Volume Sentiment Drift

Volume Sentiment Drift (VSD)
Quantitative Market Regime Identification

Overview
Volume Sentiment Drift (VSD) is a market-context indicator that measures the “ease of movement” in price by combining volume participation with price efficiency.
It classifies the current environment into persistent regimes to help traders assess whether conditions are strengthening, weakening, or balanced.
This tool provides context only and does not generate buy or sell signals.
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Quantitative Framework
The model evaluates three components:
Participation (Relative Volume)
Volume is normalized by its historical baseline to measure activity relative to the instrument’s own liquidity profile.
Price Efficiency
True Range is normalized by ATR to evaluate how efficiently price is progressing relative to volatility.
Persistence Engine
Standard deviation scaling and a hysteresis band are used to stabilize regime transitions and reduce flickering.
These components combine into a normalized Sentiment Drift value used to determine the current regime.
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Market Regimes (Context Only)
• ACCELERATING — improving efficiency relative to participation
• DECAYING — diminishing efficiency / potential absorption
• BALANCED — equilibrium within the neutral zone
These labels describe market conditions only and are not trading signals or recommendations.
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Key Features
• Volatility-adjusted normalization for cross-asset consistency
• Real-time dashboard summarizing current regime
• Dead-zone filtering to reduce noise
• Designed strictly as a context/filter tool
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How to Use
• Observe the regime to understand overall conditions
• Use the drift line to monitor participation strength
• Combine with your existing analysis or strategies
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Notes
• Confirmed-bar calculations only (no intentional lookahead)
• Works across most timeframes
• No alerts, entries, or exits
• Informational use only
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Disclaimer
Educational and informational purposes only.
This indicator does not provide financial advice. Trading involves risk.
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