(MVD) Meta-Volatility Divergence (DAFE)

16 May

Meta-Volatility Divergence (MVD)

Reveal the Hidden Tension in Volatility.

The Meta-Volatility Divergence (MVD) indicator is a next-generation tool designed to expose the disagreement between multiple volatility measures—helping you spot when the market’s “volatility engines” are out of sync, and a regime shift or volatility event may be brewing.

What Makes MVD Unique?

Multi-Source Volatility Analysis:
Unlike traditional volatility indicators that rely on a single measure, MVD fuses four distinct volatility signals:

ATR (Average True Range): Captures the average range of price movement.
Stdev (Standard Deviation): Measures the dispersion of closing prices.
Range: The average difference between high and low.
VoVix: A proprietary “volatility of volatility” metric, quantifying the difference between fast and slow ATR, normalized by ATR’s own volatility.

Divergence Engine:
The core MVD line (yellow) represents the mean absolute deviation (MAD) of these volatility measures from their average. When the line is flat, all volatility measures are in agreement. When the line rises, it means the market’s volatility signals are diverging—often a precursor to regime shifts, volatility expansions, or hidden stress.

Dynamic Z-Score Normalization:
The MVD line is normalized as a Z-score, so you can easily spot when current divergence is rare or extreme compared to recent history.

Visual Clarity:

Yellow center line: Tracks the real-time divergence of volatility measures.
Green dashed thresholds: Mark the ±2.00 Z-score levels, highlighting when divergence is unusually high and action may be warranted.
Dashboard: Toggleable panel shows all key metrics (ATR, Stdev, VoVix, MVD Z) and your custom branding.
Compact Info Label: For mobile or minimalist users, a single-line summary keeps you informed without clutter.

What Makes The MVD line move?

- The MVD line rises when the included volatility measures (ATR, Stdev, Range, VoVix) are moving in different directions or at different magnitudes. For example, if ATR is rising but Stdev is falling, the line will move up, signaling disagreement.
- The line falls or flattens when all volatility measures are in sync, indicating a consensus in the market’s volatility regime.
- VoVix adds a unique dimension, making the indicator especially sensitive to sudden changes in volatility structure that most tools miss.

Inputs & Settings
ATR Length: Sets the lookback for ATR calculation. Shorter = more sensitive, longer = smoother.
Stdev Length: Sets the lookback for standard deviation. Adjust for your asset’s volatility.
Range Length: Sets the lookback for the average high-low range.
MVD Lookback: Controls the window for Z-score normalization. Higher values = more historical context, lower = more responsive.
Show Dashboard: Toggle the full dashboard panel on/off.
Show Compact Info Label: Toggle the mobile-friendly info line on/off.

Tip:
Adjust these settings to match your asset’s volatility and your trading timeframe. There is no “one size fits all”—tuning is key to extracting the most value from MVD.

How to make MVD work for you:

Threshold Crosses: When the MVD line crosses above or below the green dashed thresholds (±2.00), it signals that volatility measures are diverging more than usual. This is a heads-up that a volatility event, regime shift, or hidden market stress may be developing.
Not a Buy/Sell Signal: A threshold cross is not a direct buy or sell signal. It is an indication that the market’s volatility structure is changing. Use it as a filter, confirmation, or alert in combination with your own strategy and risk management.
Dashboard & Info Line: Use the dashboard for a full view of all metrics, or the info label for a quick glance—especially useful on mobile.

Chart: MNQ! on 5min frames
ATR: 14
StDev L: 11
Range L: 13
MDV LB: 13

Important Note
MVD is a market structure and volatility regime tool.
It is designed to alert you to potential changes in market conditions, not to provide direct trade entries or exits. Always combine with your own analysis and risk management.

Meta-Volatility Divergence:
See the market’s hidden tension. Anticipate the next wave.

For educational purposes only. Not financial advice. Always use proper risk management.

Use with discipline. Trade your edge.
— Dskyz, for DAFE Trading Systems

19 May

Sürüm Notları

Meta-Volatility Divergence (MVD)

What makes this script original?

MVD is original because it fuses four distinct volatility measures (ATR, Stdev, Range, and VoVix) and quantifies their disagreement using mean absolute deviation (MAD). This approach reveals hidden volatility regime shifts and market stress that single-source volatility tools cannot detect. The inclusion of VoVix (volatility-of-volatility) adds a unique dimension, making MVD especially sensitive to structural changes in volatility.

How does it work?

Multi-Source Volatility Analysis: Combines ATR, Stdev, Range, and VoVix to capture a complete picture of market volatility.
Divergence Engine: The main MVD line shows the Z-score of the mean absolute deviation among these measures. When the line is flat, all volatility measures agree; when it rises, they are diverging.
Dynamic Z-Score Normalization: The line turns green when divergence is extreme (above +2.00 or below -2.00). Dashed green lines at ±2.00 highlight rare, high-divergence events.
Dashboard & Info Label: The dashboard shows current values for ATR, Stdev, VoVix, and the MVD Z-score. The info label provides a quick summary for mobile users.

How to use:
Apply to any asset and timeframe.
- Watch for the MVD line crossing above or below the green dashed thresholds (±2.00)—these indicate rare volatility divergence and potential regime shifts.
- Use the dashboard or info label to monitor all volatility measures and the current MVD Z-score.
- Combine with your own price action or strategy for confirmation.

Inputs:
ATR Length: Lookback for ATR calculation.
Stdev Length: Lookback for standard deviation.
Range Length: Lookback for average high-low range.
MVD Lookback: Window for Z-score normalization.
Show Dashboard: Toggle the dashboard panel on/off.
Show Compact Info Label: Toggle the info label for mobile/minimalist use.

Chart Info:
Script name: “Meta-Volatility Divergence (MVD)”
Recommended for use on any asset or timeframe.

Note:
MVD color changes and dashboard readings indicate volatility divergence, not direct buy or sell signals. Use as informational alerts or filters within your own strategy.

Disclaimer:
This script is for research and informational purposes only, not financial advice. Trading is risky—backtest, paper trade, and know your risk before going live. Past performance is not a guarantee of future results.

Release Notes:
- Dashboard and info label now show current values for ATR, Stdev, VoVix, and MVD Z-score for quick reference.
- Color-coded line and threshold levels make regime shifts easy to spot.