Trade Using Market Regimes?
Interest in trading multiple strategies via predictive market regimes, henceforth referred to as regime trading, is exploding since the teaser Quantivity post on a Market Regime Dashboard.
A quick poll of readers to help tailor future Quantivity posts: are you interested in regime trading, including any of the following: analysis, algorithms, full systems, and/or daily trading lists—along the lines introduced in the following posts and papers? If so, please comment or reply privately (all replies will be kept strictly confidential).
Interest in regime trading is building across the blogosphere (echoing Quantivity readers’ comments), such as:
- Creating the Adaptive Time Machine by CSS Analytics
- Multi-Strategy Trading with Regimes by Hack the Market
- On the Drawing Board (Revisited), including Combining Strategies and Timing the Strategy ideas, by MarketSci
Along with a bevy of fairly pedestrian recent academic work, such as:
- Multi-Strategy Trading Utilizing Market Regimes by Mlnarık, Ramamoorthy, and Savani (including slides and video from Advances in Machine Learning for Computational Finance Workshop, London, 20-21 July 2009)
- Dynamic Regimes of a Multi-agent Stock Market Model by Yu and Li
- Market-Neutral Portfolio of Trading Strategies as Universal Indicator of Market Micro-Regimes: From Rare-Event Forecasting to Single-Example Learning of Emerging Patterns by Gavrishchaka and Bykov
Given the notable algorithmic and quantitative challenges of regime trading, this is a topic tailored made for Quantivity. Speak out now if you are interested.