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VARIS (Volume Adjusted Risk Interval Structure) is a VWAP-centered auction framework designed to identify overextended market conditions, positional stress, and volatility-driven expansion away from fair value.
Rather than functioning as a traditional overbought/oversold indicator, VARIS models how far price can efficiently expand from volume-weighted value before liquidity conditions, volatility pressure, dealer hedging flows, or mean reversion behavior begin influencing auction structure.
The framework is built around dynamic Risk Intervals projected around VWAP:
Inner Risk Interval bands (0.5 RI) represent healthy expansion and trend acceptance zones
Outer Risk Interval bands (1.0 RI) represent elevated stress, exhaustion, and unstable auction territory
VARIS is not intended to predict exact reversals or generate mechanical entries. Instead, it provides contextual insight into:
Trend health vs exhaustion
Liquidity-driven expansion
Acceptance/rejection behavior outside value
Volatility displacement
Market imbalance conditions
Positional squeeze environments
Statistical extension from fair value
In balanced market conditions, price often rotates back toward VWAP after reaching expansion extremes. In strong momentum or gamma-driven environments, price may continue riding the inner expansion bands while VWAP itself rises or falls to re-establish equilibrium.
Persistent acceptance outside the outer Risk Interval bands typically reflects abnormal market conditions such as:
Momentum cascades
Dealer hedging pressure
Short squeeze dynamics
Passive flow dominance
Liquidity vacuum expansion
VARIS is best used alongside:
Volume profile
Market internals (TICK, ADD, VOLD)
Auction market theory
Liquidity mapping
Higher timeframe structure
Dealer positioning analysis
Rather than functioning as a traditional overbought/oversold indicator, VARIS models how far price can efficiently expand from volume-weighted value before liquidity conditions, volatility pressure, dealer hedging flows, or mean reversion behavior begin influencing auction structure.
The framework is built around dynamic Risk Intervals projected around VWAP:
Inner Risk Interval bands (0.5 RI) represent healthy expansion and trend acceptance zones
Outer Risk Interval bands (1.0 RI) represent elevated stress, exhaustion, and unstable auction territory
VARIS is not intended to predict exact reversals or generate mechanical entries. Instead, it provides contextual insight into:
Trend health vs exhaustion
Liquidity-driven expansion
Acceptance/rejection behavior outside value
Volatility displacement
Market imbalance conditions
Positional squeeze environments
Statistical extension from fair value
In balanced market conditions, price often rotates back toward VWAP after reaching expansion extremes. In strong momentum or gamma-driven environments, price may continue riding the inner expansion bands while VWAP itself rises or falls to re-establish equilibrium.
Persistent acceptance outside the outer Risk Interval bands typically reflects abnormal market conditions such as:
Momentum cascades
Dealer hedging pressure
Short squeeze dynamics
Passive flow dominance
Liquidity vacuum expansion
VARIS is best used alongside:
Volume profile
Market internals (TICK, ADD, VOLD)
Auction market theory
Liquidity mapping
Higher timeframe structure
Dealer positioning analysis
Nota Keluaran
- adjusted the globex opening-reset logic to properly work with indexes not based off ET timeNota Keluaran
updated coloring as well as language within the indicator settings to more clearly describes which field is for which distanceNota Keluaran
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Skrip sumber terbuka
Dalam semangat TradingView sebenar, pencipta skrip ini telah menjadikannya sumber terbuka, jadi pedagang boleh menilai dan mengesahkan kefungsiannya. Terima kasih kepada penulis! Walaupuan anda boleh menggunakan secara percuma, ingat bahawa penerbitan semula kod ini tertakluk kepada Peraturan Dalaman.
Penafian
Maklumat dan penerbitan adalah tidak bertujuan, dan tidak membentuk, nasihat atau cadangan kewangan, pelaburan, dagangan atau jenis lain yang diberikan atau disahkan oleh TradingView. Baca lebih dalam Terma Penggunaan.