Can the concept of turbulence in physics be applied to financial markets? It could be. We did a small test and it does appear to be helpful (summary).
There are some instruments for which it works in some regimes…
… and fail in trending markets.
The biggest problem with the entire approach was the sheer number of parameters that needed to be specified. There are no “right” ones and you will almost always overfit.
And walkforwards fell apart.
Its a promising approach to be revisited once we have more material to work with.
Code, charts and summaries on github.