DislikedHas anyone tried market switching model for strategy filtering with hidden markov model or any other ML methods? http://blog.revolutionanalytics.com/...ov-models.htmlIgnored
For example this one: http://countingpips.com/2015/10/iden...hine-learning/
When you take the picture of his results and add a few lines onto it you clearly see that the HMM simply thresholds the ATR. No need of a HMM to draw 2 horizontal lines on my ATR oscillator.
A good modelling of the various regimes is required to use HMM. Just "trend slope + returns variance" doesn't sound enough to me. With the same trend slope and the same variance of the returns you can get a nice waving trend or an ugly choppy market.
No greed. No fear. Just maths.