Inside the
architecture.
Seven components. One message bus. Same code runs in backtest and live. Every decision auditable.
Architecture at a glance
3-Layer Regime Detection
Three detection methods vote in ensemble. Speed, depth, and strategic context combined.
Rule-Based Classification
Every barATR percentile ranking detects volatility expansion or contraction. ADX measures trend strength. SMA slope confirms direction. Fast, deterministic, zero look-ahead bias.
Hidden Markov Model
DailyA 3-state Gaussian HMM fitted on rolling 252 days of log returns and Parkinson realized volatility. Provides probabilistic state assignment with transition matrices.
Macro Overlay
WeeklyLong-term structural context. 50/200 SMA structure identifies the macro trend. Hurst exponent measures persistence vs mean-reversion character.
7 Components. One system.
Data flows through each component in sequence. Watch it light up.
Data Engine
Streams live market data, constructs candles across timeframes, computes 11 technical indicators, maintains rolling price buffers.
Regime Detector
3-layer hybrid ensemble. Rule-based speed, HMM statistical depth, macro strategic overlay. Votes with confirmation delay.
Strategy Engine
Selects and weights strategies based on detected regime. Session-aware. Only activates strategies when conditions favor them.
Risk Manager
Mandatory gateway. ATR-normalized position sizing, daily/weekly drawdown circuit breakers, max position caps. Non-bypassable.
AI Context Engine
Claude analyzes macro conditions every 5 minutes. Validates regime, assesses trade permission, provides directional bias with reasoning.
Execution Engine
Routes orders to brokers. Order lifecycle FSM tracking. Position reconciliation. Dual accounting (desired vs actual).
Decision Logger
Structured JSON audit trail. Every event, every decision, every reasoning chain. Full accountability.
The Message Bus
Every component publishes and subscribes. Zero coupling. Full observability.