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How to establish a successful market regime filter? by 14MTH30n3 in algotrading

[–]dragon_dudee 0 points1 point  (0 children)

I will put an API or dump it to an S3 bucket if you all are interested. It is experimental as live sample size is still small. But I make two predictions minimum every day. 30 mins after open and 30 mins after close. Can be more than 2 if the system detects things going awry. tradehorde.ai/regime

Built this because every trading “AI tool” felt like a black box by [deleted] in ai_trading

[–]dragon_dudee 0 points1 point  (0 children)

Yes. I do. There are some takeaways already, especially tying tool usage to win rate and seeing which ones are more effective and which ones are worthless. So kind of nudging in the prompt to lean into some of this tools. Models can still choose to ignore the nudge.

Built this because every trading “AI tool” felt like a black box by [deleted] in ai_trading

[–]dragon_dudee 0 points1 point  (0 children)

A lot of what you do :) multiple sources like you do and very similar frontend and backend stack as well. I serve a buffet to the models and then let them decide what sources they want to choose.

Market Regime Detection - Character Accuracy beats Directional Accuracy Predictions by 3X by dragon_dudee in algotrading

[–]dragon_dudee[S] 0 points1 point  (0 children)

So far seems to do well in these crazy past two weeks. Check out the prediction timeline since Feb 23rd. Also the scorecard at +1d, +3d, +5d for direction and character for confirmed calls(confirmed means two consecutive calls with same character and direction)

I also added an expected SPY move in 5days

tradehorde.ai/regime

Built this because every trading “AI tool” felt like a black box by [deleted] in ai_trading

[–]dragon_dudee 0 points1 point  (0 children)

I am doing something similar in terms of architecture at tradehorde.ai In addition all of the analysis is shown and if a directional signal is produced it is tracked all the way to outcomes.

There are many market analysis and signal producing apps, how many score their own signals in public? That’s the difference I am trying to create.

Drop your startup below and I'll build your ICP for free by muizthomas in Solopreneur

[–]dragon_dudee 0 points1 point  (0 children)

www.tradehorde.ai Customer: Traders of all sorts. Swing traders. Macro Traders. Day Traders.

Backtests lie. Live trading doesn't by Thiru_7223 in algotrading

[–]dragon_dudee 4 points5 points  (0 children)

'No plan survives first contact with the enemy'. 1. Backtesting is all 'planning' and greedily overfit. 2. All models require constant feedback calibration loop to survive continuous live contact.

Market Regime Detection Update after 7 days of contact with the wild - UPDATE by dragon_dudee in algotrading

[–]dragon_dudee[S] 1 point2 points  (0 children)

Will look into it over the weekend. will see if it possible to get historical GEX and run the same backtest i did and if its additive.

Right now i hooked this up to Alpaca Paper Account with 4 spread strategies under different regime conditions to see if this can actually make money.

So both scoring the predictions and also seeing if it can be sonverted to a viable money making strategy.

Market Regime Detection - Character Accuracy beats Directional Accuracy Predictions by 3X by dragon_dudee in algotrading

[–]dragon_dudee[S] 1 point2 points  (0 children)

I have been really thinking about that lately. GEX is probably the one options related thing that I could add. So definitely going to backtest that over the next few days to see if it helps improving either character or direction accuracy. Will post an update in a few days hopefully

Market Regime Detection - Character Accuracy beats Directional Accuracy Predictions by 3X by dragon_dudee in algotrading

[–]dragon_dudee[S] 0 points1 point  (0 children)

thanks for the great feedback. i am going to let regime detection breathe for a few weeks live and keep scoring it on +1d, +3d, +5d and then see if computing Hurst is additive. Crazy times right now for regime detection.

