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feat: add AI grid trading and market regime classification
- Add GridTrader interface with PlaceLimitOrder, CancelOrder, GetOrderBook - Implement GridTrader for all exchanges (Binance, Bybit, OKX, Bitget, Hyperliquid, Aster, Lighter) - Add grid engine with ATR-based boundary calculation and fund distribution - Add market regime classification documents (Chinese/English) - Add GridConfigEditor component for frontend configuration
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tinkle-community
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docs/market-regime-classification-en.md
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docs/market-regime-classification-en.md
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# Market Regime Classification Framework
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> A comprehensive market state identification system for quantitative trading strategy matching
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---
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## 1. Classification Dimensions Overview
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Market state identification requires analysis across multiple dimensions:
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| Dimension | Sub-dimensions | Description |
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|-----------|---------------|-------------|
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| **Trend** | Direction, Strength | Determine market movement direction and momentum |
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| **Volatility** | Amplitude, Frequency | Measure price fluctuation characteristics |
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| **Structure** | Pattern, Phase | Identify market structure and cycle position |
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---
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## 2. Primary Classification (5 Categories)
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### 2.1 Classification Overview
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| Code | Name | Key Characteristics | Suitable Strategies |
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|------|------|---------------------|---------------------|
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| `TREND_UP` | Uptrend | Higher highs & higher lows | Trend following, Breakout |
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| `TREND_DOWN` | Downtrend | Lower highs & lower lows | Trend following, Short selling |
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| `RANGE` | Range-bound | Price oscillates within bounds | Grid trading, Mean reversion |
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| `TRANSITION` | Transition | Uncertain directional period | Wait & watch, Small positions |
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| `BREAKOUT` | Breakout | Price breaks key levels | Breakout trading |
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### 2.2 Identification Indicators
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- **ADX (Average Directional Index)**: Measures trend strength
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- ADX > 25: Clear trend exists
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- ADX < 20: Range-bound market
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- **EMA Alignment**: Determines trend direction
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- EMA20 > EMA50 > EMA200: Bullish alignment
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- EMA20 < EMA50 < EMA200: Bearish alignment
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---
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## 3. Secondary Classification (18 Sub-categories)
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### 3.1 Uptrend Sub-categories (5 Types)
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| Code | Name | Technical Features | Quantitative Indicators |
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|------|------|-------------------|------------------------|
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| `TU_STRONG_LOW_VOL` | Strong Uptrend · Low Vol | Steady rise, shallow pullbacks | ADX>40, ATR%<2%, Pullback<38.2% |
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| `TU_STRONG_HIGH_VOL` | Strong Uptrend · High Vol | Rapid surge, high volatility | ADX>40, ATR%>4%, MACD histogram expanding |
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| `TU_WEAK_CHOPPY` | Weak Uptrend · Choppy | Two steps forward, one back | ADX 20-30, RSI oscillating 50-70 |
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| `TU_PARABOLIC` | Parabolic Acceleration | Exponential price increase | Price far from MA, RSI>80, Volume surge |
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| `TU_EXHAUSTION` | Uptrend Exhaustion | New highs but weakening momentum | Price new high + MACD/RSI divergence |
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**Strategy Matching:**
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- Strong Low Vol: Heavy trend following, pyramid adding
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- Strong High Vol: Medium position, trailing stops
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- Weak Choppy: Light swing trading
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- Parabolic: Cautious, prepare to exit
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- Exhaustion: Reduce positions, prepare for reversal
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### 3.2 Downtrend Sub-categories (5 Types)
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| Code | Name | Technical Features | Quantitative Indicators |
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|------|------|-------------------|------------------------|
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| `TD_STRONG_LOW_VOL` | Strong Downtrend · Low Vol | Steady decline, weak bounces | ADX>40, ATR%<2%, Bounce<38.2% |
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| `TD_STRONG_HIGH_VOL` | Strong Downtrend · High Vol | Panic selling, wild swings | ADX>40, ATR%>5%, VIX spike |
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| `TD_WEAK_CHOPPY` | Weak Downtrend · Choppy | Grinding lower with bounces | ADX 20-30, RSI oscillating 30-50 |
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| `TD_CAPITULATION` | Capitulation | High volume crash, extreme fear | RSI<20, Volume>3x average |
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| `TD_EXHAUSTION` | Downtrend Exhaustion | New lows but selling pressure fading | Price new low + MACD/RSI divergence |
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**Strategy Matching:**
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- Strong Low Vol: Short trend following
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- Strong High Vol: Stay flat or light hedge
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- Weak Choppy: Wait for stabilization
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- Capitulation: Light bottom fishing possible
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- Exhaustion: Gradually build long positions
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### 3.3 Range Sub-categories (4 Types)
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| Code | Name | Technical Features | Quantitative Indicators |
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|------|------|-------------------|------------------------|
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| `RG_TIGHT_LOW_VOL` | Tight Range · Low Vol | Extreme contraction, coiling | BB Width<2%, ATR at new lows |
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| `RG_TIGHT_HIGH_VOL` | Tight Range · High Vol | Violent swings within range | BB Width<3%, ATR%>3% |
