Bitcoin Regime Analysis, Part 2: What Each Feature Buys You

Volatility buys long regimes with no direction. Volume buys direction but halves regime length. Fractional differencing buys length back and destroys direction completely. Every one of those is a trade, not an improvement.

Bitcoin Regime Analysis, Part 1: What the Data Looks Like Before You Model It

Bitcoin’s returns are almost unpredictable in the mean, wildly structured in the variance, and nothing like a normal distribution. This is a walk through the checks that establish that, and why they point at Hidden Markov Models.