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

Elon will hide this because I mentioned the s word. Very high signal post

Ever since I read this book as a kid I knew I was destined to run cross sectional strategies harvesting returns in excess of the market