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| `RG_WIDE_LOW_VOL` | Wide Range · Low Vol | Large range, slow movement | BB Width>5%, ATR%<2% |
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| `RG_WIDE_HIGH_VOL` | Wide Range · High Vol | Large range, fast movement | BB Width>5%, ATR%>3% |
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**Strategy Matching:**
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- Tight Low Vol: Dense grid, wait for breakout
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- Tight High Vol: Fast grid, small frequent profits
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- Wide Low Vol: Sparse grid, patient holding
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- Wide High Vol: Swing trading, high profit targets
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### 3.4 Transition (2 Types)
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| Code | Name | Technical Features | Quantitative Indicators |
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|------|------|-------------------|------------------------|
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| `TR_BOTTOM_FORMING` | Bottom Forming | Decline slowing, testing support | Price stabilizing + Volume drying up + RSI divergence |
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| `TR_TOP_FORMING` | Top Forming | Rally slowing, testing resistance | Price stalling + Volume drying up + RSI divergence |
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### 3.5 Breakout (2 Types)
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| Code | Name | Technical Features | Quantitative Indicators |
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|------|------|-------------------|------------------------|
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| `BK_UPWARD` | Upward Breakout | Breaking resistance with volume | Price>Previous high, Volume>2x, BB breakout |
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| `BK_DOWNWARD` | Downward Breakout | Breaking support with volume | Price<Previous low, Volume>2x, BB breakdown |
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---
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## 4. Tertiary Classification (36 Ultra-fine Categories)
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### 4.1 Trend Phase Classification
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Uptrend lifecycle consists of 5 phases:
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| Phase Code | Name | Description | Quantitative Criteria |
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|------------|------|-------------|----------------------|
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| `TU_S1_INITIATION` | Uptrend Initiation | First break above MA or previous high | MACD bullish cross, Price>EMA20 |
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| `TU_S2_ACCELERATION` | Uptrend Acceleration | Momentum increasing, slope steepening | MACD histogram expanding, ADX rising |
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| `TU_S3_MAIN_WAVE` | Main Wave | Sustained rise, shallow pullbacks | RSI 60-80, Pullbacks hold EMA20 |
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| `TU_S4_EXHAUSTION` | Uptrend Exhaustion | Slowing momentum, divergences appearing | RSI divergence, MACD divergence |
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| `TU_S5_REVERSAL` | Trend Reversal | Breakdown, trend ending | Break below EMA50, MACD bearish cross |
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Downtrend phases follow same pattern: `TD_S1` through `TD_S5`
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### 4.2 Range Position Classification
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| Position Code | Name | Description | Strategy Suggestion |
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|---------------|------|-------------|---------------------|
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| `RG_UPPER` | Upper Range | Price near resistance | Bias toward short |
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| `RG_MIDDLE` | Mid Range | Price near middle band | Neutral grid trading |
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| `RG_LOWER` | Lower Range | Price near support | Bias toward long |
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| `RG_SQUEEZE` | Squeeze Pattern | Highs and lows converging | Wait for direction |
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| `RG_EXPAND` | Expanding Pattern | Highs and lows diverging | Boundary reversal |
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### 4.3 Volatility Grades
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| Code | Name | ATR% | BB Width | Strategy Suggestion |
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|------|------|------|----------|---------------------|
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| `VOL_EXTREME_LOW` | Extreme Low Vol | <1% | <1.5% | Option selling |
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| `VOL_LOW` | Low Volatility | 1-2% | 1.5-2.5% | Grid / Mean reversion |
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| `VOL_NORMAL` | Normal Volatility | 2-3% | 2.5-4% | Trend following |
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| `VOL_HIGH` | High Volatility | 3-5% | 4-6% | Momentum / Breakout |
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| `VOL_EXTREME_HIGH` | Extreme High Vol | >5% | >6% | Reduce exposure / Hedge |
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---
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## 5. Complete State Encoding Rules
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### 5.1 Encoding Format
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```
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{Primary}_{Volatility}_{Phase}_{Position}
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```
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### 5.2 Encoding Examples
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| Full Code | Interpretation |
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|-----------|----------------|
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| `TU_LV_S3_M` | Uptrend_LowVol_MainWave_Middle |
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| `TD_HV_S2_L` | Downtrend_HighVol_Acceleration_Lower |
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| `RG_NV_SQ_U` | Range_NormalVol_Squeeze_Upper |
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| `BK_HV_UP_M` | Breakout_HighVol_Upward_Middle |
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---
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## 6. Core Identification Indicators
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### 6.1 Trend Indicators
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| Indicator | Calculation | Criteria |
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|-----------|-------------|----------|
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| ADX | 14-period Average Directional Index | >40 Strong, 25-40 Medium, <25 Weak/Range |
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| Trend Score | Composite EMA/MACD/Price structure | -100 to +100, Positive=Bullish, Negative=Bearish |
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| EMA Alignment | Relative position of EMA20/50/200 | Bullish/Bearish/Mixed alignment |
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### 6.2 Volatility Indicators
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| Indicator | Calculation | Purpose |
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|-----------|-------------|---------|
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| ATR Percent | ATR(14) / Current Price × 100% | Measure relative volatility |
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| BB Width | (Upper - Lower) / Middle × 100% | Measure price range |
