Regime Compass [Markov]
What it does
Answers one question with one number: is this session expanding or pinning?
How it works
Three orthogonal reads of price, each rescaled to the same −100…+100 axis and
blended 40/35/25:
• Volatility percentile — ATR as a share of price, ranked against its own
history, so "high volatility" means high *for this instrument*.
• Efficiency ratio — net travel divided by total path over the lookback
(Kaufman). High means the market is going somewhere; low means it is
working the same area repeatedly.
• Persistence — a variance ratio: the standard deviation of n-bar returns
against √n × the standard deviation of 1-bar returns. Above 1 leans
trending, below 1 leans mean-reverting.
Above the threshold reads EXPANSION, below −threshold reads COMPRESSION.
A higher-timeframe read of the same score is available for confluence.
How to use it
As context, not as a signal. It says what kind of day you are in, not what to
do about it. The Markov strategies gate on this exact value — what you see
here is what they act on.
Settings Session · Regime engine (ATR length, percentile lookback,
efficiency length, persistence length, threshold) · Display · Alerts
Alerts State change; agreement with the higher timeframe.
Notes This is derived from price only. It is an expansion/compression
proxy — it is not dealer gamma and does not measure options positioning.
Context and education, not advice.
Answers one question with one number: is this session expanding or pinning?
How it works
Three orthogonal reads of price, each rescaled to the same −100…+100 axis and
blended 40/35/25:
• Volatility percentile — ATR as a share of price, ranked against its own
history, so "high volatility" means high *for this instrument*.
• Efficiency ratio — net travel divided by total path over the lookback
(Kaufman). High means the market is going somewhere; low means it is
working the same area repeatedly.
• Persistence — a variance ratio: the standard deviation of n-bar returns
against √n × the standard deviation of 1-bar returns. Above 1 leans
trending, below 1 leans mean-reverting.
Above the threshold reads EXPANSION, below −threshold reads COMPRESSION.
A higher-timeframe read of the same score is available for confluence.
How to use it
As context, not as a signal. It says what kind of day you are in, not what to
do about it. The Markov strategies gate on this exact value — what you see
here is what they act on.
Settings Session · Regime engine (ATR length, percentile lookback,
efficiency length, persistence length, threshold) · Display · Alerts
Alerts State change; agreement with the higher timeframe.
Notes This is derived from price only. It is an expansion/compression
proxy — it is not dealer gamma and does not measure options positioning.
Context and education, not advice.
Live multi-exchange order book depth, liquidation tracking & derivatives microstructure analytics -> usemarkov.com/
คำจำกัดสิทธิ์ความรับผิดชอบ
ข้อมูลและบทความไม่ได้มีวัตถุประสงค์เพื่อก่อให้เกิดกิจกรรมทางการเงิน, การลงทุน, การซื้อขาย, ข้อเสนอแนะ หรือคำแนะนำประเภทอื่น ๆ ที่ให้หรือรับรองโดย TradingView อ่านเพิ่มเติมใน ข้อกำหนดการใช้งาน
Live multi-exchange order book depth, liquidation tracking & derivatives microstructure analytics -> usemarkov.com/
คำจำกัดสิทธิ์ความรับผิดชอบ
ข้อมูลและบทความไม่ได้มีวัตถุประสงค์เพื่อก่อให้เกิดกิจกรรมทางการเงิน, การลงทุน, การซื้อขาย, ข้อเสนอแนะ หรือคำแนะนำประเภทอื่น ๆ ที่ให้หรือรับรองโดย TradingView อ่านเพิ่มเติมใน ข้อกำหนดการใช้งาน