OPEN-SOURCE SCRIPT
Обновлено Volume Weighted Volatility Regime
The Volume-Weighted Volatility Regime (VWVR) is a market analysis tool that dissects total volatility to classify the current market 'character' or 'regime'. Using a Linear Regression model, it decomposes volatility into Trend, Residual (mean-reversion), and Within-Bar (noise) components.
Key Features:
Seven-Stage Regime Classification: The indicator's primary output is a regime value from -3 to +3, identifying the market state:
+3 (Strong Bull Trend): High directional, upward volatility.
+2 (Choppy Bull): Moderate upward trend with noise.
+1 (Quiet Bull): Low volatility, slight upward drift.
0 (Neutral): No clear directional bias.
-1 (Quiet Bear): Low volatility, slight downward drift.
-2 (Choppy Bear): Moderate downward trend with noise.
-3 (Strong Bear Trend): High directional, downward volatility.
Advanced Volatility Decomposition: The regime is derived from a three-component volatility model that separates price action into Trend (momentum), Residual (mean-reversion), and Within-Bar (noise) variance. The classification is determined by comparing the 'Trend' ratio against the user-defined 'Trend Threshold' and 'Quiet Threshold'.
Dual-Level Analysis: The indicator analyzes market character on two levels simultaneously:
Inter-Bar Regime (Background Color): Based on the main StdDev Length, showing the overall market character.
Intra-Bar Regime (Column Color): Based on a high-resolution analysis within each single bar ('Intra-Bar Timeframe'), showing the micro-structural character.
Calculation Options:
Statistical Model: The 'Estimate Bar Statistics' option (enabled by default) uses a statistical model ('Estimator') to perform the decomposition. (Assumption: In this mode, the Source input is ignored, and an estimated mean for each bar is used instead).
Normalization: An optional 'Normalize Volatility' setting calculates an Exponential Regression Curve (log-space).
Volume Weighting: An option (Volume weighted) applies volume weighting to all volatility calculations.
Multi-Timeframe (MTF) Capability: The entire dual-level analysis can be run on a higher timeframe (using the Timeframe input), with standard options to handle gaps (Fill Gaps) and prevent repainting (Wait for...).
Integrated Alerts: Includes 22 comprehensive alerts that trigger whenever the 'Inter-Bar Regime' or the 'Intra-Bar Regime' crosses one of the key thresholds (e.g., 'Regime crosses above Neutral Line'), or when the 'Intra-Bar Dominance' crosses the 50% mark.
Caution: Real-Time Data Behavior (Intra-Bar Repainting) This indicator uses high-resolution intra-bar data. As a result, the values on the current, unclosed bar (the real-time bar) will update dynamically as new intra-bar data arrives. This behavior is normal and necessary for this type of analysis. Signals should only be considered final after the main chart bar has closed.
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.
Key Features:
Seven-Stage Regime Classification: The indicator's primary output is a regime value from -3 to +3, identifying the market state:
+3 (Strong Bull Trend): High directional, upward volatility.
+2 (Choppy Bull): Moderate upward trend with noise.
+1 (Quiet Bull): Low volatility, slight upward drift.
0 (Neutral): No clear directional bias.
-1 (Quiet Bear): Low volatility, slight downward drift.
-2 (Choppy Bear): Moderate downward trend with noise.
-3 (Strong Bear Trend): High directional, downward volatility.
Advanced Volatility Decomposition: The regime is derived from a three-component volatility model that separates price action into Trend (momentum), Residual (mean-reversion), and Within-Bar (noise) variance. The classification is determined by comparing the 'Trend' ratio against the user-defined 'Trend Threshold' and 'Quiet Threshold'.
Dual-Level Analysis: The indicator analyzes market character on two levels simultaneously:
Inter-Bar Regime (Background Color): Based on the main StdDev Length, showing the overall market character.
Intra-Bar Regime (Column Color): Based on a high-resolution analysis within each single bar ('Intra-Bar Timeframe'), showing the micro-structural character.
Calculation Options:
Statistical Model: The 'Estimate Bar Statistics' option (enabled by default) uses a statistical model ('Estimator') to perform the decomposition. (Assumption: In this mode, the Source input is ignored, and an estimated mean for each bar is used instead).
Normalization: An optional 'Normalize Volatility' setting calculates an Exponential Regression Curve (log-space).
Volume Weighting: An option (Volume weighted) applies volume weighting to all volatility calculations.
Multi-Timeframe (MTF) Capability: The entire dual-level analysis can be run on a higher timeframe (using the Timeframe input), with standard options to handle gaps (Fill Gaps) and prevent repainting (Wait for...).
Integrated Alerts: Includes 22 comprehensive alerts that trigger whenever the 'Inter-Bar Regime' or the 'Intra-Bar Regime' crosses one of the key thresholds (e.g., 'Regime crosses above Neutral Line'), or when the 'Intra-Bar Dominance' crosses the 50% mark.
Caution: Real-Time Data Behavior (Intra-Bar Repainting) This indicator uses high-resolution intra-bar data. As a result, the values on the current, unclosed bar (the real-time bar) will update dynamically as new intra-bar data arrives. This behavior is normal and necessary for this type of analysis. Signals should only be considered final after the main chart bar has closed.
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.
Информация о релизе
2026-02-01 0.2.0(Mod) Updated libraries LibTmFr, LibWght, and LibBrSt to their latest versions.
(Mod) Refactored logic: Regime derivation moved to main scope using raw variances for MTF accuracy.
(Fix) Adjusted to changed return signature (Trend/Residual order) in LibWght v2.
(Ref) Renamed color inputs (added 'Clr' suffix) to align with naming conventions.
(Add) Added runtime error check for non-positive prices when using 'Normalize' (Log-Mode).
(Ref) Refactored stable array initialization in the multi-timeframe conversion logic.
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Скрипт с открытым кодом
В истинном духе TradingView, создатель этого скрипта сделал его открытым исходным кодом, чтобы трейдеры могли проверить и убедиться в его функциональности. Браво автору! Вы можете использовать его бесплатно, но помните, что перепубликация кода подчиняется нашим Правилам поведения.
Отказ от ответственности
Информация и публикации не предназначены для предоставления и не являются финансовыми, инвестиционными, торговыми или другими видами советов или рекомендаций, предоставленных или одобренных TradingView. Подробнее читайте в Условиях использования.