PARTIAL · risk gate
Hypothesis
BOCPD (Adams–MacKay) flags structural breaks in the return-generating process in near-real-time; cutting risk at a detected changepoint avoids regime-transition losses.
Math — run-length posterior
Recursively update the posterior over the current run length $r_t$:
$$ P(r_t\mid x_{1:t}) \propto \sum_{r_{t-1}} P(r_t\mid r_{t-1})\,P(x_t\mid r_{t-1})\,P(r_{t-1}\mid x_{1:t-1}) $$
Method
BOCPD with a Gaussian observation model and hazard $1/\lambda$ on volatility-standardized returns; de-risk when changepoint probability spikes.
Results
| Detection lag | 2–6 bars |
| Drawdown reduction (as gate) | −22% |
| Standalone signal | none |
Useful as a de-risking gate — it catches volatility-regime breaks a few bars in and trims drawdowns ~20% — but it generates no directional edge and lags by construction. Kept as a portfolio risk overlay.
Changepoint detectors are insurance, not alpha. Their value is cutting exposure into a regime break, accepting that "near-real-time" still means a few bars late.