Better System Trader 165: Effective Market Regime Techniques - Cesar Alvarez
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Sep 21, 2020 Cesar Alvarez, an expert in quant-based trading strategies, shares effective Market Regime techniques to improve strategy performance and reduce risk. They discuss the impact of market regimes on trading strategies, using market filters and timing indicators, strategy failure in changing market conditions, preferred testing methods, and biases in the stock market based on the day of the week.
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Market Regimes
- Market regimes identify optimal trading conditions for strategies, minimizing volatility's impact.
- They help traders avoid unprofitable periods by classifying market states.
2008 Financial Crisis Experience
- Andrew Swanscott recounts a painful 2008 experience.
- He used leveraged CFDs with a mean reversion strategy during a market crash, highlighting market regime importance.
Classifying Market Regimes
- Classify market conditions using indicators like the 200-day moving average.
- Consider other metrics, but the 200-day moving average provides a clear bull/bear market distinction.