curious what exactly you're referring to by market regime detection / classification, anything I've seen on this (several models from bulge sellside) has been backward looking and fairly useless.
My understanding of this is that you want to classify what all of the other traders are doing, basically. That is, intro investment discussions build on intrinsics of what you are trading. As you trade more, you also want to trade on the behavior of everyone else that is trading.
Sadly, all market discussions I've seen are always "backward looking" and fairly useless for most folks. High frequency trading is basically cheating by do much smaller forecasts that can be acted on quickly and profitably. But if you can't react fast enough, the information is effectively useless.
Is like knowing tomorrow's rain forecast when you are trying to plant for the season. It is of little help. Even if it is far more accurate than the year's forecast.
chollida1|2 years ago
Typically you’ll run one set of strategies in a bull market for a given Security and another in a sideways market and others in a bear market.
Keep in mind different securities can be in different regimes at the same time.
And the market in general can be in a different return from individual securities.
To detect regime change you typically model it as a hidden Markov process.
For back testing we typical pre-label the data by the regime that we know the market was in because we have the benefit of hindsight:
taeric|2 years ago
Sadly, all market discussions I've seen are always "backward looking" and fairly useless for most folks. High frequency trading is basically cheating by do much smaller forecasts that can be acted on quickly and profitably. But if you can't react fast enough, the information is effectively useless.
Is like knowing tomorrow's rain forecast when you are trying to plant for the season. It is of little help. Even if it is far more accurate than the year's forecast.