Signal Settings

Overview#

The Signal Settings for Lune Momento let you control how trade entry signals are generated and behave. These settings offer a high degree of customization. You can fine-tune the strategy's responsiveness using a statistics-based engine. By configuring the analysis windows and adjusting sensitivity, you can tailor the signal logic to your trading style and market.

Signal generation logic#

To protect our proprietary algorithms, the exact mechanics of the signal logic are not disclosed. You can understand the conceptual approach as follows:

Lune Momento uses a statistical model to find trading opportunities. The strategy analyzes a range of market characteristics, such as volatility, trend persistence, and the shape of the price distribution. It then classifies the market into distinct regimes (e.g. bullish trend, bearish trend, or ranging) to understand the current environment.

The model calculates a risk-adjusted signal score based on the agreement of these statistical factors. It then adjusts the score based on the identified market regime. This adaptive approach keeps the signal logic relevant as market behavior changes. All signals are confirmed on the close of a price bar so they do not repaint.

Settings#

The following settings control the core logic of the signal engine.

Sensitivity and analysis#

These settings define how the statistical engine analyzes the market and its overall responsiveness.

Setting	Description	Range / Recommended
Signal Sensitivity	Controls the responsiveness and frequency of signals. Lower values are more sensitive and produce more signals. Higher values filter for fewer, higher-quality signals.	Range: 0.1 - 10.0Recommended: 1.0 - 3.0
Volatility Lookback	Sets the lookback window for volatility calculations. A lower value is more responsive to short-term volatility changes.	Range: 5 - 2000Recommended: 15 - 50
Return Lookback	Sets the lookback window for price return calculations. A lower value is more sensitive to recent price movements.	Range: 5 - 2000Recommended: 8 - 25
Skewness Lookback	Sets the lookback window for analyzing the asymmetry of the price distribution, used in regime detection.	Range: 5 - 2000Recommended: 20 - 50
Regime Change Sensitivity	The threshold for detecting shifts between market regimes (e.g. from trending to ranging). Lower values are more sensitive to change.	Range: 0.01 - 1.0Recommended: 0.2 - 0.5

Best practices and usage#

• Balance sensitivity and confirmation: Lowering Signal Sensitivity generates more signals but may increase false positives. Higher values give stronger confirmation but may result in fewer trading opportunities. Find a balance that suits your risk tolerance.
• Adjust lookbacks for your timeframe: On a lower timeframe, use shorter Lookback periods to make the strategy more responsive. For higher timeframes, longer Lookback periods can give more stable signals.
• Start with recommended values: The recommended values give a solid starting point for most markets. Use them as a baseline, then adjust based on the asset and timeframe you are trading.
• Tune one thing at a time: When optimizing the settings, adjust only one parameter at a time. This helps you understand the effect of each change during backtesting.