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.