OPEN-SOURCE SCRIPT
Volatility Regime (Latest) New!
This indicator is designed to separate two different market concepts: volatility regime and price displacement.
The main visualization focuses on Volatility Regime, calculated from the standard deviation of log returns over a selected lookback period. The result is ranked against its own historical distribution using a rolling percentile filter, allowing the market to be classified into Low, Mid, or High Volatility regimes without assuming a normal distribution.
A secondary reference metric, Price Displacement, is also included. It measures how far the current price is from its rolling mean using a price z-score. This helps identify whether price is extended from its local average, while keeping it separate from the main volatility regime logic.
Core concept:
* Volatility Regime measures how unstable returns are.
* Price Displacement measures how far price is from its mean.
* Rolling percentile ranking is used to classify regimes empirically.
* The model does not assume that market returns follow a normal distribution.
This tool is intended for regime awareness, risk context, volatility filtering, and market condition analysis. It should not be used as a standalone buy or sell signal.
P-Value
The main visualization focuses on Volatility Regime, calculated from the standard deviation of log returns over a selected lookback period. The result is ranked against its own historical distribution using a rolling percentile filter, allowing the market to be classified into Low, Mid, or High Volatility regimes without assuming a normal distribution.
A secondary reference metric, Price Displacement, is also included. It measures how far the current price is from its rolling mean using a price z-score. This helps identify whether price is extended from its local average, while keeping it separate from the main volatility regime logic.
Core concept:
* Volatility Regime measures how unstable returns are.
* Price Displacement measures how far price is from its mean.
* Rolling percentile ranking is used to classify regimes empirically.
* The model does not assume that market returns follow a normal distribution.
This tool is intended for regime awareness, risk context, volatility filtering, and market condition analysis. It should not be used as a standalone buy or sell signal.
P-Value
Script de código abierto
Fiel al espíritu de TradingView, el creador de este script lo ha convertido en código abierto, para que los traders puedan revisar y verificar su funcionalidad. ¡Enhorabuena al autor! Aunque puede utilizarlo de forma gratuita, recuerde que cualquier republicación del código está sujeta a nuestras Normas internas.
Exención de responsabilidad
La información y las publicaciones no constituyen, ni deben considerarse como, asesoramiento o recomendaciones financieras, de inversión, de trading u otro tipo, proporcionadas o respaldadas por TradingView. Obtenga más información en Condiciones de uso.
Script de código abierto
Fiel al espíritu de TradingView, el creador de este script lo ha convertido en código abierto, para que los traders puedan revisar y verificar su funcionalidad. ¡Enhorabuena al autor! Aunque puede utilizarlo de forma gratuita, recuerde que cualquier republicación del código está sujeta a nuestras Normas internas.
Exención de responsabilidad
La información y las publicaciones no constituyen, ni deben considerarse como, asesoramiento o recomendaciones financieras, de inversión, de trading u otro tipo, proporcionadas o respaldadas por TradingView. Obtenga más información en Condiciones de uso.