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Regime

HOW-TO: Forecast Next-Bar Odds with Markov ProbCast🎯 Goal In 5 minutes, you’ll add Markov ProbCast to a chart, calibrate the “big-move” threshold θ for your instrument/timeframe, and learn how to read the next-bar probabilities and regime signals (🟩 Calm | 🟧 Neutral | 🟥 Volatile). 🧩 Add & basic setup Open any chart and timeframe you trade. Add Markov ProbCast — P(next-bar) Forecast Panel from the Public Library (search “Markov ProbCast”). Inputs (recommended starting point): • Returns: Log • Include Volume (z-score): On (Lookback = 60) • Include Range (HL/PrevClose): On • Rolling window N (transitions): 90 • θ as percent: start at 0.5% (we’ll calibrate next) • Freeze forecast at last close: On (stable readings) • Display: leave plots/partition/samples On 📏 Calibrate θ (2-minute method) Pick θ so the “>+θ” bucket truly flags meaningful bars for your market & timeframe. Try: • If intraday majors / large caps: θ ≈ 0.2%–0.6% on 1–5m; 0.3%–0.8% on 15–60m. • If high-vol crypto / small caps: θ ≈ 0.5%–1.5% on 1–5m; 0.8%–2.0% on 15–60m. Then watch the Partition row for a day: if the “>+θ” bucket is almost never triggered, lower θ a bit; if it’s firing constantly, raise θ. Aim so “>+θ” captures move sizes you actually care about. 📖 Read the panel (what the numbers mean) • P(next r > 0) : Directional tilt for the very next candle. • P(next r > +θ) : Odds of a “big” upside move beyond your θ. • P(next r < −θ) : Odds of a “big” downside move. • Partition (>+θ | 0..+θ | −θ..0 | <−θ): Four buckets that ≈ sum to 100%. • Next Regime Probs : Chance the market flips to 🟩 Calm / 🟧 Neutral / 🟥 Volatile next bar. • Samples : How many historical next-bar examples fed each next-state estimate (confidence cue). Note: Heavy calculations update on confirmed bars; with “Freeze” on, values won’t flicker intrabar. 📚 Two practical playbooks Breakout prep • Watch P(next r > +θ) trending up and staying elevated (e.g., > 25–35%). • A rising Next Regime: Volatile probability supports expansion context. • Combine with your trigger (structure break, session open, liquidity sweep). Mean-reversion defense • If already long and P(next r < −θ) lifts while Volatile odds rise, consider trimming size, widening stops, or waiting for a better setup. • Mirror the logic for shorts when P(next r > +θ) lifts. ⚙️ Tuning & tips • N=90 balances adaptivity and stability. For very fast regimes, try 60; for slower instruments, 120. • Keep Freeze at close on for cleaner alerts/decisions. • If Samples are small and values look jumpy, give it time (more bars) or increase N slightly. 🧠 Why this works (the math, briefly) We learn a 3-state regime and its transition matrix A (A = P(Sₜ₊₁=j | Sₜ=i)), estimate next-bar event odds conditioned on the next state (e.g., q_gt(j)=P(rₜ₊₁>+θ | Sₜ₊₁=j)), then forecast by mixing: P(event) = Σⱼ A · q(event | next=j). Laplace/Beta smoothing, per-state sample gating, and unconditional fallbacks keep estimates robust. ❓FAQ • Why do probabilities change across instruments/timeframes? Different volatility structure → different transitions and conditional odds. • Why do I sometimes see “…” or NA? Not enough recent samples for a next-state; the tool falls back until data accumulate. • Can I use it standalone? It’s a context/forecast panel—pair it with your entry/exit rules and risk management. 📣 Want more? If you’d like an edition with alerts , σ-based θ, quantile regime cutoffs, and a compact ribbon—or a full strategy that uses these probabilities for entries, filters, and sizing—please Like this post and comment “Pro” or “Strategy”. Your feedback decides what we release next.
CAPITALCOM:US500Education
by Algorific
The unknown obvious: fundamental state of a market...... of individual assets Is always a directional movement, never a range, mean-reversion or whatever you call it. It’s very easy to prove, you can divide every range by trends, but you can’t divide trends by ranges. Even with a help of some mental gymnastics and self-lies, by telling yourself, “I can divide this trend segment by several ranges one after another'', by continuing doing so, going higher and higher in resolutions, at some point you’ll reach ticks that can’t be divided further. Here you can say that every tick is a tiny range of its own. However, suddenly you remember that every tick is either up or down, which is a tiny trend of its own, and from this point you ‘really’ can’t divide it further. So, DSP mindset is conceptually wrong and not applicable to the markets, unless you're trading composite assets (pairs, spreads, whatever), where range IS the fundamental state. Market Is not a signal there’s no noise there lol , use DSP for music to make dope EQs and saturators, and use the real technical & real quantitative analysis for trading;
NYMEX:CL1!Education
by gorx1
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