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 open-source
Dans l'esprit TradingView, le créateur de ce script l'a rendu open source afin que les traders puissent examiner et vérifier ses fonctionnalités. Bravo à l'auteur! Bien que vous puissiez l'utiliser gratuitement, n'oubliez pas que la republication du code est soumise à nos Règles.
Clause de non-responsabilité
Les informations et publications ne sont pas destinées à être, et ne constituent pas, des conseils ou recommandations financiers, d'investissement, de trading ou autres fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.
Script open-source
Dans l'esprit TradingView, le créateur de ce script l'a rendu open source afin que les traders puissent examiner et vérifier ses fonctionnalités. Bravo à l'auteur! Bien que vous puissiez l'utiliser gratuitement, n'oubliez pas que la republication du code est soumise à nos Règles.
Clause de non-responsabilité
Les informations et publications ne sont pas destinées à être, et ne constituent pas, des conseils ou recommandations financiers, d'investissement, de trading ou autres fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.