AlphaQuant Statistical Intelligence█ ALPHAQUANT STATISTICAL INTELLIGENCE (QSI)
Quantitative Market Quality Analysis
A quantitative market analysis tool that measures the statistical "quality" of market conditions using three core modules: Hurst Regime Engine , Shannon Entropy Flow , and Price Efficiency Ratio . These combine into a single QSI Composite Score (0-100) that rates whether current conditions are favorable for trading or not.
Free and Open Source.
█ THE CONCEPT: WHY STATISTICAL MARKET QUALITY MATTERS
Most indicators answer "which direction?" — QSI answers a different question: "Should I be trading right now?"
Markets alternate between regimes: trending, mean-reverting, chaotic, and efficient. QSI identifies these regimes in real-time so you can adapt your strategy accordingly. A trending Hurst regime favors breakout strategies. A mean-reverting regime favors fading. High entropy means the market is chaotic — reduce size. High efficiency means clean directional moves — increase conviction.
█ CORE MODULES
1. Hurst Regime Engine
Calculates the Hurst Exponent via Rescaled Range (R/S) analysis — a robust statistical method from hydrology adapted for financial markets.
H > 0.55 — Trending regime. Price has "memory" — breakout/trend-following strategies work well.
H = 0.50 — Random Walk. No statistical edge — the market is coin-flipping. Reduce size.
H < 0.45 — Mean-Reverting regime. Price has "anti-memory" — fade strategies work well.
2. Shannon Entropy Flow
Measures the information entropy of the return distribution using the Shannon Entropy formula from information theory.
High Entropy (>70) — Returns spread across many bins = chaotic, unpredictable. Reduce exposure.
Low Entropy (<30) — Returns cluster in few bins = ordered, predictable. Good for systematic strategies.
3. Price Efficiency Ratio
Measures directional efficiency by comparing net price movement to gross price movement over N bars.
High Efficiency (>30%) — Price moving cleanly in one direction. Trend-following conditions.
Low Efficiency (<10%) — Price chopping with no net progress. Avoid or use range strategies.
█ QSI COMPOSITE SCORE
The three modules combine into a single 0-100 score with fixed weights:
Hurst Edge: 40% — How strong is the regime signal?
Inverse Entropy: 35% — How ordered is the market?
Efficiency: 25% — How clean are the price moves?
Score interpretation:
> 70 — PRIME — Optimal conditions, full conviction
55-70 — FAVORABLE — Good conditions, normal sizing
40-55 — NEUTRAL — Mixed signals, proceed with caution
25-40 — CAUTION — Poor conditions, reduce size
< 25 — AVOID — Worst conditions, stay out
█ DASHBOARD
A compact, dark-themed info panel displaying:
QSI INDEX — Current composite value with regime label
HURST — Current Hurst exponent with regime classification
ENTROPY — Current entropy score with regime classification
EFFICIENCY — Current efficiency ratio with regime classification
WEIGHTS — Module weight distribution (H:40 E:35 F:25)
█ ALERTS (8 CONDITIONS)
QSI: PRIME Conditions — Composite entered prime zone (>70)
QSI: AVOID Conditions — Composite dropped to avoid zone (<25)
QSI: Conditions Improving — Composite crossed above 55
QSI: Conditions Deteriorating — Composite dropped below 40
QSI: Hurst → Trending — Hurst crossed above 0.55
QSI: Hurst → Mean-Reversion — Hurst crossed below 0.45
QSI: Entropy → Chaos — Entropy spiked above 70
QSI: Entropy → Order — Entropy dropped below 30
█ PRO VERSION
The PRO version adds:
Markov Transition Probabilities — Statistical prediction of next-bar direction
Correlation Intelligence — Auto-benchmark correlation with breakdown detection
Fractal Dimension — Higuchi fractal complexity analysis
Absorption Detection — High volume + low range = institutional activity
Trading Style Presets — Auto/Scalping/Daytrading/Swing/Position
Asset Auto-Optimization — Automatic parameter tuning per asset class
Profile-Adaptive Weighting — Dynamic composite weights based on style + asset
█ NON-REPAINTING
All calculations use confirmed bar data only. The Hurst Exponent is calculated from historical log-returns. Shannon Entropy uses a rolling window of past data. Price Efficiency uses closed bars only. No future data leakage. No repainting.
█ WORKS ON
Crypto, Forex, Stocks, Futures, Indices — any timeframe from 1 minute to Monthly.
█ DISCLAIMER
This indicator is for educational and informational purposes only. It does not constitute financial advice. Always do your own research and manage your risk. Past performance does not guarantee future results. Trading involves substantial risk of loss.
Indicator
