Which filters hold up in a bear or a sideways market
Same breakout rule, different filters, through 2022’s bear and chop. Piling on filters does not win.
I ran the breakout rule through bear and sideways tapes while swapping filters. The heaviest filter set does not win. Keeping only names and sectors stronger than the market hurts less in 2022. Most filters go negative in 2023 Q3 — sometimes sitting out is the right trade.
Rule name: Setup breakout_rr. Gates: base / rs_sector / flow / full / SIT_FLAT.
Bear 2022 (selected)
| Gate | Trades | WR% | ExpR | Port% | MDD |
|---|---|---|---|---|---|
| base | 111 | 32.4 | −0.162 | −17.2% | −27.4% |
| rs_sector | 74 | 41.9 | 0.080 | 5.5% | −16.6% |
| flow | 39 | 43.6 | 0.092 | 3.3% | −8.9% |
| market | 67 | 22.4 | −0.434 | −25.6% | −25.6% |
| full | 12 | 33.3 | −0.346 | −4.1% | −5.9% |
| SIT_FLAT | 0 | — | — | 0.0% | 0.0% |
Sideways 2018 (selected)
| Gate | Trades | WR% | ExpR | Port% | MDD |
|---|---|---|---|---|---|
| base | 228 | 39.5 | 0.078 | 16.9% | −33.6% |
| rs_sector | 125 | 48.0 | 0.307 | 44.8% | −17.3% |
| flow | 64 | 40.6 | 0.095 | 5.6% | −15.3% |
| full | 40 | 42.5 | 0.171 | 6.7% | −12.7% |
| SIT_FLAT | 0 | — | — | 0.0% | 0.0% |
Sideways 2023 Q3 (selected)
Most gate sets negative; SIT_FLAT control correctly stays flat. rs_sector still negative (−25.4% port) — regime sit is sometimes mandatory.
Winner pattern
Per-window winners favor rs_sector or flow in choppy/bear slices — not the heaviest full gate. Default paper uses rs_sector accordingly.
Source
Summarized from reports/regime_sit_compare_bear_sideways.md.