Regime Compass
One number for whether the session is expanding or pinning, from volatility rank, path efficiency and return persistence. It is price-derived context, not dealer gamma and not a signal.
What it does
Answers one question with one number: is this session expanding or pinning?
How it works
It blends three reads of price, each rescaled to the same −100…+100 axis, in a 40/35/25 mix:
- 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, and low means it is working the same area.
- Persistence: a variance ratio, the spread of n-bar returns against √n × the spread of 1-bar returns. Above 1 leans trending, below 1 leans mean-reverting.
Above the threshold it reads EXPANSION, and below the negative threshold it reads COMPRESSION. A higher-timeframe read of the same score is available for confluence.
How to use it
Use it as context, not as a signal. It says what kind of day you are in, not what to do about it.
Alerts
It alerts on a state change and on agreement with the higher timeframe.
Settings
Session · Regime engine (ATR length, percentile lookback, efficiency length, persistence length, threshold) · Display · Alerts
Limits
It is derived from price only. It is a proxy for expansion or compression. It is not dealer gamma and does not measure options positioning.
The rest of the suite
2 scripts form one system, with the same regime engine, panel and alert payload in each.