Institutional ROC + Z-Score Heatmap

Institutional ROC + Z-Score Heatmap
Identifies statistically significant daily price moves by calculating the z-score of the rate of change (ROC) against a configurable historical lookback period. Designed for cross-asset regime monitoring and volatility detection.
How it works:

Calculates the daily percentage change (ROC)
Compares that move to the historical distribution of daily moves
Expresses the result as a z-score (standard deviations from the mean)

Color coding:

Teal: Extreme positive move (>3σ) — rare upside, potential blowoff top
Red: Extreme negative move (<-3σ) — rare downside, potential capitulation
Orange/Lime: Warning zone (2-3σ) — unusual but not extreme
Gray: Normal volatility — nothing actionable

Use cases:

Identify regime shifts across asset classes (equities, crypto, commodities)
Spot potential mean-reversion setups after extreme moves
Monitor cross-asset risk appetite (BTC, XBI, SPY) for tactical hedging signals

Recommended settings:

ROC Length: 1 (daily moves)
Lookback: 252 (1 year) for stable assets, 60-90 for volatile biotech