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Regime Features

Regime features are computed by regime::FeatureExtractor. The feature list is configurable and supports normalization.

Feature Flow Diagram

flowchart LR
  A[Bars/OrderBooks] --> B[Feature Extractor]
  B --> C[Feature Vector]
  C --> D[Detector]

Supported Features

From include/regimeflow/regime/features.h:

  • Return
  • Volatility
  • Volume
  • LogReturn
  • VolumeZScore
  • Range
  • RangeZScore
  • VolumeRatio
  • VolatilityRatio
  • OnBalanceVolume
  • UpDownVolumeRatio
  • BidAskSpread
  • SpreadZScore
  • OrderImbalance
  • MarketBreadth
  • SectorRotation
  • CorrelationEigen
  • RiskAppetite

Normalization Modes

  • None
  • ZScore
  • MinMax
  • Robust

Normalization is controlled by normalize_features and normalization in the HMM config.