Feature food for thought, detecting a state of breakouts makes breakouts more likely. We can see recently lots of jumps in this large cap coins chart. To define a regime you just use "past number of breakouts on rolling window" and not an HMM, keep it simple (and ensure you have control over how we define the regime). Standard breakout logic, perhaps some mix of strength of current bar + Bollinger bands. Then from there we need to detect the regime. It's not quite breakout, more barts. Ie we shoot up and then after 5 bars we exit. First two charts are from post 10/10 regime, another is from before it. Completely different behaviour.

Trust me bro this time the CNN LSTM strategy will make money

Retail imagines it as a big battle when really you could pick off most of retail using orderbook imbalance alpha, cross exchange awareness, and quoting around mid (as a base layer with a bit of alpha skew). It’s other trading firms you have to worry about.