Regime Features
Market state classification FeatureTypes. These describe the environment in which signals operate — trend strength, liquidity conditions, toxicity, volatility regimes.
| Feature | Category | Description |
|---|---|---|
| adverse_selection_index | market_regime | Adverse selection pressure index - quantifies the risk liquidity providers fa... |
| adx_trend_strength | momentum | ADX-like trend strength — measures directional movement intensity over a roll... |
| cross_sectional_mispricing | market_regime | Cross-sectional mispricing score - measures relative mispricing of an asset c... |
| drawdown | market_regime | Drawdown from peak: price / rolling_max(price) - 1 - measures current decline... |
| execution_toxicity_feedback | market_regime | Execution toxicity feedback loop - models self-reinforcing deterioration of e... |
| historical_var | volatility | Historical Value-at-Risk and Expected Shortfall - quantile-based tail risk me... |
| latent_liquidity_pressure | market_regime | Latent liquidity pressure - estimates hidden buying/selling pressure not yet ... |
| linear_regression_slope | statistics | Linear regression slope over a rolling window — measures trend direction and ... |
| liquidity_depletion_rate | market_regime | Liquidity depletion rate - measures how quickly available liquidity is consum... |
| liquidity_imbalance_ratio | statistics | Liquidity imbalance ratio: bid_liquidity / (ask_liquidity + epsilon) - relati... |
| liquidity_regime_classifier | market_regime | Liquidity regime: continuous 0-1 score from normalized spread |
| liquidity_reversion_pressure | mean_reversion | Liquidity-induced reversion pressure: (spread * depth) / price_deviation - pr... |
| liquidity_stress_index | market_regime | Liquidity stress index - aggregates spread, depth, and volume signals into a ... |
| market_toxicity_regime | market_regime | Market toxicity regime score - identifies periods of high adverse selection r... |
| microstructure_reversion_speed | mean_reversion | Microstructure reversion speed - measures how quickly price deviations decay ... |
| moving_average_trend_slope | momentum | Moving average trend slope - captures directional drift in equilibrium price ... |
| ou_mean_reversion_half_life | mean_reversion | Ornstein-Uhlenbeck half-life — estimated time for deviation to revert halfway... |
| return_kurtosis | volatility | Return kurtosis: rolling_kurtosis(ret, window) - tail heaviness of ret distri... |
| return_skewness | volatility | Return skewness: rolling_skew(ret, window) - asymmetry in ret distribution |
| rolling_average_depth | order_flow | Rolling average of total order book depth — measures baseline liquidity |
| rolling_percentile_rank | statistics | Percentile rank of current value within a rolling window — measures relative ... |
| spread_regime_indicator | market_regime | Spread regime: z-score of current spread vs rolling distribution — wide/tight... |
| time_under_water | market_regime | Time under water - cumulative time since the last peak was reached, in tradin... |
| top_level_bid_ask_ratio | order_flow | Ratio of top-N bid depth to top-N ask depth — measures liquidity asymmetry |
| trend_regime_indicator | market_regime | Trend regime: binary indicator — trending (strong ADX) vs ranging (weak ADX) ... |
| volatility_of_volatility | volatility | Volatility of volatility: rolling_std(realized_vol, window) - instability in ... |
| volume_regime_indicator | market_regime | Volume regime: z-score of current volume vs rolling distribution — high/low v... |