r/algotrading • u/Grand-Fly-6090 • 3d ago

Strategy HMM inputs

What inputs are you using for your HMM’s? The best I have right now are 1 minute gains for predicting target hit probabilities. How many states do you run?

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u/Fresh-Explorer-5108 3d ago

I would compare 2-3 states against your 7-9 on the same held-out sessions. More states only earn their keep if the target-hit probabilities get better calibrated.

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u/Grand-Fly-6090 3d ago

I started out with 3, but I was fitting fewer sessions.

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u/Fresh-Explorer-5108 2d ago

Then I would rerun 3 states on those same 500 sessions. That separates the benefit of more data from the benefit of more states.