Our system design starts with the core principles outlined in the introduction: (1) we exploit different characteristics of markets by using a market‐regime‐switching method to take advantage of short‐term mean‐reversion in the bear regime, and deploy swing trading in the bull regime. Next, we will employ (2) non symmetrical trading algorithms for entries, exits and the regime specific trading algorithms. Every system component must be based on (3) volatility adaptive metrics so that it can handle changes in volatility over a long time span. Finally, we recognize that no regime switching model will be able to eliminate all false signals and each core system component must exhibit (4) robustness to regime whipsaws.
– from MR Swing
