CLIFF
LIVE
--%
-- sharpe · -- trades · -- win rate · -- max dd
5 assets · 0 days live · 2 strategies
ω ∈ ℝⁿ, p(t) ∈ ω

r(t) = p(t)/p(t-1) - 1
z(t) = [r(t) - μ(r)] / σ(r)
Φ(t) = F(σ(t), η)
τ(t) = g(Φ, α, β)

        ╖═══════════ CLIFF ═══════════╗

SIGNAL ⟺ |z(t)| > τ(t)  ∧  ψ(t) > θ
d = sgn(-z(t))

        ╖═════════ FORMATION ═════════╗

fᵢ = 𝟹[χᵢ(t) ∈ Ωᵢ],  i ∈ {1..n}
F(t) ⟺ Σfᵢ ≥ κ

        ╖══════════ QUAKE ═══════════╗

Q(t) = Σᵢ wᵢ·Λᵢ(t)
Λ ∈ {λ₁, λ₂, ... λₖ}
CASCADE ⟺ Q > φ  ∧  Ψ(t) ≥ ν

        ╖═══════════ EXIT ═══════════╗

∂P/∂t = h(SL, TL, TO, δ, α)
  subject to: max_loss ≤ ε · C

        ╖════════════ ∞ ════════════╗

∀t ∈ ℕ :
  WAITDETECTSIZEENTERGUARDEXIT
    ↑                                              |
    └──────────────────────────────────────────────┘
enter