Market State Inputs

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.