Composite Market Regimes from Normalized Statistical Metrics
Summary
SmartPhase Analyzer combines selected normalized measures into a composite score intended to describe market conditions. The available measures include risk-adjusted performance, benchmark-relative statistics, price location, entropy, drawdown, and momentum ranking. Users can toggle metrics, choose lookback settings, and select a benchmark; the default benchmark is Bitcoin priced in US dollars. The score is the average of the included normalized measures.
The indicator compares the composite with its rolling mean and standard deviation to assign five states, from bullish through neutral to bearish, and displays these with a histogram, background color, and live label. This is a configurable classification tool rather than a specified entry-and-exit strategy. The document provides implementation details and intended interpretation, but no empirical validation or trading results. Metric definitions and normalization are delegated to an external library, and averaging metrics with differing meanings or directional implications may affect the regime labels; users would need to inspect those choices and test them for their application.
Key ideas
- The indicator averages enabled metrics after normalizing them over a chosen lookback.
- Its inputs include risk, benchmark-relative, price, entropy, drawdown, and momentum measures.
- Rolling mean and standard deviation thresholds divide the composite into five market regimes.
- A histogram, colored chart background, and label display the classification.
- The document presents no evidence that the regimes predict returns or improve trading results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.