10 Ways to Define Market Regime, from Leo Jia
Generally, market regime has been simply defined as up, down, and sideways. Clearly that is not enough for all kinds of trades. I believe that there is at least one way to define market regime based on any type of trade one conducts. So market regime is really a relative term and can be defined in countless ways.
Here is a list of 10 ways I define it.
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based on past high-low vs multiples of ATR
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based on the position of current close vs past high-low
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based on change of price moving average
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based on standard deviation of closing prices vs. percent of closing price
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based on slope of linear regression
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based on change of ATR
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based on ATR vs percent of closing price
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based on sign of average returns
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based on average of abs(return) vs percent of closing price
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based on standard deviation of returns vs percent of closing price
Jim Sogi adds:
- Vol
- Liquidity
- Bar size
- Speed