Trading Catechism

Looks like the regime shifts are the peaks to troughs, i.e. your distribution encompasses many subtle (Gaussian) distributions each of which could be thought of as it's own regime. Trading would be done within the regime i.e. bouncing off the S/R levels. Once a S/R level is broken it could be thought of moving to a new regime.
 
runtrader said:
Looks like the regime shifts are the peaks to troughs, i.e. your distribution encompasses many subtle (Gaussian) distributions each of which could be thought of as it's own regime. Trading would be done within the regime i.e. bouncing off the S/R levels. Once a S/R level is broken it could be thought of moving to a new regime.
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Exactly
 
By far the most important paper I have ever read on the markets is this. I bought the book and actually understood everything before I even read any of it by just reading the table of contents:

http://bactra.org/reviews/physics-of-finance/

The one thing he is missing is the Lie Algebra gives the dynamics of the interaction terms or relations between the gauge fields. Although, he uses "The least action principle" which by Noether's theorem can be restated in Lie Algebra language.

Chartists take heart by this quote:

"...It even explains why pieces of technical analysis that look little better than voodoo can work over short time horizons, while the long run looks comfortingly close to the efficient market hypothesis..."
 
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Shocks:

United States
=========
  • Change in Non-Farm Payrolls
  • Unemployment Rate
  • Trade Balance
  • GDP, QoQ % ann.
  • Retail Sales ex-Autos, MoM %
  • ISM Non-manufacturing
  • CB Consumer Confidence
  • ISM Manufacturing
  • TICS Net Portfolio Flows
  • Chicago PMI
  • Durable Goods Orders, MoM %
  • New Home Sales
  • Core CPI, MoM %
  • Empire Manufacturing PMI
  • Industrial Production, MoM %
  • Philadelphia Fed Business Conditions
  • UoM Consumer Con...dence
  • Housing Starts
  • Initial Jobless Claims
Euro Area
======
  • German IFO Survey
  • German ZEW Survey
  • German GDP, QoQ %
  • Euro-Zone Core CPI, YoY %
  • German Factory Orders, MoM %
  • German Industrial Production, MoM %
  • Italy Business Confidence
  • Euro-Zone Economic Confidence Index
  • Euro-Zone M3, YoY %
  • France Consumer Spending, MoM %
  • German Retail Sales, YoY %
  • Euro-Zone Consumer Confidence Index
  • France INSEE Business Confidence
  • Euro-Zone Industrial Confidence Index
 
Notice how accurate your database has to be. You need a news source "table" where all the news is automatically entered so that later when doing regime analysis on high frequency data reaction to shocks, you can begin to get a quantitative analysis of events.

There are people just dedicated to databasing feeds at institutions. I am nearly done with mine.
 
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