RESEARCH

How we
build alpha.

The complete methodology behind every strategy in the QuantLab9 lab.

01
Data Sources
OHLCV (1m → 1D)
Funding rates
Open interest
Volume profiles
On-chain sentiment
Order book depth
Liquidation data
Macro indicators
02
Regime Detection
TRENDING
Trending
ADX > 25
EMA slope positive
Price above EMA(200)
ATR expanding
RANGING
Ranging
ADX < 20
Bollinger Band squeeze
Mean-reverting price action
Low ATR percentile
VOLATILE
Volatile
ATR > 2σ historical
High funding rate swings
Large bid-ask spread
Strategy paused
TRENDING RANGING VOLATILE ADX falls ADX rises ATR spikes ATR calms
03
Entry / Exit Logic
Indicator Parameters Role Sparkline
RSI Period: 14 Entry filter <30 / >70
VWAP Daily anchor Trend confirmation cross
EMA 20 / 200 Trend structure & direction
ATR Period: 14 Stop loss × 1.5 multiplier
04
Risk Management
f* = (bp − q) / b    where b = odds, p = win probability, q = 1 − p
KELLY CRITERION — FRACTIONAL f = 0.25 (quarter-Kelly)
Max Position SizeQuarter-Kelly fraction (0.25f) per trade to limit ruin risk.
Max Drawdown LimitStrategy suspended if portfolio drawdown exceeds 15% peak-to-trough.
Stop LossATR × 1.5 below entry. Trailing stop activates at 1R profit.
Correlation FilterNo more than 3 correlated positions open simultaneously.
Regime FilterAll long strategies disabled in volatile regime classification.
Monte Carlo Gate95th percentile max drawdown must be < 20% across 5,000 runs.
05
Monte Carlo Simulation

5,000 randomised trade order simulations across the backtest period. The median outcome is highlighted. The 5th–95th percentile band defines the confidence envelope.

+800% +600% +400% +200% median
06
Approval Gate
Backtest
runs
→
passes?
Sharpe > 1.5
DD < 20%
→
Monte Carlo
5,000 runs
→
passes?
p95 DD < 20%
→
Telegram
notification
→
✓ Approve
✕ Reject
→
Paper trade
2 weeks
→
Live signal
generation