OPEN-SOURCE SCRIPT
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
________________________________________
Notes
• Confirmed-bar calculations only (no intentional lookahead)
• Works across most timeframes
• No alerts, entries, or exits
• Informational use only
________________________________________
Disclaimer
Educational and informational purposes only.
This indicator does not provide financial advice. Trading involves risk.
________________________________________
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.
________________________________________
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.
________________________________________
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.
________________________________________
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
________________________________________
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
________________________________________
Notes
• Confirmed-bar calculations only (no intentional lookahead)
• Works across most timeframes
• No alerts, entries, or exits
• Informational use only
________________________________________
Disclaimer
Educational and informational purposes only.
This indicator does not provide financial advice. Trading involves risk.
________________________________________
Script open-source
Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.
Script open-source
Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.