• kcUpper — Keltner upper band.
• kcLower — Keltner lower band.
• invalidationLevel — current invalidation level.

Lines Rendered in figures

• all series listed in AMR_LINE_PLOTS are exported to figures.lines
• this allows explicit control over chart overlays in runtime/backtests

Signal Payload

figures:

• lines selected via AMR_LINE_PLOTS
• entry point marker

additionalIndicators.amr:

• entryLong, entryShort, activeBuy, activeSell, invalidated
• signalOsc
• Keltner values and invalidation level
• lineValues map for selected plots

Example Runtime Config

{
  "ENV": "CRON",
  "INTERVAL": "15",
  "AMR_LOOKBACK_BARS": 200,
  "AMR_MOMENTUM_PERIOD": 32,
  "AMR_BUTTERWORTH_SMOOTHING": 4,
  "AMR_WAIT_CLOSE": true,
  "AMR_CONFIRM_ON_NEXT_BAR": true,
  "AMR_MIN_SIGNAL_OSC_ABS_LONG": 1.75,
  "AMR_MIN_SIGNAL_OSC_ABS_SHORT": 1.25,
  "AMR_KC_LENGTH": 20,
  "AMR_KC_MA_TYPE": "EMA",
  "AMR_ATR_LENGTH": 14,
  "AMR_ATR_MULTIPLIER": 2,
  "AMR_STOP_BUFFER_PCT": 0.05,
  "AMR_TARGET_R_MULT": 2.4,
  "AMR_EXIT_ON_INVALIDATION": true,
  "AMR_LINE_PLOTS": ["kcMidline", "kcUpper", "kcLower", "invalidationLevel"],
  "LONG": { "enable": true, "direction": "LONG", "minRiskRatio": 1 },
  "SHORT": { "enable": true, "direction": "SHORT", "minRiskRatio": 1 }
}

Run

npx @tradejs/cli backtest --user root --config AdaptiveMomentumRibbon:amr-default --connector bybit --timeframe 15
npx @tradejs/cli signals --user root --timeframe 15