Momentum & Range Regimes – Adding & Conserving Alpha

In our latest research article we expand the regime framework we have previously used to predict volatility and liquidity regimes, and apply it to price direction. Using a novel machine learning method, we categorise the market into Momentum (up or down) and Range regimes, and demonstrate applications of the regime predictions to both alpha generation, and also alpha conservation. The latter is done via the comparison of execution performance in the different regimes, with Range regimes generally demonstrating lower spread costs.

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