From Regime Switching to Fuzzy Logic -SP500

In the previous post I showed how one can implement “regime” switching to create a strategy that switches between a mean-reverting and a momentum sub-strategy. Can we do something similar (or better) using Fuzzy Logic?   Here’s the setup: (here for some Fuzzy Logic backround) We create a basic membership function for the RSI(2) indicator: …

Read moreFrom Regime Switching to Fuzzy Logic -SP500