Overnight Z/VolRatio Signal

5 thg 10

This indicator highlights overnight setups where both volatility expansion and prior-day range deviation suggest directional opportunity at the RTH open.

It calculates:
• Overnight Z-Score (Z_long): how far the overnight session’s range tilts from the 20-day overnight mean, standardized by its standard deviation.
• VolRatio: ratio of the current RTH session volume to the 20-day average, a proxy for participation and conviction.

Signal Logic (LONG bias)
A long-bias condition triggers when:
• Z_long ≥ 0.40 (overnight tilt strongly positive)
• VolRatio ≥ 1.30 (above-average RTH volume)
• Optional filters: R1/R4 region alignment, YDH/YDL proximity, and other context flags.

Visuals mark qualifying days with colored labels and session highlights.
It is intended as a context signal — not an auto-trading system — for SPY/SPX/ES or correlated large-cap indices.

Usage Notes
• Works best when applied to daily or intraday 5m chart with extended hours enabled.
• Typical exit: ~150 minutes after 09:30 ET.
• Fridays are optionally excluded to avoid expiration-related distortions.

5 thg 10

Phát hành các Ghi chú

This indicator highlights overnight setups where both volatility expansion and prior-day range deviation suggest directional opportunity at the RTH open.

It calculates:
• Overnight Z-Score (Z_long): how far the overnight session’s range tilts from the 20-day overnight mean, standardized by its standard deviation.
• VolRatio: ratio of the current RTH session volume to the 20-day average, a proxy for participation and conviction.

Signal Logic (LONG bias)
A long-bias condition triggers when:
• Z_long ≥ 0.40 (overnight tilt strongly positive)
• VolRatio ≥ 1.30 (above-average RTH volume)
• Optional filters: R1/R4 region alignment, YDH/YDL proximity, and other context flags.

Visuals mark qualifying days with colored labels and session highlights.
It is intended as a context signal — not an auto-trading system — for SPY/SPX/ES or correlated large-cap indices.

Usage Notes
• Works best when applied to daily or intraday 5m chart with extended hours enabled.
• Typical exit: ~150 minutes after 09:30 ET.
• Fridays are optionally excluded to avoid expiration-related distortions.