CapitalFlowsResearch: Sensitivity Analysis

CapitalFlowsResearch: Sensitivity Analysis — Driver–Price Beta Gauge

CapitalFlowsResearch: Sensitivity Analysis is built to answer a very specific macro question:

“How sensitive is this price to moves in that driver, right now?”

The indicator compares bar-to-bar changes in a chosen “price” asset with a chosen “driver” (such as an equity index, yield, or cross-asset benchmark), and from that relationship derives a rolling measure of effective beta. That beta is then converted into a “band width” value, representing how much the price typically moves for a standardised shock in the driver, under current conditions.

You can choose whether the driver’s moves are treated in basis points, absolute terms, or percent changes, and optionally smooth the resulting band with a configurable moving average to emphasise structural shifts over noise. The two plotted lines—current band width and its moving average—form a simple yet powerful gauge of how tightly the price is currently “geared” to the driver.

In practice, this makes Sensitivity Analysis a compact tool for:

Tracking when a contract becomes more or less responsive to a key macro factor.

Comparing sensitivity across instruments or timeframes.

Framing expected move scenarios (“if the driver does X, this should roughly do Y”).

All of this is done without exposing the detailed beta or volatility math inside the script.