Conditional Parameter Optimization: Adapting Parameters to Changing Market Regimes via Machine Learning
Ernie Chan (noreply@blogger.com)
Every trader knows that there are market regimes
that are favorable to their strategies, and other regimes that are not. Some
regimes are obvious, like bull vs bear markets, calm vs choppy markets, etc.
These regimes affect many strategies and portfolios (unless they are
market-neutral or volatility-neutral portfolios) and are readily observable and
identifiable (but perhaps not predictable). Other regimes are more subtle, and
may only affect your specific strategy. Regimes may change every day,