SVD Market Regime Detection Framework

1 min read

Placeholder one-sentence summary of the SVD regime detection approach.

Regimes detected

Backtest Sharpe

1.8

Universe size

120+

Challenge

So I noticed regime shifts were getting buried in correlated noise across assets, and identified that traditional clustering was too slow to react when volatility spiked.

Solution

Built an online SVD pipeline that tracks dominant eigenvectors as regime fingerprints, with thresholds tuned on rolling validation windows.

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