VOLATILITY REGIME FILTER Гайд по трейдингу

The Volatility Regime Filter — это квантитативный инструмент технического анализа. Volatility Regime Filter (VRF) Meta-filter indicator that identifies the current market volatility regime. Does NOT generate trade signals on its own — designed to FILTER signals

Что показывает индикатор?

• Структура рынка и импульс: Визуализирует преобладающие направления тренда и ключевые зоны разворота.
• Сигналы ПОКУПКА / ПРОДАЖА: Отмечает подтвержденные точки входа и выхода на основе алгоритмических правил.
• Динамические границы: Предоставляет адаптивные уровни для управления рисками и целями сделки.

Ключевые настройки

• ATR Длина (atrLen): Controls the calculation period and sensitivity for market detection.
• Price EMA Длина (emaLen): Controls the calculation period and sensitivity for market detection.
• Percentile Lookback (lookback): Controls the calculation period and sensitivity for market detection.
• Signal EMA Длина (signalLen): Controls the calculation period and sensitivity for market detection.
• Low Vol Порог (lowThresh): Controls the calculation period and sensitivity for market detection.
• High Vol Порог (highThresh): Controls the calculation period and sensitivity for market detection.
• Show Signal Line (showSignal): Controls the calculation period and sensitivity for market detection.
• Show Regime Zones (showZones): Controls the calculation period and sensitivity for market detection.
• Show Regime Labels (showLabels): Controls the calculation period and sensitivity for market detection.
• Signal EMA 2 Длина (ema2Len): Controls the calculation period and sensitivity for market detection.
• Directional Efficiency Длина (trendLen): Controls the calculation period and sensitivity for market detection.
• Flat Efficiency Порог (flatEfficiencyThresh): Controls the calculation period and sensitivity for market detection.
• Vol Score Line (scoreLine): Controls the calculation period and sensitivity for market detection.
• Signal Line (signalLine): Controls the calculation period and sensitivity for market detection.
• Signal EMA 2 Line (ema2Line): Controls the calculation period and sensitivity for market detection.
• Low Vol Bars (lowVol): Controls the calculation period and sensitivity for market detection.
• Normal Vol Bars (normalVol): Controls the calculation period and sensitivity for market detection.
• High Vol Bars (highVol): Controls the calculation period and sensitivity for market detection.
• Low Zone Fill (lowZoneFill): Controls the calculation period and sensitivity for market detection.
• High Zone Fill (highZoneFill): Controls the calculation period and sensitivity for market detection.
• Low Порог (lowThreshLine): Controls the calculation period and sensitivity for market detection.
• High Порог (highThreshLine): Controls the calculation period and sensitivity for market detection.
• Regime Up Marker (regimeUp): Controls the calculation period and sensitivity for market detection.
• Regime Down Marker (regimeDown): Controls the calculation period and sensitivity for market detection.
• Vol Score (volScore): Controls the calculation period and sensitivity for market detection.
• Hidden Vol (_volScore): Controls the calculation period and sensitivity for market detection.
• Signal (smoothScore): Controls the calculation period and sensitivity for market detection.
• Signal EMA 2 (ema2Score): Controls the calculation period and sensitivity for market detection.
• Norm ATR (normAtr): Controls the calculation period and sensitivity for market detection.
• Directional Efficiency (trendEfficiency): Controls the calculation period and sensitivity for market detection.
• Regime (1/2/3) (regime): Controls the calculation period and sensitivity for market detection.
• Volatility Score (volScore): Controls the calculation period and sensitivity for market detection.
• Smooth Signal (smoothScore): Controls the calculation period and sensitivity for market detection.
• Signal EMA 2 (ema2Score): Controls the calculation period and sensitivity for market detection.
• Directional Efficiency (trendEfficiency): Controls the calculation period and sensitivity for market detection.
• Regime Level (regime): Controls the calculation period and sensitivity for market detection.
• Is Low Volatility (isLowVol): Controls the calculation period and sensitivity for market detection.
• Is Normal Volatility (isNormalVol): Controls the calculation period and sensitivity for market detection.
• Is Directional (isDirectional): Controls the calculation period and sensitivity for market detection.
• Is High Volatility (isHighVol): Controls the calculation period and sensitivity for market detection.
• Vol Regime Increase (regimeChangeUp): Controls the calculation period and sensitivity for market detection.
• Vol Regime Decrease (regimeChangeDown): Controls the calculation period and sensitivity for market detection.
• Vol Expanding (volExpanding): Controls the calculation period and sensitivity for market detection.
• Vol Contracting (volContracting): Controls the calculation period and sensitivity for market detection.

Как использовать параметры стратегии (Condition Source)

В модуле Strategy Tester этот индикатор можно использовать как прямой источник сигналов, так и в качестве фильтра состояния рынка.

1. События сигналов

• isLowVol - Is Low Volatility event signal.
• isNormalVol - Is Normal Volatility event signal.
• isDirectional - Is Directional event signal.
• isHighVol - Is High Volatility event signal.
• regimeChangeUp - Vol Regime Increase event signal.
• regimeChangeDown - Vol Regime Decrease event signal.
• volExpanding - Vol Expanding event signal.
• volContracting - Vol Contracting event signal.

2. Фильтры и торговые уровни

• atrLen - ATR Длина value used for structural qualification or thresholds.
• emaLen - Price EMA Длина value used for structural qualification or thresholds.
• lookback - Percentile Lookback value used for structural qualification or thresholds.
• signalLen - Signal EMA Длина value used for structural qualification or thresholds.
• lowThresh - Low Vol Порог value used for structural qualification or thresholds.
• highThresh - High Vol Порог value used for structural qualification or thresholds.
• showSignal - Show Signal Line value used for structural qualification or thresholds.
• showZones - Show Regime Zones value used for structural qualification or thresholds.
• showLabels - Show Regime Labels value used for structural qualification or thresholds.
• ema2Len - Signal EMA 2 Длина value used for structural qualification or thresholds.
• trendLen - Directional Efficiency Длина value used for structural qualification or thresholds.
• flatEfficiencyThresh - Flat Efficiency Порог value used for structural qualification or thresholds.
• volScore - Vol Score value used for structural qualification or thresholds.
• _volScore - Hidden Vol value used for structural qualification or thresholds.
• smoothScore - Signal value used for structural qualification or thresholds.
• ema2Score - Signal EMA 2 value used for structural qualification or thresholds.
• normAtr - Norm ATR value used for structural qualification or thresholds.
• trendEfficiency - Directional Efficiency value used for structural qualification or thresholds.
• regime - Regime (1/2/3) value used for structural qualification or thresholds.
• volScore - Volatility Score value used for structural qualification or thresholds.
• smoothScore - Smooth Signal value used for structural qualification or thresholds.
• ema2Score - Signal EMA 2 value used for structural qualification or thresholds.
• trendEfficiency - Directional Efficiency value used for structural qualification or thresholds.
• regime - Regime Level value used for structural qualification or thresholds.

Пример стратегии: Вход в лонг, когда buySignal == true и trendFilter == 1, что гарантирует соответствие сделок основному импульсу рынка.