Post #3701 by anchak on the Mechanical Investing board

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RamC: You are correct!

A lot of the returns in the middle are noise and typically banded around a Zero-Mean.

One of the approaches I have tried in these cases is to actually ignore the data in the middle ( ie a thresholding or hysteresis as you call it) and then try to use a Classfier ( 2 group) - Now a lot will depend on the level of the threshold ( it also needn't be symmetric) - and consequently the model efficacy.

In fact based on Jim's pointers his Bottom Detector is of this class - ie Identifying Market Extremes at Market Sell-off. Is it enough or No - binary.

Best

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