Strategy library

The built-in strategies live in backend/ats/strategies/ and are registered at import time. They are deliberately diversified by edge type so the validation gauntlet can discriminate genuine signal from drift — not because all of them work. Each is a Nautilus Strategy plus a typed config; the same code runs in backtests and live. To write your own, see the strategy contract; to generate one from a description, see the Studio.

Every strategy here is a hypothesis. Whether it holds is decided by the gauntlet, not by its backtest. Run any of them through the research ladder to see its readiness score; the honest finding across this library is that simple edges win and added machinery rarely adds signal.

Daily — trend, breakout & momentum

Key	Name	What it does
donchian_breakout	Donchian Channel Breakout	Long when the close breaks the prior N-bar high; flat when it breaks the prior M-bar low.
donchian_trend	Trend-Filtered Donchian	The Donchian breakout, taken only when the close is also above the trend SMA; same M-bar-low exit.
macd_enhanced	Enhanced MACD	MACD/signal cross up while price is above a slow trend EMA; exit on the cross down.
atr_trailing_stop	ATR Trailing Stop	Long while the close is above the EMA; exit on a ratcheting (highest close − k·ATR) trailing stop.
tsmom	Time-Series Momentum	Long while the trailing-lookback return is above an entry threshold; flat below an exit threshold (hysteresis avoids churn).
sma_cross	Dual SMA Crossover	Long while the fast SMA is above the slow SMA, flat otherwise. The classic trend baseline / control.
ma_regime	Moving-Average Regime	Hold while the close is above the N-day SMA, else sit in cash. Faber-style tactical timing — trades a little upside for much smaller drawdowns.

Daily — mean reversion

Key	Name	What it does
rsi_pullback	RSI(2) Pullback	Buy short, sharp dips (low RSI) inside an uptrend (close above the trend SMA); exit when the close recovers above a short SMA.
bollinger_reversion	Bollinger Band Reversion	Buy dips below the lower Bollinger band while above the trend SMA; exit when the close recovers to the middle band.
ibs_reversion	Internal Bar Strength Reversion	Buy when the close lands near the day’s low (low IBS); exit when it recovers toward the high (or by a time / first-up / SMA exit). Short-term ETF reversion.
down_streak	Down-Streak Reversal	Buy after N consecutive lower closes; exit on the first up close or after a max hold. Classic short-term pullback reversal.
vol_reversion	Volatility-Conditioned Reversion	Buy oversold closes (low IBS) only when volatility is elevated (fast ATR running hotter than slow ATR); exit on the snap-back.

Daily — volatility, calendar & confluence

Key	Name	What it does
squeeze_breakout	Volatility-Squeeze Breakout	Buy a Donchian breakout only when it bursts out of a low-volatility coil (fast ATR well below slow ATR just before the break); exit on the prior-low.
turn_of_month	Turn-of-Month Seasonality	Hold across the turn-of-month window (last days of the month + the first few of the next), flat otherwise. A calendar edge.
regime_ibs_confluence	Regime + IBS Confluence	Buy an oversold dip (low IBS) only inside a bull regime (close above the N-day SMA) — two uncorrelated signals must agree.

Intraday (1-minute bars)

Intraday strategies are still single-instrument registry strategies (same contract, same rule-test switch) but subclass a session harness: they rebuild per-session state from 1-minute bars (VWAP, opening range, minutes-since-open) and are flat by the close (no overnight risk). They need intraday data ingested and are judged net of the measured spread. See ingestion and the strategy contract.

Key	Name	What it does
intraday_vwap_reversion	Intraday VWAP Reversion	Buy when price stretches below the session VWAP; exit on reversion to VWAP or a time stop. Flat by close.
intraday_vwap_exhaustion	Intraday VWAP Exhaustion	At the US-lunch measure time, latch a below-VWAP stretch (Z-score), then enter on exhaustion; flat by close.
intraday_orb	Intraday Opening-Range Breakout	Buy when price breaks above the first range_min minutes’ high; exit on a stop or by the close.
intraday_first30_momentum	Intraday First-30-Min Momentum	If the first signal_min minutes are strongly up, buy and hold to near the close.

A note on the honest findings

ClearEdge records what did and didn’t survive validation. Highlights from the built-in research (full notes in the research ladder and the repo’s research notes):

• IBS-style short-term mean reversion on broad, liquid equity ETFs is the most replicated daily edge and proved structural across many names — the basis of the deployable book.
• The low-vol cross-sectional factor is refuted on equity universes (it’s a beta tilt, not a timing edge); cross-asset/country momentum is the cross-sectional edge that clears the bar.
• Every intraday archetype here is, so far, a negative net of the measured spread — the capability is the deliverable, not yet an edge.
• Added machinery (extra filters, a time-varying pair hedge) rarely raised rule-test significance over the simple version — the recurring lesson the gauntlet keeps teaching.

The point of the library is not that all of it works; it’s that the validation stack can tell you, per strategy and per instrument, which parts do.