Volatility Regime
The claim: That you can know how big the next move will be, even when you can't know its direction.
Beat the baseline in every fold and every regime — the one that lived.
How it actually works
Volatility clusters: calm follows calm, and violence follows violence. This is one of the most robust, repeatedly-confirmed facts in all of markets.
We build scale-free features — ATR ratios, band width over price, return dispersion, time-of-day — and fit a model that answers one question: is a large move likely soon, relative to this asset's own recent behaviour?
We tested it
This is the only model in the entire project that passed. It beat its baseline out-of-sample across all folds and all market regimes, on real costs.
Crucially, it never calls direction. It says 'expect a big move' or 'expect calm' — magnitude only. That honesty is exactly why it works where direction models fail.
Every figure comes from this project's own out-of-sample walk-forward testing on real costs — the full research record is in the Lab.
What it teaches you
Predictable ≠ profitable-by-direction. You can genuinely read the market's energy without knowing which way it breaks — and sizing around that is real skill.
This one earns its place — sound math, honestly shown.
Put it to work — safely
Whatever you trade, the survivable part is the sizing. Use our free position-size & risk calculator to bound every trade before you take it, and read the live volatility state on the board.
Education, not advice. Nothing here is a recommendation to trade, or a claim about which direction a market will go — see Terms.