In doing some more research on regimes and their discovery, I happened across a really excellent blog called Quantivity. The author (who remains anonymous AFAIK) started looking at regime discovery in mid/late 2009 and has published a series of posts over time on the topic as he/she surveys the area. This one: http://quantivity.wordpress.com/2010...ime-discovery/ has this bit:

An alternative approach is trying to build regime discovery models which quantitatively identify regimes early in their formation, and probabilistically inform how to trade ahead of the herd (whether by seconds or days).
Other posts in this series touch on identifying regimes through changes in the relationships between volatility and price ranges. From what I've been reading, regimes are usually considered either mean-reverting or trend-following; some people also use an "unknown" or "indeterminate" third regime type.

To me this recalls a number of things discussed here:

1) The 20DMF attempts to find accumulation/distribution that causes price movements off of an equilibrium, especially when prices have been stable for a while (i.e. early hints of a regime change). Pascal has said that this signal is most useful when occurring after some period of consolidation (i.e. a "mean reversion" regime).
2) ATR (which Pascal has said is a good measure of short-term volatility) is a key input to the robots, in choosing the statistical tables to use (thanks Pascal again for the diagrams) and probably other ways
3) Extremes of OB/OS also appear to help foretell regime changes, at least when rebounding from extreme negative
4) ATR is also a key input to the exit strategy

I also manually marked up a chart of IWM with the robot calls and found that in most cases, the IWM robot was frequently accurate at anticipating or being fairly early in joining regime changes, either in terms of entry or exit (in the case of a signal change causing an exit).

What is further more amazing is how well the robot navigated the extreme volatility in Aug-Oct 2011 which seems clearly a very different type of regime from anything before July. The one question in my mind is whether its success during this recent volatile period was maybe somewhat accidental (I don't remember whether most of these signals were based on short term edges or not).

Of course, my reading of whether a regime change occurred or not could well be off the mark, as there is not really any definite agreement on when such a thing occurs.

-Mike