Regime-gated trend baskets and layered sizing

Baskets inside a larger book

Markets can be organized as baskets of similar systems that act as mini-portfolios and then combine into one larger book. A basket is a mini-portfolio of similar mechanical systems that is switched, sized, and allocated as one unit rather than as isolated tickets.

The archive keeps those jobs on separate layers. A mechanical trend reading is only one input to the book, not a finished order.

A regime-gate before the ticket

A basket can stay flat until indicators classify the market as in trend mode, then hold for horizons that range from minutes to months depending on the system. That on-or-off rule is the regime-gate: it turns a basket on or off, or swaps the allocation formula, when trend or volatility state changes.

Active baskets receive a percent allocation chosen from optimal-weight, minimum-variance, or risk-parity formulas, with the choice described as shifting when markets are quiet versus more volatile. Risk-parity weights baskets by how they contribute to risk rather than by an equal dollar share.

Size from the net vote

A basket can wait until a stated ratio of member systems agrees, then receive a portfolio-allocation weight as a unit. The ratio-level is the net long-minus-short vote count across the systems in that basket. Crossing a stated threshold steps the basket's contract count.

Hundreds of independent long, short, or flat systems can be netted into one reading, and stepped thresholds such as plus or minus 50, 100, and 150 can map that reading onto one, two, or three contracts.

Contract count can be set as a fixed fraction of equity divided by that trade's risk, with average true range folded into the risk term. That rule is fixed-fractional-sizing: it risks a constant fraction of account equity on a trade, with average true range allowed to enter the trade-risk term.

Stop-management matched to the market

Money management splits into two jobs: system-level stop or risk rules, and portfolio-level changes in contract count. Stop-management is the pre-committed exit logic attached to a single system, kept separate from how many contracts the larger book holds.

Exit style is matched to what the underlying system and market are attempting, such as a wider maximum-adverse-excursion stop when an equity-index future is volatile and a parabolic-style stop when a currency future is trending. Maximum-adverse-excursion is the largest open loss recorded while a trade was live, used both to judge a system and to place exits.

Trend-oriented mechanical systems can post a win rate near 35 percent, with many losing trades and an explicit rule to let remaining winners run.

Editorial order of the three layers

Editorial reading: the archive describes the regime-gate, the ratio-level size step, and stop-management as separate jobs. The TradersWeek checklist is only a reading aid. A mechanical trend signal is not treated as a finished order until those three jobs have each been filled in on their own.