Regime Changing

[etfarb]

At the end of the day you still have to make a buy/sell decision with that info. So what if it's a low vol mean reverting regime...are you going to sell rallies and buy dips hoping it continues or buy rallies and sell dips hoping it changes? HTH. [/B]

Thats pretty much what I do right now lol.

Right now my regime changing model for the stock market is based on arbitrage between vol (i.e. the vix).

It's a great little system but its not enough for someone who is trying to generate returns more than once or twice a month.

I'm trying to run some other ideas between stocks and bond regime switching.

Regime switching between sectors

Regime switching between highs and lows (things like using advance/decline issues)

Regime switching between how commodities may affect certain sectors

I'm rambling but I hae a bunch of ideas

 

[etfarb]

Quote from Wide Tailz:

The tape has always turned when POMO / QE was scheduled to end. Then it turned back up as a new schedule was released. This week marks the end of the current schedule, but Bernanke's testimony for keeping rates low for the indefinite future implies there is more to come....

So all you suckers calling the top, wait until they announce the suspension of QE. Otherwise you're all just contrary indicatorz

:eek:

I agree but theres more than what meets the eye to what pomo is doing or what the bernake and the boys in green are doing. This market is fragile.

Take a look at the price action 2 weeks ago. For the weeks leading up to it, good luck getting short, but that entire week volatility rose and everyone was off to the races. Case and point that was a shift in regime

 

[etfarb]

Quote from marketsurfer:

Niederhoffer's group has done extensive work regarding regime changes. That would be. Wise place to start.

Surf,

Niederhoffer is the man. He is hands down the best trader in the world period... I've read all of his books and frequently visit his blogs. He's very creative in his use of sentiment indicators. Do you have any books or specific resources you could recommend for someone who is looking to further explore regime changing?