What Is Regime filter?
In a trading strategy, a regime filter tells the current market regime.
The strategy should modify its behavior based on the direction of the markets
In a bull market make more aggressive bets
In a bear market - conserve cash and open more short positions
Some regime filters are
Bitcoin 200-days moving average - if we are above 200 days moving average cryptocurrencies are in a bull market
Machine learning based clustering
Market regime filter examples
See also