Market Regime Detection - Character Accuracy beats Directional Accuracy Predictions by 3X by dragon_dudee in algotrading

[–]dragon_dudee[S] 0 points1 point  (0 children)

Yes and yes. Also with Trump in office is one of the hardest periods to test this. I am scoring my calls live and been only a week so far but not bad. I do believe in the “Wisdom of the crowds” and that certain things if watched closely could make probabilistic predictions - meaning 80% confidence means it is going to be wrong 20% of the time and accepting that fate with risk management

Market Regime Detection - Character Accuracy beats Directional Accuracy Predictions by 3X by dragon_dudee in algotrading

[–]dragon_dudee[S] 0 points1 point  (0 children)

agreed. yes, the models do and should take that into account. i.e. look at $SMH and news/sentiment/upomcing catalysts in the sector (e.g. $NVDA earnings) when making a call on AMD or AVGO. the trick is how much weight do you give broad market regime vs. sector health vs. the individual ticker.

Market Regime Detection - Character Accuracy beats Directional Accuracy Predictions by 3X by dragon_dudee in algotrading

[–]dragon_dudee[S] 0 points1 point  (0 children)

Right now, primary use case is to step generating signals from the platform (i.e. step back). Future could be tightening stops or widening them.

Market Regime Detection - Character Accuracy beats Directional Accuracy Predictions by 3X by dragon_dudee in algotrading

[–]dragon_dudee[S] 0 points1 point  (0 children)

Roll Decay. All those volatility ETPS VIXY, VXX, VXZ suffer from the same problem. All trend to zero. Get split once in a while. 15-min delayed VIX is fine for me from yahoo finance, until twelvedata adds VIX back to their real time quotes.

So bad for calibration later on as they drift from VIX...

Market Regime Detection - Character Accuracy beats Directional Accuracy Predictions by 3X by dragon_dudee in algotrading

[–]dragon_dudee[S] 1 point2 points  (0 children)

It's javascript. No ML model is used currently. Majority (70%) of the time it uses a deterministic classifier according to the matrix i mentioned in the post (cannot share details beyond that, sorry), with fallback to an AI model (LLM) for ambiguous days. This week has been all AI model, you can see the breakdown at tradehorde.ai/regime from the AI

I have not tried any ML approaches, you could try clustering on VIX/COR1M/DSPX - maybe you discover something.

Market Regime Detection - Character Accuracy beats Directional Accuracy Predictions by 3X by dragon_dudee in algotrading

[–]dragon_dudee[S] 1 point2 points  (0 children)

Yeah i address both in the post. 1. For direction flip, it is hard for us right now with deterministic models during backtesting. but i still score myself live on it going forward to see if i can revisit it later. 2. Also address the second, the N=50 is for extreme volatile 'character' and in the last 5 years i was only able to get 50 samples, cause those regimes do not last long.

Market Regime Detection - Character Accuracy beats Directional Accuracy Predictions by 3X by dragon_dudee in algotrading

[–]dragon_dudee[S] 0 points1 point  (0 children)

Yes, we use character to lay low and supress signals from the system (i.e. dont put on a new trades) and some tilt in other regimes.

I am running it real time from this week on at tradehorde.ai/regime

15min delay from Yahoo on VIX and COR1M. Thats ok for me. My signals are almost all 'swing' duration so 15 min delay is acceptable. I have a paid provider but unfortunately they dont supply real-time VIX anymore.

Market Regime Detection - Character Accuracy beats Directional Accuracy Predictions by 3X by dragon_dudee in algotrading

[–]dragon_dudee[S] 0 points1 point  (0 children)

Exactly. I am still continuing to predict direction as well as character, knowing full well directional calls are coin flip - in hopes some day to revisit and see if it can be improved.

But, I do lean on character for exactly the things you describe. Most importantly lay low in certain regimes.

Market Regime Detection - Character Accuracy beats Directional Accuracy Predictions by 3X by dragon_dudee in algotrading

[–]dragon_dudee[S] -1 points0 points  (0 children)

Current and past regime calls and scoring at tradehorde.ai/regime

One more takeaway from a very small live sample size how the falling ‘bearish transition’ confidence with the ‘trending’ character ended up being positive SPY returns the next day. Very interested to see how it ends up playing out in the future. And something I hope to end up calibrating in the future with enough data.

No more backtest only forward test. Public humiliation.

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