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
Skrip open-source
Dengan semangat TradingView yang sesungguhnya, pembuat skrip ini telah menjadikannya sebagai sumber terbuka, sehingga para trader dapat meninjau dan memverifikasi fungsinya. Salut untuk penulisnya! Meskipun Anda dapat menggunakannya secara gratis, perlu diingat bahwa penerbitan ulang kode ini tunduk pada Tata Tertib kami.
Pernyataan Penyangkalan
Informasi dan publikasi ini tidak dimaksudkan, dan bukan merupakan, saran atau rekomendasi keuangan, investasi, trading, atau jenis lainnya yang diberikan atau didukung oleh TradingView. Baca selengkapnya di Ketentuan Penggunaan.
Skrip open-source
Dengan semangat TradingView yang sesungguhnya, pembuat skrip ini telah menjadikannya sebagai sumber terbuka, sehingga para trader dapat meninjau dan memverifikasi fungsinya. Salut untuk penulisnya! Meskipun Anda dapat menggunakannya secara gratis, perlu diingat bahwa penerbitan ulang kode ini tunduk pada Tata Tertib kami.
Pernyataan Penyangkalan
Informasi dan publikasi ini tidak dimaksudkan, dan bukan merupakan, saran atau rekomendasi keuangan, investasi, trading, atau jenis lainnya yang diberikan atau didukung oleh TradingView. Baca selengkapnya di Ketentuan Penggunaan.