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| Volatility Rank | Current vol percentile in history | Determine vol level |
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### 6.3 Momentum Indicators
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| Indicator | Calculation | Criteria |
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|-----------|-------------|----------|
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| RSI | 14-period Relative Strength Index | >70 Overbought, <30 Oversold, 50 Neutral |
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| MACD Histogram | MACD - Signal | Positive=Bullish momentum, Negative=Bearish |
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| Momentum Score | Composite RSI/MACD/Volume | Measure current momentum |
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### 6.4 Structure Indicators
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| Indicator | Description | Purpose |
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|-----------|-------------|---------|
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| Swing Structure | HH/HL/LH/LL sequence | Determine trend structure |
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| Support/Resistance | Key price levels | Define trading range |
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| Volume Profile | Volume-price relationship | Validate price action |
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---
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## 7. Strategy Matching Matrix
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### 7.1 Regime-Strategy Mapping
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| Regime Type | Recommended Strategy | Position Size | Stop Loss |
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|-------------|---------------------|---------------|-----------|
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| Strong Uptrend · Low Vol | Trend following + Pyramid | 60-80% | ATR×2 |
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| Strong Uptrend · High Vol | Momentum + Quick profit | 40-60% | ATR×1.5 |
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| Uptrend Exhaustion | Reduce + Reversal short | 20-30% | Previous high |
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| Panic Decline | Wait or light bottom fish | 10-20% | Wide stop |
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| Low Vol Range | Grid trading | 50-70% | Range boundary |
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| High Vol Range | Swing trading | 30-50% | ATR×2 |
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| Squeeze Pattern | Wait for breakout | 10-20% | - |
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| Upward Breakout | Chase + Add on pullback | 50-70% | Breakout level |
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| Bottom Formation | Scale in gradually | 20-40% | New low |
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### 7.2 Grid Strategy Parameter Matching
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| Range Type | Grid Levels | Grid Spacing | Other Parameters |
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|------------|-------------|--------------|------------------|
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| Tight Low Vol | 30-50 levels | Small spacing | Enable Maker Only |
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| Tight High Vol | 15-25 levels | Small spacing | Fast execution mode |
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| Wide Low Vol | 10-20 levels | Large spacing | Patient execution |
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| Wide High Vol | 15-25 levels | Large spacing | High profit targets |
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| Squeeze Pattern | Pause grid | - | Wait for breakout signal |
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| Upper Range | Short bias | Medium | Increase sell weight |
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| Lower Range | Long bias | Medium | Increase buy weight |
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---
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## 8. Real-time Monitoring Guidelines
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### 8.1 State Transition Triggers
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| Current State | Trigger Condition | Transitions To |
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|---------------|-------------------|----------------|
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| Range | Price breakout + Volume + ADX rising | Breakout |
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| Uptrend | RSI divergence + Volume decline | Exhaustion |
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| Downtrend | RSI divergence + Volume decline | Exhaustion |
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| Breakout | Failed breakout, price returns | Range |
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| Exhaustion | Confirmed reversal breakout | Opposite trend |
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### 8.2 Risk Control Rules
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| Regime State | Max Position | Risk Per Trade | Special Rules |
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|--------------|--------------|----------------|---------------|
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| Strong Trend | 80% | 2% | Adding allowed |
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| Weak Trend | 50% | 1.5% | No adding |
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| Range | 60% | 1% | Diversified holding |
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| Transition | 30% | 1% | Reduce activity |
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| High Volatility | 40% | 0.5% | Wide stops |
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---
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## 9. Appendix
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### 9.1 Abbreviation Reference
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| Abbrev | Full Form | Description |
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|--------|-----------|-------------|
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| TU | Trend Up | Upward trend |
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| TD | Trend Down | Downward trend |
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| RG | Range | Range-bound market |
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| TR | Transition | Trend transition |
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| BK | Breakout | Breakout pattern |
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| LV | Low Volatility | Low volatility regime |
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| HV | High Volatility | High volatility regime |
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| NV | Normal Volatility | Normal volatility regime |
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| XLV | Extreme Low Vol | Extremely low volatility |
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| XHV | Extreme High Vol | Extremely high volatility |
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### 9.2 Document Information
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- Version: v1.0
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- Created: January 2026
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- Applicable: Cryptocurrency, Forex, Stocks, and other financial markets
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---
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*This document is designed for market state identification and strategy matching in quantitative trading systems*
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