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.