Volume Weighted LR Standard Deviation

This indicator analyzes market character by decomposing total volatility into three distinct, interpretable components based on a Linear Regression model.

Key Features:

Three-Component Volatility Decomposition: The indicator separates volatility based on the 'Estimate Bar Statistics' option.

Standard Mode (Estimate Bar Statistics = OFF): Calculates volatility based on the selected Source (dies führt hauptsächlich zu 'Trend'- und 'Residual'-Volatilität).

Decomposition Mode (Estimate Bar Statistics = ON): The indicator uses a statistical model ('Estimator') to calculate within-bar volatility. (Assumption: In this mode, the Source input is ignored, and an estimated mean for each bar is used instead). This separates volatility into:

Trend Volatility (Green/Red): Volatility explained by the regression's slope (Momentum).

Residual Volatility (Yellow): Volatility from price oscillating around the regression line (Mean-Reversion).

Within-Bar Volatility (Blue): Volatility from the high-low range of each bar (Noise/Choppiness).

Dual Display Modes: The indicator offers two modes to visualize this decomposition:

Absolute Mode: Displays the total standard deviation as a stacked area chart, partitioned by the variance ratio of the three components.

Normalized Mode: Displays the direct variance ratio (proportion) of each component relative to the total (0-1), ideal for identifying the dominant market character.

Calculation Options:

Normalization: An optional 'Normalize Volatility' setting calculates an Exponential Regression Curve (log-space), making the analysis suitable for growth assets.

Volume Weighting: An option (Volume weighted) applies volume weighting to all regression and volatility calculations.

Multi-Component Pivot Detection: Includes a pivot detector that identifies significant turning points (highs and lows) in both the Total Volatility and the Trend Volatility Ratio. (Note: These pivots are only plotted when 'Plot Mode' is set to 'Absolute').

Note on Confirmation (Lag): Pivot signals are confirmed using a lookback method. A pivot is only plotted after the Pivot Right Bars input has passed, which introduces an inherent lag.

Multi-Timeframe (MTF) Capability:

MTF Volatility Lines: The volatility lines can be calculated on a higher timeframe, with standard options to handle gaps (Fill Gaps) and prevent repainting (Wait for...).

Limitation: The Pivot detection (Calculate Pivots) is disabled if a Higher Timeframe (HTF) is selected.

Integrated Alerts: Includes 9 comprehensive alerts for:

Volatility character changes (e.g., 'Character Change from Noise to Trend').

Dominant character emerging (e.g., 'Bullish Trend Character Emerging').

Total Volatility pivot (High/Low) detection.

Trend Volatility pivot (High/Low) detection.

DISCLAIMER

For Informational/Educational Use Only: This indicator is provided for informational and educational purposes only. It does not constitute financial, investment, or trading advice, nor is it a recommendation to buy or sell any asset.

Use at Your Own Risk: All trading decisions you make based on the information or signals generated by this indicator are made solely at your own risk.

No Guarantee of Performance: Past performance is not an indicator of future results. The author makes no guarantee regarding the accuracy of the signals or future profitability.

No Liability: The author shall not be held liable for any financial losses or damages incurred directly or indirectly from the use of this indicator.

Signals Are Not Recommendations: The alerts and visual signals (e.g., crossovers) generated by this tool are not direct recommendations to buy or sell. They are technical observations for your own analysis and consideration.