Market State Inputs

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    Ryan Olson

    Market State is more than volatility or trend.  It’s the general tendency, such as “Entering a Steady Trend” or “Volatility Increasing.”   Several values can be combined to produce a definitive Market State against which the GA can effect training.

    We create Super Inputs for Volatility, Trend, and Cycle are defined as:

    • Change in Volatility in a Range from 1 to 5
    • Change in Trend in a Range from 1 to 5
    • Cycle High/Low as a Range from 1 to 7
    • Create inputs that yield scalar values
    • Experiment with the number of bins on each given measurements.

    If Volatility is a “1”, Trend is a “2” and Cycle is “4”, the combined Market State is 124.  There are 75 States, ranging from 111 to 355.

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