OPEN-SOURCE SCRIPT
Tactical Regime Score v3 (Dynamic Adaptive)
Quant-Grade Market Regime Classification Engine
1. Executive Summary
Market "Regime" is the most critical yet often misunderstood variable in trading. Applying a trending strategy to a mean-reverting market is a mathematical death sentence. The Tactical Regime Score v3 (Dynamic Adaptive) is an institutional-grade tool that utilizes the Augmented Dickey-Fuller (ADF) Test logic to classify price action into two distinct physical states: Mean Reversion (Stationary) and Trending/Random Walk (Non-Stationary).
2. The Engine: How it Works
Unlike retail indicators that rely on lagged moving averages, this engine uses Ordinary Least Squares (OLS) Regression to calculate a normalized ADF-style statistic in real-time.
Stationarity Detection: It measures the "slope" of price changes relative to their lagged values. A negative slope indicates that price has a "restoring force" pulling it back to a mean (Stationarity).
Dynamic Adaptive Thresholding: Static thresholds are a "Retail Trap." Markets evolve; a stationary state in a low-volatility period looks different than one in a high-volatility period. This script uses Linear Interpolation Percentiles over a 500-bar lookback to determine a relative threshold for "restoring force," making it self-adjusting to current market conditions.
3. Key Features
Regime-Colorized Columns:
Green (Mean Reversion): The price is mathematically stationary. Statistical arbitrage and mean-reversion strategies (Oscillators, Mean Reversion Levels) are favored.
Red (Trending/Random): Price is non-stationary. Directional momentum or "Random Walk" dominates. Trend-following logic or breakout strategies are favored.
HV-Percentile Scoring: The height of the columns represents the Historical Volatility (HV) Percentile. A high score in a Red regime indicates a high-conviction trend; a high score in a Green regime indicates an overextended mean-reversion move.
Real-time Dashboard: Displays the raw ADF value, the current dynamic threshold, and the finalized Tactical Score for immediate situational awareness.
4. Tactical SOP (How to use)
Regime Filter: Check the column color before entering a trade.
If Green, do not chase breakouts; look for "Rubber Band" snaps back to the POC.
If Red, do not attempt to "pick tops" or "pick bottoms"; follow the momentum.
Confidence Check: * Score > 75 (High Confidence): Strong physical regime. Expect the current behavior (Trending or Reverting) to persist.
Score < 25 (Low Confidence): "Dead Zone." Market is indecisive. Market makers are usually range-bound.
ADF Scaled Line (White): Watch the interaction between the White Line and the Blue Threshold line. A cross below the threshold is the "Physical Event" that triggers the Green (Mean Reversion) state.
5. Technical Parameters
ADF Lookback: Controls the sensitivity of stationarity detection.
Adaptive Percentile (%): Determines how "strict" the system is before declaring a mean-reversion state. Higher values (35-40%) make the script more likely to turn green.
HV Window: Sets the lookback for the Historical Volatility ranking.
Publishing Instructions for TradingView:
Category: Select Volatility and Indicators.
Tags: Regime, ADF, Mean Reversion, Quantitative, Market Structure.
Description: Copy and paste the text above.
Note: Ensure your chart displays the indicator clearly with the dashboard visible in the screenshot.
This script is designed for traders who prioritize objective data over subjective intuition. Reality is cold; trade the numbers.
1. Executive Summary
Market "Regime" is the most critical yet often misunderstood variable in trading. Applying a trending strategy to a mean-reverting market is a mathematical death sentence. The Tactical Regime Score v3 (Dynamic Adaptive) is an institutional-grade tool that utilizes the Augmented Dickey-Fuller (ADF) Test logic to classify price action into two distinct physical states: Mean Reversion (Stationary) and Trending/Random Walk (Non-Stationary).
2. The Engine: How it Works
Unlike retail indicators that rely on lagged moving averages, this engine uses Ordinary Least Squares (OLS) Regression to calculate a normalized ADF-style statistic in real-time.
Stationarity Detection: It measures the "slope" of price changes relative to their lagged values. A negative slope indicates that price has a "restoring force" pulling it back to a mean (Stationarity).
Dynamic Adaptive Thresholding: Static thresholds are a "Retail Trap." Markets evolve; a stationary state in a low-volatility period looks different than one in a high-volatility period. This script uses Linear Interpolation Percentiles over a 500-bar lookback to determine a relative threshold for "restoring force," making it self-adjusting to current market conditions.
3. Key Features
Regime-Colorized Columns:
Green (Mean Reversion): The price is mathematically stationary. Statistical arbitrage and mean-reversion strategies (Oscillators, Mean Reversion Levels) are favored.
Red (Trending/Random): Price is non-stationary. Directional momentum or "Random Walk" dominates. Trend-following logic or breakout strategies are favored.
HV-Percentile Scoring: The height of the columns represents the Historical Volatility (HV) Percentile. A high score in a Red regime indicates a high-conviction trend; a high score in a Green regime indicates an overextended mean-reversion move.
Real-time Dashboard: Displays the raw ADF value, the current dynamic threshold, and the finalized Tactical Score for immediate situational awareness.
4. Tactical SOP (How to use)
Regime Filter: Check the column color before entering a trade.
If Green, do not chase breakouts; look for "Rubber Band" snaps back to the POC.
If Red, do not attempt to "pick tops" or "pick bottoms"; follow the momentum.
Confidence Check: * Score > 75 (High Confidence): Strong physical regime. Expect the current behavior (Trending or Reverting) to persist.
Score < 25 (Low Confidence): "Dead Zone." Market is indecisive. Market makers are usually range-bound.
ADF Scaled Line (White): Watch the interaction between the White Line and the Blue Threshold line. A cross below the threshold is the "Physical Event" that triggers the Green (Mean Reversion) state.
5. Technical Parameters
ADF Lookback: Controls the sensitivity of stationarity detection.
Adaptive Percentile (%): Determines how "strict" the system is before declaring a mean-reversion state. Higher values (35-40%) make the script more likely to turn green.
HV Window: Sets the lookback for the Historical Volatility ranking.
Publishing Instructions for TradingView:
Category: Select Volatility and Indicators.
Tags: Regime, ADF, Mean Reversion, Quantitative, Market Structure.
Description: Copy and paste the text above.
Note: Ensure your chart displays the indicator clearly with the dashboard visible in the screenshot.
This script is designed for traders who prioritize objective data over subjective intuition. Reality is cold; trade the numbers.
Open-source Skript
Ganz im Sinne von TradingView hat dieser Autor sein/ihr Script als Open-Source veröffentlicht. Auf diese Weise können nun auch andere Trader das Script rezensieren und die Funktionalität überprüfen. Vielen Dank an den Autor! Sie können das Script kostenlos verwenden, aber eine Wiederveröffentlichung des Codes unterliegt unseren Hausregeln.
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.
Open-source Skript
Ganz im Sinne von TradingView hat dieser Autor sein/ihr Script als Open-Source veröffentlicht. Auf diese Weise können nun auch andere Trader das Script rezensieren und die Funktionalität überprüfen. Vielen Dank an den Autor! Sie können das Script kostenlos verwenden, aber eine Wiederveröffentlichung des Codes unterliegt unseren Hausregeln.
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.