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
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
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?