Regime Changes and Their Impact on Quant Strategy by Michael Harris [WEBINAR]

2 min read



THURSDAY, OCTOBER 8, 2020

8:30 AM ET | 6:00 PM IST | 8:30 PM SGT


#10YEARSOFQUANTINSTI

As they say, knowledge is the greatest gift in life. While celebrating our 10 years of existence, we’ve planned this series to thank our community. We are thankful to you from the bottom of our heart for showing the love & support in our journey over the years!


About the session

The presentation introduces the notions of market complexity and reflexivity. It covers details of specific regime changes in U.S. equity markets and elsewhere.

Michael talks about how regime changes affect strategy development and what traders could do to minimize the impact in terms of data and strategy mix.

The tutorial is practical in nature that attendees can reproduce on their systems. Amibroker is used for analysis during the webinar, and the Python code is available for download for post-session practice.

Michael also provides the code of a new indicator that he has developed to measure momentum and mean-reversion dynamic state changes of the market.

The attendees received a free pdf book that Michael has authored and that was published in 2008 by Wiley.


Resources

Pseudo and AFL code: https://www.priceactionlab.com/Blog/2015/08/momersion-indicator/

Complete Momersion Indicator code: Available in the download at the end of this article.

Links to articles related to this presentation and a link to the free book "Profitability and Systematic Trading" (2008, Wiley): https://www.priceactionlab.com/Blog/Quantinsti


Speaker Profile

Dr Michael Harris

Michael Harris

Quant Trader, Price Action Lab Blog

Michael Harris started trading commodity and currency futures 30 years ago.

He is the author of the books:

  • Short-Term Trading with Price Patterns (1999)
  • Stock Trading Techniques Based On Price Patterns (2000)
  • Profitability and Systematic Trading (2008) and
  • Fooled By Technical Analysis: The perils of charting, backtesting and data-mining (2015)

Michael is the author of Price Action Lab Blog and developer of DLPAL software. Michael holds two master’s degrees, one in Mechanical Engineering from SUNY at Buffalo with emphasis in control systems and optimization and another in Operations Research from Columbia University with emphasis in forecasting and financial engineering.


File in the download:

  • Momersion Indicator python code