Volume Regime Indicator

Quick Reference

Property	Value
Dimension	regime
Category	market_regime
Version	v1.0
Output Column	volume_regime

Volume regime: z-score of current volume vs rolling distribution 鈥?high/low volume state

Formula

(volume - rolling_mean(volume, window)) / rolling_std(volume, window)

CDM Inputs

Column	CDM Table	Description
volume	cdm_fixed_bars	OHLCV bar data 鈥?open, high, low, close, volume per bar interval

Parameters

Parameter	Type	Default	Description
window	integer	300000	Window for volume distribution estimation

Output

Column: volume_regime

Z-score of current volume relative to rolling distribution

Market Intuition & Trading Rationale

Volume regime indicator z-scores current volume against its own distribution: (volume - 渭) / 蟽. Positive z-scores (> 1) indicate elevated volume 鈥?increased market participation. Negative z-scores (< -1) indicate depressed volume 鈥?quiet market. The self-calibrating nature (using each instrument's own mean and std) makes this comparable across all instruments without per-symbol tuning.

Usage Cases

• Participation confirmation: z-score > 1 鈫?elevated volume regime. Breakouts in this regime have higher conviction (more participants). z-score < -1 鈫?thin volume regime. Price moves on low volume are less reliable.
• Execution timing: Execute during elevated volume (z > 0.5) 鈥?more natural counterparties, lower impact. Avoid thin volume (z < -0.5) 鈥?your orders will stand out.
• regime context: Used in bar_momentum pack 鈥?volume_regime confirms whether bar-level momentum has genuine participation or is a thin-market artifact.

YAML Definition

name: volume_regime_indicator
description: 'Volume regime: z-score of current volume vs rolling distribution 鈥?high/low
  volume state'
category: market_regime
dimension: regime
version: v0.9.0 (Beta)
required_inputs:
  - volume
output_column: volume_regime
output_description: Z-score of current volume relative to rolling distribution
tags:
  - regime
  - volume
  - liquidity
parameters:
  window:
    type: integer
    description: Window for volume distribution estimation
    required: false
    default: 300000
formula: (volume - rolling_mean(volume, window)) / rolling_std(volume, window)